Suport RMFI

8/14/2019 Suport RMFI

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I. Aprecierea / Deprecierea Monedelor

1. Completai tabelul de mai jos cu simbolul aferent fiecrei valute. Ce se poate afirma referitor la evoluia leului n 4 septembrie 2009 fa de ziua anterioar? Leul sa depreciat fa de toate valutele? Cum coteaz leul fa de celelalte valute?

Simbol 3 sep.2009 4 sep.2009 Dolarul australian 2.4899 2.5035 Leva bulgreasc 2.1701 2.1698 Dolarul canadian 2.6958 2.7104 Francul elveian 2.8031 2.8000

Coroana ceh 0.1654 0.1659

Coroana danez 0.5702 0.5701 Lira egiptean 0.5365 0.5376 Euro 4.2442 4.2436

Lira sterlin 4.8538 4.8612 100 Forini maghiari 1.5450 1.5463

100 Yeni japonezi 3.2112 3.2031 Leul moldovenesc 0.2649 0.2649

Coroana norvegian 0.4919 0.4920 Zlotul polonez 1.0243 1.0293 Rubla ruseasc 0.0935 0.0940

Coroana suedez 0.4120 0.4127 Lira turceasc 1.9652 1.9793

Dolarul american 2.9673 2.9741 Realul brazilian 1.5744 1.5990

Renminbiul chinezesc 0.4345 0.4355

Dolarul neozeelandez 2.0144 2.0305

Gramul de aur 93.7853 94.417 DST 4.6564 4.6339

Sursa: BNR

2. La nceputul anului 2007 cursul EUR/RON a fost 3500.30 =S , iar la sfritul anului cursul a fost 3750.31 =S . S se calculeze cu ct sa apreciat/depreciat euro, respectiv leul, n anul 2007.

3. Figura de mai jos ilustreaz evoluia a 4 monede din Europa Central i de Est (leul romnesc, zlotul polonez, coroana ceh i forintul maghiar) n perioada


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ianuarie 2008 februarie 2009. Pe baza datelor incluse n graficele de mai jos, rspundei la urmtoarele ntrebri:

a) Cu ct sau depreciat monedele respective n perioada analizat? b) Ce factori economici credei c pot determina deprecierea monedelor n mod

sincronizat n mai multe ri? c) Cum apreciai volatilitatea cursului de schimb n cele patru ri? d) Ce alte observaii referitoare la corelaiile care exist pe piaa valutar ai putea

face pe baza figurii de mai jos?

Figura I.1 Evoluia leului, zlotului, forintului i coroanei cehe n perioada ian. feb. 09

Sursa: Reuters

4. Se consider urmtoarele cotaii bid: EUR/GBP 0,6631 EUR/CHF 1,6492 EUR/JPY 158,45

tiind c intermediarul financiar percepe un spread de 20 puncte pentru toate cotaiile, s se determine cotaiile ask.

5. Se cunoate cotaia USD/RON 2,6031 / 2,6560. Cum se poate transforma aceast cotaie ntruna de forma RON/USD? Explicai.

3,6014

4,6564

3.003.203.403.603.804.004.204.404.604.80

5.005.20

J a n 0 8

F e b 0 8

M a r 0 8

A p r 0 8

M a y 0 8

J u n 0 8

J u l 0 8

A u g 0 8

S e p 0 8

O c t 0 8

N o v 0 8

D e c 0 8

J a n 0 9

F e b 0 9

EUR/PLN

Maxim = 4,8702

Minim = 3,2055

296,52

254,52220

230240

250260

270

280290

300310

320

J a n 0 8

F e b 0 8

M a r 0 8

A p r 0 8

M a y 0 8

J u n 0 8

J u l 0 8

A u g 0 8

S e p 0 8

O c t 0 8

N o v 0 8

D e c 0 8

J a n 0 9

F e b 0 9

EUR/HUF

Maxim = 307,5

Minim = 229,2

3,5897

4,2909

3.20

3.40

3.60

3.80

4.00

4.20

4.40

J a n 0 8

F e b 0 8

M a r 0 8

A p r 0 8

M a y 0 8

J u n 0 8

J u l 0 8

A u g 0 8

S e p 0 8

O c t 0 8

N o v 0 8

D e c 0 8

J a n 0 9

F e b 0 9

EUR/RON

Maxim = 4,3127

Minim = 3,4719

27,972

26,1640

22.00

23.00

24.00

25.00

26.00

27.00

28.00

29.00

30.00

J a n 0 8

F e b 0 8

M a r 0 8

A p r 0 8

M a y 0 8

J u n 0 8

J u l 0 8

A u g 0 8

S e p 0 8

O c t 0 8

N o v 0 8

D e c 0 8

J a n 0 9

F e b 0 9

EUR/CZK

Maxim = 29,4573

Minim = 23,01


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6. Se dau urmtoarele cotaii bid i spreadul aferent: EUR/USD 1,4139 spread de 10 pipsi; GBP/USD 1,6556 spread de 5 pipsi; USD/JPY 94,70 spread de 15 pipsi.

Scriei cotaiile complete i transformaile astfel nct moneda cotant s devinmoned de baz.

7. Presupunem c suntei un trader pe piaa valutar care utilizeaz platforma de tranzacionare furnizat de fxclub.com. n 6 august 2009 ai cumprat 100.000 de lire sterline la maximul pieei i leai vndut la 1 octombrie la cursul care reiese din graficul alturat. Care a fost profitul obinut n urma acestei tranzacii? Ct a fost capitalul propriu investit dac levierul a fost

1:200?

