Dr.

Nicolaie Alexandru-Chideciuc, senior economist, ING

Dr. Adrian Codirlau, CFA, membru n Board-ul CFA Romnia

Bucureti, septembrie 2008

Cursul de echilibru i soldul contului curent

Scop:
- Fundamentarea deciziilor de politic monetar

Cont curent sustenabil:

- Noiunea de cont curent sustenabil
- DEER nivel dorit al contului curent
- FEER concept normativ
- Presupune identificarea fluxurilor de capital
productive

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 Noiunea de cont curent sustenabil

Abordare tradiional:
- Nivel al deficitului de cont curent care nu presupune
presiuni de depreciere a cursului de schimb (risc redus de
incapacitate de plat)

Abordare FEER (Williamson, 1995):

- CA = f(Y, Y*, RER)
- Nivel stabil al datoriei externe n PIB
- Restricii bugetare
- Volatilitate redus a fluxurilor de capital

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 Cont curent sustenabil: dezirabil sau normativ

Nivelul dezirabil corespunde opiniei decidenilor de politic

monetar privind situaia economic, fluxurile de capital, etc
(subiectiv)

FEER permite calcularea nivelului cursului de schimb (folosind

metode econometrice i judecata) care determin egalitatea
dintre soldul contului curent i economii-investiii, precum i
nchiderea decalajului PIB
- Medie, filtru HP, model parial, model structural complet, ecuaii pentru
economii i investiii

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Definiii ale cursului de echilibru (EER)

1. EER de pia acel curs care egalizeaz cererea i oferta

pe piaa valutar.
2. EER pe termen scurt nivelul cursului de schimb care este
consistent cu valoarea curent a variabilelor fundamentale
(exclude efecte aleatorii).
3. EER pe termen mediu nivelul cursului de schimb dat de
trendul variabilelor fundamentale (implic atingerea simultan
a echilibrului intern i a celui extern).
4. EER pe termen lung nivelul cursului de schimb conform
teoriei PPC.

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Curs fundamental de echilibru (FEER)

Concept
- Identific nivelul de echilibru pe termen mediu
- Necesit evaluarea echilibrului intern (Y (q) = ) i a celui
extern (CA(q) = CA )
- Permite calcularea ajustrii nivelului cursului de schimb necesar
ajustrii dorite a deficitului de cont curent
Echilibru intern:
- PIB se afl la nivel potenial, NAIRU
Echilibru extern:
- Nivel sustenabil al contului curent sau int privind nivelul contului
curent
- Estimarea unui model al balanei comerciale (abordarea parial)

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 FEER - abordarea parial

Relativ uor de implementat

Necesit estimarea de ecuaii pentru balana

comercial

Nivelul sustenabil al contului curent stabilit exogen

(filtre sau int);

Echilibrul intern - filtre sau valoare arbitrar

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Datele utilizate

Cursul nominal leu-euro (S) i real, deflatat cu HIPC (S05_r)

Cererea intern Romnia (DD_SA), exporturile (X_SA), importurile
(M_SA), productivitatea din Romnia (WI_RO05) pentru a
surprinde impactul investiiilor strine asupra exporturilor
Y_DEFL, X_DEFL, M_DEFL deflatorul PIB, al exporturilor i al
importurilor, respectiv
IPPI_RO05, IPPI_EUR00 preurile produciei industriale n
Romnia, respectiv zona euro
INCB, REMB soldul veniturilor, respectiv transferurilor din balana
de pli
CA2Y, CA2Y_ADJ sold cont curent n PIB, respectiv sold cont
curent plus investiii strine directe raportat la PIB

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Estimarea FEER

Metodologie Engle Granger

LOG(X_SA) = 0.008*TREND - 0.54*LOG(X_DEFL/(IPPI_EUR00*S)) + 1.02*LOG(WI_RO05) +
(1)
0.37*LOG(Y_SA)

LOG(M_SA)=0.25*LOG(DD_SA)+0.74*LOG(X_SA)-0.73*LOG(M_DEFL/Y_DEFL)
(2)

LOG(X_DEFL) = -0.8+ 0.3*LOG(IPPI_RO05) + 0.69*LOG(S*IPPI_EUR00)

(3)

LOG(M_DEFL) = 0.95*LOG(S*IPPI_EUR00)+0.07*LOG(S/EURUSD*OIL_SA)-1 - 0.005*@TREND

(4)