GBP/USD cotaii zilnice

Sursa: www.fxclub.com

Ct ar fi fost profitul (pierderea obinut) dac sar fi tranzacionat doar pe baza capitalului propriu?

8. S presupunem c suntei un trader care tranzacioneaz intraday. La data de 1 octombrie 2009 cumprai 100.000 euro la ora 13:17 GMT i vindei la ora 13:29. Care a fost profitul obinut conform datelor prezentate n graficul de mai jos. Ct a fost capitalul propriu investit dac levierul a fost 1:100? Ct ar fi fost profitul (pierderea obinut) dac sar fi tranzacionat doar pe baza capitalului propriu?


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EUR/USD cotaii la un minut

Sursa: www.fxclub.com


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II. Rolul ratelor de dobnd n determinarea cursului de schimb. Paritatea ratelor de dobnd

Se cunosc urmtoarele rate de dobnd (procente anuale) afiate de o banc din Romnia n data de 3 oct 2009:

Termen Rata

La vedere 1 lun 3 luni 6 luni 9 luni 12 luni

Dep. n lei 0,25 6,70 8,50 9,00 10,50 10,00

Dep. n euro 0,25 2,5 2,5 2,5 2,9 3,00

1. Se poate afirma, pentru o anumit maturitate, c depozitele n lei sunt mai avantajoase comparativ cu cele n euro deoarece aduc rate de dobnd mai ridicate? De ce nu?

2. Ct obine un investitor care dispune de 1000 RON pe care i plaseaz ntrun depozit n lei pe un an. Care este rata de rentabilitate obinut?

3. Ct obine un investitor care dispune de 1000 RON pe care i plaseaz ntrun depozit n euro pe un an, iar euro sa apreciat n aceast perioad cu 5% fa de leu? Care este rata de rentabilitate obinut?

4.

n ce situaie cele dou depozite de mai sus ar fi fost echivalente? S se deduc o relaie de paritate a ratelor de dobnd. 5. Cu ct ar trebui s se aprecieze/deprecieze euro fa de leu astfel nct UIP

s fie satisfcut pentru orizontul de 6 luni. 6. S se explice pe baza parit ii neacoperite a ratelor de dobnd (en. UIP)

modul n care ratele de dobnd de pe cele dou piee i nivelul ateptat al cursului de schimb influeneaz nivelul spot al cursului.

Un investitor european are la dispoziie o sum de 100.000 euro, iar rata dobnzii pe

piaa zonei Euro este de 2,5%. De asemenea, se cunosc ratele de dobnd i cursurile prezente i ateptate fa de euro pe urmtoarele piee: Piaa Rata dobnzii

La 3 luni Curs actual Curs ateptat

peste 3 luni Romnia 8% 3,5670 3,5000 Elveia 2,75% 1,5550 1,5400


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7. tiind c perioada de investire este de 3 luni, s se determine varianta optim de plasare a banilor pentru investitor.

8. Ct este rata la depozitele n EUR exprimat n lei? 9. Care ar fi trebuit s fie cursul EUR/RON peste trei luni astfel nct s fie

satisfcut UIP? 10. Cum se poate acoperi investitorul european mpotriva riscului de curs de

schimb n cazul n care opteaz pentru un depozit n franci elveieni?

11. Ce factori credei c sunt importani n determinarea cursului pentru tranzaciile la termen?

12. Cursul forward este fixat de bnci astfel nct s nu fie expuse la riscul valutar. Construii un raionament prin care o banc ce vinde forward se poate proteja mpotriva riscului valutar prin operaiuni de constituire de depozite i contractare de credite.

13. Construii un raionament prin care o banc ce cumpr forward se poate proteja mpotriva riscului valutar prin operaiuni de constituire de depozite i contractare de credite.

14. Considerm un curs spot EUR/RON 3.6221, rata la lei este 8%, iar rata la euro este 2.5%. Considernd c ratele active sunt egale cu cele pasive, care va fi cursul forward afiat de o banc?

15. Interpretai relaia dintre UIP si paritatea acoperit a ratelor de dobnd(en. CIP) prin prisma teoriei pieelor eficiente.

16. La un moment dat, pe piaa financiar se nregistreaz datele din tabelul de mai sus. n cazul n care o banc afieaz un curs forward egal cu 3.9500 RON/EUR, s se identifice dac exist posibilitatea pentru un agent economic de a realiza un profit fr risc (posibilitate de arbitraj). Cum influeneaz aciunile agentului de mai sus nivelul cursului forward?

17. n cazul datelor din tabelul de mai sus, o banc afieaz un curs forward egal cu 3.6000 RON/EUR. Exist posibilit i de arbitraj? Cum afecteaz aciunile arbitrajorului cursului de schimb?

18. Stabilii pe cazul general n ce interval trebuie s situeze cursul forward pe pia , astfel nct s nu existe posibilit i de arbitraj.


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19. Explicai pe baza urmtoarelor scheme paritatea acoperit i cea neacoperit a ratei dobnzii. Completai sgeile din schem cu procesele aferente.

A. Paritatea acoperit a ratei dobnzii Este o condiie pentru lipsa posibilit ilor de arbitraj, investitorii sunt indifereni ntre activele financiare denominate n valute diferite, iar riscul valutar a fost eliminat prin contracte forward.

B. Paritatea neacoperit a ratei dobnzii Riscul valutar este lsat neacoperit, iar randamentul aferent plasamentului n valut variaz n funcie de cursul de schimb.

20. Pe baza studiului de caz 1, rspundei la urmtoarele ntrebri: a) Ce reprezint comerul cu valute? b) Care este legtura dintre comerul cu valute i paritatea neacoperit a ratelor

de dobnd? c) Care sunt sursele de profit n cadrul comerului cu valute? d) Care sunt efectele generate de comerul cu valute pe pieele financiare

internaionale? e) Care a fost rolul comerului cu valute n declanarea crizei financiare din 2007

2008?

Important: 1. Cum explic UIP evoluia cursului de schimb spot. 2. Cum se deduce expresia cursului forward.

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reduced or even turn into losses.

The success of the carry trade also depends on the continuing disparity among interest rates in various countries. Much of the success of the dollaryen carry trade strategy is that shortterm interest rates were 4%5% higher in the United States than in Japan.

Some commentators have expressed concern that if traders stop using the carry trade strategy, then the recent weakness in the dollar may accelerate. Because investors who execute carry trade strategies buy dollars in exchange for yen, their transactions create demand for the dollar and help to support the exchange rate. Without this support, some observers worry that the dollar would fall dramatically and create a currency crisis of the sort usually associated with developing countries. Whether these consequences actually come about, remains to be seen.

The carry trade is one example of how sophisticated investors use global financial markets to seek profits. Although the strategy involves risk, it has rewarded its users significantly over the past several years. But if the success of this strategy is coming to an end, it may have an impact on the earnings of financial institutions that have made substantial use of the carry trade. These trades allowed some traders to rake in big profits, but they also played a part in the credit crisis that struck world economic systems in 2008. It s not surprising that, with all the panic, the smarties have been pulling out of these carrytrade deals. As they do, of course, the higher demand for the yen causes it to appreciate, thus wiping out the interestrate gains and making it more urgent for others to get out. Fingers are being burnt as we speak.

Setting Up The Carry Trade

To become a successful carry trader, understanding the role that interest rates play in the FX market is a crucial task. A country offering high interest rates will attract more capital as investors seek to capitalize higher returns. As interest rates rise, investment will follow, which can in turn increase the

value of the currency. Carry traders main focus becomes the expectation on the direction of a countrys interest rate, to ensure their high rate of return.

Generally, traders seek to buy currencies with high interest rates, and seek to short currencies who offer low interest rates.

The carry trade works best under certain market conditions, and the selection of the currency pair can make the difference between a losing and a profitable trade. When selecting the currency pair, traders want to observe two things. On the one hand, the trader wants to make sure he is buying the currency that has the higher interest rate and is selling the currency that has a lower interest rate in comparison. On the other hand, the trader also wants to view the health of the economy for the

currency pair to ensure the market will move to his/her favor. Essentially, the trader will be buying a currency with a stronger economy and selling the currency with a weaker economy. Some currency pairs that are usually selected to apply the carry trade strategy are: GBP/JPY, GBP/CHF, AUD/JPY, EUR/JPY, CAD/JPY, and USD/JPY. In the 2000s, the term carry trade became synonymous with the yen carry trade .

Carry Trade Strategy Example


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Scenario 2 (Boom Turns to Bust) Assume the yen has appreciated to 100, and that the mortgage bond portfolio has depreciated by 20%.

Total Proceeds = Interest on Bond Portfolio + Proceeds on Sale of Bond Portfolio

= $1,305,000 + $6,960,000 = $8,265,000

Total Outflows = Margin Loan ($7.83 million principal + 5% interest)+ Yen Loan (principal + 0.50% interest)

= $8,221,500 + 100,500,000 yen

= $8,221,500 + $1,005,000 = $9,226,500

Overall Loss = $961,500

Return on Investment = $961,500 / $870,000 = 110%

The Credit Crisis And The Carry Trade

The global credit crunch that developed from August 2007 led to the gradual unraveling of the yen carry trade. Starting with the collapse of Lehman Brothers and the U.S. government rescue of AIG, speculators began to be hit with margin calls as prices of practically every asset began sliding. To meet these margin calls, assets had to be sold, putting even more downward pressure on their prices. As credit conditions tightened dramatically, banks began calling in the loans, many of which were yendenominated. Speculators not only had to sell their investments at firesale prices, but also had to repay their yen loans even as the yen was surging. Repatriation of yen made the currency even stronger. In addition, the interest rate advantage enjoyed by higheryielding currencies began to dwindle as a number of countries slashed interest rates to stimulate their economies.

The unwinding of the gigantic yen carry trade caused the Japanese currency to surge against major currencies. The yen rose as much as 29% against the euro in 2008. By February 2009, it had gained 19% against the U.S. dollar since September, rising to a 13year high of about 90.

The global economy was also severely affected, as the collapse in asset prices affected consumer confidence and business sentiment, and exacerbated an economic slowdown. Nations whose currencies were heavily involved in the carry trade (such as Japan) would also face economic headwinds, as an unusually strong domestic currency can render exports uncompetitive.


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III. Rolul pre urilor n determinarea cursului de schimb. Paritatea puterii de cump rare

1. La nceputul anului 2009, cursul de schimb dintre leul romnesc i euro a fost 4,2567 lei pentru un euro. Rata anticipat a inflaiei n Romnia este de 8% n timp ce anticiparea de inflaie pentru zona euro este de 2%. Ct va fi cursul de schimb EUR/RON la sfritul anului conform PPP?