X _ SA* X _ DEFL M _ SA* M _ DEFL+ INCB* S + REMB* S

*100 = CA_ T (5)
Y _ SA*Y _ DEFL

DD _ SA + X _ SA_ M _ SA = Y _ SA = Y (6)

Coeficienii obinui prin estimare n sistem nu difer considerabil

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Evoluia soldului contului curent

-1

-3

-5

-7

-9

-11

-13

-15
1Q98 4Q98 3Q99 2Q00 1Q01 4Q01 3Q02 2Q03 1Q04 4Q04 3Q05 2Q06 1Q07 4Q07

Sold cont curent(%PIB) (Sold cont curent+investitii directe)(%PIB)

Investiiile strine directe sunt ajustate pentru marile

privatizri
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Curs de echilibru fundamental nominal

4.0

3.7

3.4

3.1

2.8
C S no m in al
2.5
F E ER C AP IB (H P )
2.2
F E ER C AP IB (10% d in 2006)
1.9
F E ER C AP IB aju stat (H P)
1.6

1.3

1.0

0.7
1Q 98 4Q 98 3Q 99 2Q 00 1Q 01 4Q 01 3Q 02 2Q 03 1Q 04 4Q 04 3Q 05 2Q 06 1Q 07 4Q 07

Aducerea deficitului de cont curent de la circa -12% la -10% din PIB necesit
un curs de schimb de circa RON3.8/EUR o perioad de 1-2 ani

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Curs de echilibru fundamental real

5.0

4.8

4.6

4.4

4.2

4.0

3.8
CSR
3.6
FEER CAPIB (HP)
3.4
FEER CAPIB (10% din 2006)
3.2 FEER CAPIB ajustat (HP)
3.0
1Q98 4Q98 3Q99 2Q00 1Q01 4Q01 3Q02 2Q03 1Q04 4Q04 3Q05 2Q06 1Q07 4Q07

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 BEER
Implic modelarea cursului valutar real, n form redus, pe
baza relaiilor de cointegrare (utiliznd modele VEC)

Cursul de echilibru este consistent cu valorile efective ale

variabilelor macroeconomice fundamentale

Consistent cu valorile obinute utiliznd modelul FEER, dac

este determinat pe baza valorilor de echilibru ale variabilelor
fundamentale, utiliznd relaiile de cointegrare (estimate)
existente ntre acestea

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 BEER REER - Date utilizate
Pentru estimarea modelului au fost utilizate date trimestriale, ajustate
sezonier, perioada analizat fiind trim. 1 1998 trim. 1 2008
Cursul de schimb real efectiv (L_REER_SA)
Diferenialul preurilor relative dintre Romnia i Uniunea European
(DIFF_REL_PR_SA)
Diferenialul productivitii muncii n industrie dintre Romnia i
Uniunea European (DIFF_PROD_SA)
Soldul contului curent calculat ca procent n PIB (CA_GDP_RO_SA)
Cererea intern, calculat ca procent n PIB (DD_GDP_RO_SA)
Diferenialul ratelor reale ale dobnzilor pe piaa monetar cu
scadena la 3 luni, ntre Romnia i zona euro (DIFF_INT_3M_R_SA)

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 BEER REER Relaiile de echilibru
Cointegration Restrictions:
B(1,1)=0, B(1,2)=1, B(1,5)=0, B(1,6)=0,
B(2,1)=0, B(2,2)=0, B(2,3)=0, B(2,5)=1, B(2,6)=0,
B(3,1)=1, B(3,3)=0, B(3,4)=0, B(3,6)=0,
B(4,1)=1, B(4,2)=0, B(4,3)=0, B(4,4)=0, B(4,5)=0,
Maximum iterations (500) reached.
Restrictions identify all cointegrating vectors
LR test for binding restrictions (rank = 4):
Chi-square(2) 1.563444
Probability 0.457617

Cointegrating Eq: CointEq1 CointEq2 CointEq3 CointEq4

L_REER_SA(-1) 0 0 1 1
DIFF_REL_PR_SA(-1) 1 0 2.208203 0
-0.08876
[ 24.8772]
DIFF_PROD_SA(-1) -0.47673 0 0 0
-0.0399
[-11.9492]
DD_GDP_RO_SA(-1) 1.456969 0.292667 0 0
-0.06387 -0.01147
[ 22.8105] [ 25.5122]
CA_GDP_RO_SA(-1) 0 1 -6.60265 0
-0.27358
[-24.1345]
DIFF_INT_3M_R_SA(-1) 0 0 0 -0.36979
-0.03657
[-10.1127]
C -1.11283 -0.2533 -4.26043 -4.70021