2. n fiecare an, revista The Economist public o versiune a cursului PPP (Hamburger Index), care compar preurile unui hamburger McDonalds n 120 de ri. Baza teoriei parit ii puterii de cumprare este legea preului unic (The Low of One

Price LoOP). Potrivit acestei legi, preul de vnzare al unui bun oarecare, exprimat n aceeai moned , ar trebui s fie acelai pe piee naionale diferite.

Tabel III.1. Indicele Big Mac 1 februarie 2008. Meniul MacMonede

standardul hamburger Indicator

ara

Pre Big Mac (n moned

local )

Pre Big Mac

(n dolari)

E ppp

(fa de dolar)

Curs de schimb

Apreciere (+) / Depreciere () fa de dolar

Statele Unite $3,57 3,57 Argentina Peso 11,0 3,64 3,08 3,02 2 Australia A$ 3,45 3,36 0,97 1,03 6 Brazilia Real 7,50 4,73 2,10 1,58 33 Canada C$ 4,09 4,08 1,15 1,00 14 Cehia Koruna 66,1 4,56 18,5 14,5 28 Chile Peso 1550 3,13 434 494 12 China Yuan 12,5 1,83 3,50 6,86 49 Danemarca DK 28,0 5,95 7,84 4,70 67 Egipt Pound 13,0 2,45 3,64 5,31 31 Hong Kong HK$ 13,3 1,71 3,73 7,80 52 Indonezia Rupiah 18700 2,04 5,238 9,152 43 Japonia Yen 280 2,62 78,4 106,8 27

Malaysia Ringgit 5,50 1,70 1,54 3,2 52 Marea Britanie 2,29 4,57 1,56 2,00 28 Mexic Peso 32,0 3,15 8,96 10,2 12 Norvegia Kroner 40,0 7,88 11,2 5,08 121 Noua Zeeland NZ$ 4,90 3,72 1,37 1,32 4 Ungaria Forint 670 4,64 187,7 144,3 30 Zona Euro 3,37 5,34 1,06 1,59 50

Sursa: www.economist.com


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Pe baza Tabelului III.1, rspundei la urmtoarele ntrebri: a) Se verific teoria parit ii puterii de cumprare (forma absolut) pe eantionul

de ri ales i pentru bunul ales? b) Care sunt monedele cu cel mai mare grad de supraevaluare? Explicai.

c) Care sunt monedele cu cel mai mare grad de subevaluare? Explicai. d) Presupunnd c n SUA i n China se produce un singur bun, identic, un hamburger McDonalds, ct ar fi cursul de schimb USD/CNY conform PPP?

e) Cu ct este sub/supraevaluat yuanul chinez fa de nivelul conform PPP? Dar moneda euro?

f) Calculai cursul real al yuanului fa de dolarul american. Facei legtura cu subpunctul e). Acceai cerin i pentru perechea EUR/USD.

g) Ct este cursul EUR/USD conform PPP? h) Cum anticipai evoluia monedelor din tabel pe termen mediu i lung? i) Exist posibilit i de arbitraj pe piaa BigMac? Cum influeneaz aceste

operaiuni preul Big Mac pe piee diferite?

3. Comentai figura de mai jos, care ilusteaz evoluia cursului real (2005=100) visavis de dolarul american pentru Germania, Romnia i China.

Sursa: ERS International Macroeconomic Data Set1

4. S se arate c atunci cnd leul este subevaluat fa nivelul calculat conform PPP, cursul real este supraunitar.

5. Se tie c n primele 8 luni ale anului 2008, leul sa depreciat cu 8% fa de euro, inflaia n Romnia a fost 7% fa de sfritul anului trecut, iar n zona euro aceasta a fost 3,75%. Cu ct sa apreciat/depreciat leul n termeni reali?

1 http://www.ers.usda.gov/Data/Macroeconomics/

0.00

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2000 2001 2002 2003 2004 2005 2006 2007 2008

Germania Romania China


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6. n Raportul BNR asupra inflaiei din august 2009 se afirm c n intervalul aprilieiunie, leul sa apreciat n raport cu euro cu 1,5% n termeni nominali i cu 2,1% n termeni reali. Cum explicai aceast diferen prin evoluia preurilor n cele dou ri?

7. n Raportul BNR asupra inflaiei din august 2009 se afirm c n intervalul aprilieiunie, leul sa apreciat cu 8,2% n termeni nominali i cu 8,9% n termeni reali. Explicai aceast diferen prin evoluia preurilor n cele dou ri?

8. Cum credei c se poate testa empiric dac teoria parit ii puterii de cumprare se verific n cazul cursului EUR/RON? Care credei c ar fi rezultatul analizei? Enumerai o serie de factori care determin deviaii de la teoria PPP pe termen scurt.

9. Comentai prin prisma efectului Balassa Samuelson urmtoarele grafice:

Figura III.1 2. Rata de cretere a productivitii n sectorul bunurilor tranzac ionabile i n cel al bunurilor netranzac ionabile

Diferena dintre rata de cretere a preurilor n sectorul bunurilor tranzac ionabile i n cel al bunurilor netranzac ionabile

Sursa: Mihaljek, D. i Klau, M. 2003. The BalassaSamuelson effect in central Europe: a disaggregated analysis. BIS Working Paper Nr. 143.

2 Notaii: CZ = Cehia, HR = Croatia, HU = Ungaria, PL = Polonia, SI = Slovenia, SK = Slovacia, XM = zona euro. Perioadele aferente: zona euro (1992:12001:3), Croatia (1995:12001:3), Cehia (19932001:3), Ungaria (1994 2001:3), Polonia (19942001:3), Slovacia (19952001:3) i Slovenia (19922001:3).


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17/55

17

Some economists criticise the theory, stating that endogenous factors, such as government policy, are much more influential in economic growth than exogenous factors.

There are many examples of countries which have converged with developed countries which

validate the catchup theory. In in the 1960s and 1970s the East Asian Tigers rapidly converged with developed economies. These include Singapore, Hong Kong, South Korea and Taiwan all of which are today considered developed countries. In the postwar period (19451960) examples include Germany, France and Japan, which were able to quickly regain their prewar status by replacing capital that was lost during World War II.

The Asian Tigers Abandoning import substitution, the model advocated in the developing world following the

two world wars, the Four Asian Tigers pursued an exportdriven model of economic development with the exportation of goods to highlyindustrialized nations. Domestic consumption was discouraged through government policies such as high tariffs. The Four Asian Tigers singled out education as a means of improving productivity; these territories focused on improving the education system at all levels; heavy emphasis was placed on ensuring that all children attended elementary education and compulsory high school education. Money was also spent on improving the college and university system.

Since the Four Asian Tigers were relatively poor during the 1960s, these nations had an abundance of cheap labor. Coupled with educational reform, they were able to leverage this combination into a cheap, yet productive workforce.

The common characteristics of the Four Asian Tigers are: Developed economies with high GDP per capita and high HDI Focused on exports to richer industrialized nations Trade surplus with aforementioned countries Sustained rate of doubledigit growth for decades

High level of U.S. treasury bond holdings Motivated and skilled workforces High savings rate These nations have met difficulties after they lost their initial competitive edge, cheap

productive labour. China, India and much of Southeast Asia have now emerged as fastgrowing economies based on cheap labour, largely replacing the Tigers.

1970s: Real GDP Increases by Percentage, Inflation by Percentage in Hong Kong

n Romnia convergena real se caracterizeaz prin manifestarea simultan a urmtoarelor evoluii:

ritmuri de cretere economic peste medie, ndeosebi n primele etape ale procesului de catchingup;

majorarea considerabil a venitului pe cap de locuitor; intrri masive de capital strin; tendin puternic de apreciere real a monedei naionale pn n 2008.


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18

Relaia dintre PIB pe cap de locuitor n PPS n anul 1999 i rata de cretere economic real cumulat n perioada 2008 1999.

Sursa: Eurostat


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19

IV. Balan a de pl i. Deficitul de cont curent

Rspundei la urmtoarele ntrebri:

1. Ce reprezint balana de pl i? 2. Care sunt componentele balanei de pl i? 3. Dai un exemplu simplu prin care s artai modul n care aprecierea nominal

afecteaz exporturile i importurile. 4. Dai un exemplu simplu prin care s artai c adevratul factor de influen a

exporturilor i importurilor este cursul real de schimb. 5. Ce v ateptai s se ntmple pe termen scurt cu soldul contului curent dup

deprecierea monedei naionale? 6. Explicai de ce cursul real este un indicator de competitivitate.

7.

Ce nelegei prin politic beggar thy neighbour? 8. Ce reprezint cursul efectiv? 9. Ce se nelege prin curba J? Ce reprezint efectul J? 10. Cum se nregistreaz n balana de pl i urmtoarele:

a. O firm din Romnia trimite n Turcia un transport de mrfuri n valoare de 50 mil lei, inclusiv cheltuieli de transport (freight 1 mil lei), urmnd s primeasc banii n 90 de zile (transportul se realizeaz cu un vas romn);

b. Plata aferent transportului de mai sus; c. O firm din Romnia a investit ntro sucursal n strintate, sucursal

care transfer firmei mam 10 mil lei sub form de dividende; d. Rezidenii din Romnia import bunuri n valoare de 65 mil lei, pe care le

pltesc cu bani pe care i dein la bnci straine (10 mil) i bani pe care i dein la bnci din Romnia (55 mil);

e. Turitii romni cheltuie n strintate 5 mil ron cumprnd valut de la bnci romne;

f. Un imigrant chinez n Romnia transfer 1 mil ron n China; g. Rezidenii romni achiziioneaz obligaiuni emise de BM n valoare de 40

mil ron.

11. Ct este deficitul de cont curent al Romniei? Cum apreciai dimensiunea acestuia?

12. Care este principala clas de produse importate de ctre Romnia? 13. Care este principala clas de produse exportate de ctre Romnia? 14. Cum se acoper deficitul de cont curent? 15. Ce nelegei prin sintagma suddenstop?


20/55

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22/55

22

September 3, 2007 10:00 PM

There is widespread agreement that Chinas currency is undervalued and harming the US economy. This harm works through the trade deficit and imports that displace spending on domestically produced goods, thereby injuring manufacturers. Additionally, the undervalued currency displaces investment by encouraging business to invest in China rather than the US. The challenge for the US is how to respond in light of Chinas exchangerate intransigence.

Through its persistent trade surpluses China has accumulated over $400bn of treasury securities and it is now the secondlargest foreign holder (after Japan) of government bonds. The fear is that China may retaliate against the US by selling bonds, causing the price of treasuries to fall and interest rates to rise. That in turn could trigger financial disruption, which in conjunction with higher rates could topple the economy into recession.