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 BEER REER Funcii de impuls-rspuns
ale cursului de schimb

Response to Generalized One S.D. Innovations

Response of L_REER_SA to L_REER_SA Response of L_REER_SA to DIFF_REL_PR_SA Response of L_REER_SA to DIFF_PROD_SA

.05 .05 .05

.04 .04 .04

.03 .03 .03

.02 .02 .02

.01 .01 .01

.00 .00 .00

-.01 -.01 -.01

-.02 -.02 -.02

-.03 -.03 -.03

-.04 -.04 -.04

1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Response of L_REER_SA to DD_GDP_RO_SA Response of L_REER_SA to CA_GDP_RO_SA Response of L_REER_SA to DIFF_INT_3M_R_SA

.05 .05 .05
.04 .04 .04
.03 .03 .03
.02 .02 .02
.01 .01 .01
.00 .00 .00
-.01 -.01 -.01
-.02 -.02 -.02
-.03 -.03 -.03
-.04 -.04 -.04
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

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 BEER REER Funcii de impuls-rspuns
ale soldului contului curent
Response to Generalized One S.D. Innovations

Response of CA_GDP_RO_SA to L_REER_SA Response of CA_GDP_RO_SA to DIFF_REL_PR_SA Response of CA_GDP_RO_SA to DIFF_PROD_SA

.016 .016 .016

.012 .012 .012

.008 .008 .008

.004 .004 .004

.000 .000 .000

-.004 -.004 -.004

-.008 -.008 -.008

1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Response of CA_GDP_RO_SA to DD_GDP_RO_SA Response of CA_GDP_RO_SA to CA_GDP_RO_SA Response of CA_GDP_RO_SA to DIFF_INT_3M_R_SA

.016 .016 .016

.012 .012 .012

.008 .008 .008

.004 .004 .004

.000 .000 .000

-.004 -.004 -.004

-.008 -.008 -.008

1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

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BEER REER Abateri de la relaiile de echilibru

.3 .04

.03
.2
.02

.1 .01

.00
.0 -.01

-.02
-.1
-.03

-.2 -.04
99 00 01 02 03 04 05 06 07 99 00 01 02 03 04 05 06 07

Cointegrating relation 1 Cointegrating relation 2

1.0 .4

0.8 .3

0.6 .2
.1
0.4
.0
0.2
-.1
0.0
-.2
-0.2 -.3
-0.4 -.4
-0.6 -.5
99 00 01 02 03 04 05 06 07 99 00 01 02 03 04 05 06 07

Cointegrating relation 3 Cointegrating relation 4

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 Paritatea puterii de cumprare

214.7
4.1
4.0
3.8
200.0 3.6
3.5
178.3 3.6
176.8 174.8 3.5
173.0 171.7
165.7 3.3

3.0
150.0 3.1
2.6

2.5
118.2
2.0 104.4
1.8 1.9
2.0
100.0 1.6 1.7 90.5
1.5 81.2
1.4 1.7 1.5
1.1
1.0
0.9
50.0 1.0
0.7
0.5
0.4 0.5

0.0 0.0
1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008F
Decalaj curs pia-curs PPC (stnga) Curs de schimb nominal Curs de schimb nominal (PPC)

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Sold cont curent plus FDI (% n PIB)

11

Presiune de apreciere

-4

-9

-14

Presiune de depreciere
2006 2007 2008F
-19

-24
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 Legtura dintre credite, importuri i curs de schimb

70
27.0
25.0
24.5
24
21.2 65

19

60
15.4

14
12.3 12.1
55

50
4.0 4.7
4

45
-1

40
-6
Apreciere(+)/Depreciere(-) a leului
-8.4
-11 -10.2 Importuri (crestere anuala) 35

Total credite (crestere anuala)

-16 30
-15.6
Dec-03 Apr-04 Apr-05 Apr-06 Apr-07 Apr-08

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Concluzii

Abordarea FEER indic o atenuare a aprecierii reale,

ns trendul de apreciere real rmne intact
Conform BEER, asupra evoluiei cursului de schimb i
pun amprenta n special soldul contului curent
diferenialul de dobnzi reale, precum i efectul BS
Nivelul de echilibru al cursului de schimb este aproape
de cursul pieei, prin urmare deprecierea drastic este
puin probabil
Ajustarea deficitului de cont curent necesit un curs
mai depreciat fa de nivelul actual
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 MULUMESC!

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Disclosures and disclaimer

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