Such reasoning is deeply flawed for several reasons. First, China has little incentive to engage in such tactics. If it starts selling bonds that will drive prices down, causing large capital losses on its

holdings. More importantly, China has no interest in playing Russian roulette with the US economy as that threatens its own economy. The reason China refuses to revalue its exchange rate is because it wants to retain a competitive advantage enabling it to sell in US markets. Causing a US recession would destroy the very market in which it wants to sell. Worse than that, a US recession could trigger a global recession, thereby undermining markets in Europe and elsewhere that China also relies on.

The incredible shrinking surplus

Sep 3rd 2009 From The Economist print edition

Is China deliberately understating the size of its trade surplus?

CHINAS currentaccount surplus is seen by some as the root cause of the financial crisis. The good news is that after widening year after year it is now shrinking much faster than expected. In the first half of this year the surplus narrowed to $130 billion, onethird lower than a year earlier, and barely half its level in the second half of 2008. Not only has Chinas merchandise trade surplus narrowed, but investment income from Chinas stash of foreign reserves has also dropped. Arthur Kroeber at Dragonomics, an economicresearch firm, predicts that the currentaccount surplus is likely to drop to 5% of Chinas GDP this year, down from 11% at its peak in 2007. Belatedly, China seems to be doing its bit to rebalance the world economy.

But how accurate are Chinas figures? In theory Chinas trade surplus with America should match the deficit that America reports in its trade with China. The government in Beijing claims that its surplus with America fell to $62 billion in the six months to June. Yet official statistics from Washington, DC, show that America ran a deficit with China of $103 billion during the same period. There are similar disparities with other trading partners. Chinas reported surplus with the euro area is only half as big as the number published by European statistical offices. Even more striking is its trade balance with Japan: China says it had a deficit with Japan in the first half of this year, but Japanese data show instead that


23/55

23

Japan ran a deficit with China.

Chinas trade surplusand hence its currentaccount surplusis almost certainly bigger than that reported by Beijing, even if it is much smaller than the combined deficits reported by America and other trading partners. But for the rest of the global economy, the crucial thing is not the precise size of Chinas surplus, but the fact that it is finally shrinking.

IS CHINA MANIPULATING THE YUAN?3

The troublesome experience with competitive depreciations in the 1920s and 1930s convinced the international community that international rules were needed to discourage beggar thy neighbor exchange rate policies. Indeed, that was one of the main motivations for establishing the International Monetary Fund. Figure 4 shows the behavior of Chinas official foreign exchange reserves over the 19912003 period; figure 5 draws on monthly data to focus on the huge buildup of Chinas international reserves during the past two years. Suffice to say that these reserve developments suggest that, over the past two years, there has indeed been largescale, protracted intervention in the exchange market in one direction.

3 Barry Eichengreen (2006), China.s Exchange Rate Regime: The Long and Short of It, disponibil la:http://emlab.berkeley.edu/users/eichengr/policy/china_exc_rate_regime_May06.pdf


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But what exchange rate regime is best for China?

The theory of optimum currency areas is the obvious jumpingoff point for this analysis.This theory and its empirical counterpart suggest that large countries subject to distinctive businesscycle conditions will want a more flexible exchange rate, since they need to adjust monetary policy to

domestic conditions. In contrast, relatively open economies with weak financial systems will want a less flexible rate,

since volatility will be corrosive to financial stability and export growth.

Here we immediately see the dilemma confronting the Chinese authorities and the fact that there is no simple answer to the question of what exchange rate regime is right for the country. On the one hand, China is a large economy whose exceptionally rapid development and transformation subject it to distinctive business cycle risks. These structural factors create an obvious case for a more flexible rate. On the other hand, the country has a high export/GDP ratio and a weak financial system. These considerations point toward a less flexible rate. Splitting the difference suggests a moderate increase in flexibility, which was precisely the decision taken on July 21st 2005.

This framework also suggests that China will want to move over time in the direction of greater exchange rate flexibility. Sooner or later the country will have to address the problems in its banking and financial system, and a stronger financial system will enable it to cope more easily with the consequences of a more flexible exchange rate. Moreover, China will not run savings rates of 50 per cent forever; social demands for higher consumption standards, the development of financial markets that enable households and firms to insure themselves against market risks at lower cost, and the construction of a social safety net will make this so. We know that economies more dependent on domestic demand and less dependent on export demand demonstrably prefer a more flexible rate.

The appropriate regime given current conditions is a managed float in which the exchange rate is allowed to fluctuate more than in the last ten years. Greater flexibility will allow the authorities to

more effectively steer the economy. It will prevent domestic interest rates and financial conditions from being dictated by interest rates and financial conditions in the rest of the world, which becomes a growing danger as the capital account continues to open through a combination of policy action and market development.


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V. Factori de influen a cursului de schimb pe termen lung 4

I. Echilibrul pe piaa monetar este dat de teoria cantitativ a banilor. 1. Ce se poate spune despre rata inflaiei n ipoteza teoriei cantitative a banilor? 2. n cazul n care echilibrul pe piaa monetar este dat de teoria cantitativ a banilor, ce factori

influeneaz aprecierea/deprecierea monedei naionale pe termen lung? 3. Presupunem c n Romnia rata de cretere a masei monetare crete de la 5% pe an la 6%. Cum

credei c vor evolua pe termen lung oferta real de moned , PIB real, nivelul preurilor i cursul de schimb? (reprezentai grafic)

II. Echilibrul pe piaa monetar este dat de abordarea keynesist. 1. n Romnia rata de cretere a masei monetare este 10% pe an, iar n zona euro aceasta este

4.5% pe an. Ce efect are aceast diferen asupra cursului de schimb? 2. Romnia tinde s creasc mai repede dect zona euro. Cum influeneaz acest fapt cursul de

schimb? 3. Cum interpretai efectul net al influenelor de mai sus? 4. Presupunnd c rata de cretere a masei monetare n Romnia crete, cum se modific

raionamentul influenelor macroeconomice comparativ cu I.3.? (reprezentai grafic). 5. Este posibil ca efectele de mai sus s se nregistreze n economie chiar dac banca central nu

modific ritmul de cretere a masei monetare, dar agenii anticipeaz o cretere a ritmului de cretere a masei monetare?

III. Implicaiile modelului monetar pentru elaborarea politicilor statului. 1. Ce nelegei prin ancor nominal? S se identifice conform modelului monetar variabilele

economice care pot fi utilizate ca ancor nominal de ctre bncile centrale (utilizai ecuaiile modelului). S se identifice avantajele i dezavantajele fiecrei strategii.

2. Bncile centrale urmresc stabilitatea preurilor pe termen scurt? 3. Dai exemple de ri care au utilizat diferite ancore nominale dea lungul timpului.

IV. Se dau urmtoarele informaii: o lir sterlin valoreaz n prezent 2 dolari; un co de bunuri care n SUA cost 100 USD ar costa 120 USD n Marea Britanie. n urmtorul an Fed urmrete s menin o rat a inflaiei de 2% , iar Banca Marii Britanii intete o rat a inflaiei de 3%. Viteza de convergen ctre PPP forma absolut este de 15% pe an.

4 Seminar realizat pe baza Feenstra, R. C. & Taylor, A. (2008), International Macroeconomics, Worth Publishers, first edition.


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1. Care este diferenialul de inflaie SUA M.Britanie pentru anul viitor? 2. Care este n prezent cursul real GBP/USD? 3. Care este gradul de supra/subevaluare a dolarului? 4. Ct prezicei c va fi cursul real GBP/USD peste un an? 5. Care este rata de apreciere/depreciere real a dolarului n urmtorul an? 6. Care este rata de apreciere/depreciere nominal a dolarului n urmtorul an? 7. Ct prezicei c va fi cursul nominal GBP/USD peste un an?

V. Se consider dou ri: Japonia i Coreea. n 1996 Japonia a experimentat o rat sczut de cretere economic , 1%, n timp ce Coreea a crescut cu 6%. Banca Japoniei a permis o rat de cretere a masei monetare de 2% anual, n timp ce aceeai rat n Coreea a fost 12%. n contextul dat de cel mai simplu model monetar (I), rspundei la urmtoarele ntrebri:

1. Ct este rata inflaiei n Coreea? Dar n Japonia? 2. Care este rata de depreciere a wonului corean comparativ cu yenul japonez? 3. Ce se va ntmpla cu preurile n Coreea, cu masa monetar real i cursul de schimb dac

banca central a Coreei decide creterea ratei de cretere a masei monetare la 15%? 4. Presupunem c banca central a Coreei decide s fixeze moneda naional de cea a Japoniei.

Ce rat de cretere a masei monetare ar trebui s stabileasc Banca Coreei astfel nct valoarea wonului s rmn fix relativ la yen?

5. n cazul n care Banca Coreei urmrete aprecierea wonului relativ la yen, ct ar trebui s fie rata de cretere a masei monetare?

VI. n cadrul mai complex furnizat de modelul monetar de la II, utilizai aceleai informaii de la V pentru a rspunde la ntrebrile de mai jos. n plus, se cunoate c rata de dobnd la depozitele n yeni este 3%.

1. Care va fi rata de dobnd oferit de activele coreene? 2. Ce se poate spune despre ratele reale de dobnd n cele dou ri? 3. Banca Coreei decide creterea ratei de cretere a masei monetare la 15% (ceteris paribus). Cum

se modific rata de dobnd oferit de depozitele coreene? 4. Reprezentai grafic modul n care aceast decizie afecteaz variabilele macroeconomice din

Coreea.

VII. Att rile dezvoltate, ct i rile n curs de dezvoltare au experimentat o scdere a inflaiei ncepnd cu anii 80. Urmtoarele ntrebri i propun s evidenieze modul n care regimurile de curs de schimb i politica monetar au determinat acest fapt. Utilizai modelul monetar pentru a rspunde:


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27

1. Banca central a Elveiei intete n prezent rata de cretere a masei monetare pentru a atinge obiectivele sale. Dac rata de cretere a masei monetare este 8%, rata de cretere economiceste 3% (ceteris paribus), ct va fi rata inflaiei? Cum se poate atinge o rat a inflaiei consistent cu stabilitatea preurilor pe termen lung?

2. Banca central a Noii Zeelande utilizeaz ca int operaional rata de dobnd , care este 6%. Dac rata medie real din restul lumii este 1.5%, ct va fi rata inflaiei pe termen lung? n 1997 Noua Zeeland ia luat angajamentul de a ine inflaia sub nivelul 2.5%. Ct ar trebui s fie rata intern de dobnd?

3. Banca Naional a Slovaciei menine o band de fluctuaie fa de euro (+/ 15%, iar paritatea central este 35.4424 coroane la un euro). Calculai limita inferioar i cea superioar a acestei benzi. Inflaia n zona euro este 2%, iar n Slovacia este 5%. Va putea Slovacia s menin banda de fluctuaie? Pentru ct timp. Depinde rspunsul de poziia iniial a coroanei n cadrul benzii? Obiectivul BCE este stabilitatea preurilor n actuala i viitoarea zon euro. Este aceast band de fluctuaie o condiie necesar sau suficient pentru a atinge acest obiectiv?

4. n zona euro, BCE stabilete o rat de cretere a masei monetare egal cu 4.5%, obiectivul de inflaie este 2%, iar creterea economic real este 2.5% pe an. n ce condiii se pot atinge aceste valori pe termen lung?

VIII. Suntei guvernatorul bncii centrale ntro ar care dorete s adopte o nou ancornominal. n momentul ocuprii poziiei de guvernator, rata inflaiei este de 4%, iar inta pentru anul urmtor este de 2.5%, rata de cretere economic este de 3%, rata extern de dobnd este 1.5%.

1. n cazul n care ai alege ca ancor masa monetar , care ar trebui s fie rata de cretere a masei monetare?

2. Presupunnd c inflaia n zona euro este 2% i se urmrete utilizarea ca ancor nominalcursul de schimb, care ar trebui s fie gradul de apreciere/depreciere a monedei naionale fade euro astfel nct s se ating inta de inflaie? Se poate obine nivelul dorit al aprecierii/deprecierii?

3. Ultima opiune este utilizarea ratei de dobnd ca i ancor nominal. Pe baza relaiei lui Fischer calculai nivelul actual al ratei interne de dobnd i nivelul la care aceasta ar trebui sajung.

IX. Cum influeneaz creterea masei monetare cursul de schimb pe termen scurt (ceteris paribus)?


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29

Unul dintre principalele canale care duc la supranc lzirea economiilor emergente este cel al creditului, date fiind poziia dominant a bncilor n cadrul sistemului financiar3 i volumul sporit de capital accesibil dup eliminarea restriciilor privind contul de capital.

Expansiunea rapid a creditului a fost finanat de intrrile masive de capitaluri strine, n

special prin intermediul sistemului bancar, stimulate fiind de gradul sczut de nzestrare cu capital a forei de munc comparativ cu Europa de Vest, de anticiparea unei aprecieri reale pe termen lung a monedelor din regiune i de existena unor nsemnate difereniale de dobnd pozitive.

Cu siguran intrrile de capital prezint avantaje mari pentru sectorul bancar. Prezena operatorilor strini pe piaa bancar determin un mediu financiar mai stabil, mbunt irea guvernanei corporatiste i a capacit ii de gestionare a riscurilor.

n acelai timp, este rezonabil s consideri c expansiunea rapid a creditului poate depi capacitatea bncilor de a evalua riscurile, conducnd astfel la creterea asimetriei informaionale care ar putea avea drept rezultat o rat mai mare de nerambursare.

n Romnia, liberalizarea contului de capital i adoptarea strategiei de intire a inflaiei au fost realizate cu o relativ ntrziere fa de alte ri din Europa Central i de Est. Respectnd principiile menionate anterior, liberalizarea deplin a contului de capital a fost finalizat n anul 2006, nainte de aderarea Romniei la UE, i sa suprapus peste adoptarea strategiei de intire a inflaiei. Aceast strategie a fost implementat n anul 2005, dup ce a fost luat n considerare pentru prima dat n anul 2001, atunci cnd aceasta a fost menionat n Programul Economic de Preaderare ca opiune major a bncii centrale.


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32

VI. Cota ii valutare

Pe o pia FOREX se nregistreaz la un moment dat urmtoarele cotaii spot:

1. Ct ar trebui s fie cursul GBP/USD n Romnia, astfel nct o persoan s nu poat realiza arbitraj cumprnd lire n Romnia i vnznd lire la Londra;

2. Ct ar trebui s fie cursul GBP/USD n Romnia, astfel nct o persoan s nu poat realiza arbitraj cumprnd lire n Londra i vnznd lire n Romnia;

3. Ct ar trebui s fie cursul USD/JPY n Romnia, astfel nct o persoan s nu poat realiza arbitraj cumprnd yeni n Romnia i vnznd yeni n Londra.

4. Un exportator american incaseaza 25000 JPY. Sa se precizeze care este valoarea acestei sume exprimata in dolari.

5. Un turist american doreste sa viziteze Marea Britanie si schimba 5000 USD in lire sterline. De cate lire va dispune pentru excursie?

6. Se tie c ratele de dobnd pe 6 luni n zona euro sunt 4,1/4,5, iar n Romnia sunt 5,9/6,4. S se determine punctele swap 6M pentru cursul EUR/RON.

7. Sa se determine cotatia USD / RON.

8. Un investitor japonez are n cont 100000 de yeni. Ci yeni va mai avea n cont dac decide s cumpere 200 de franci elveieni. 9. Un exportator englez obtine de pe urma unei tranzactii cu o firma japoneza

10000 yeni. Sa se precizeze cate lire sterline va primi dupa schimbarea sumei in yeni. 10. Un american da ordin bancii sale de transforme 10000 de lire sterline in euro. Sa

se precizeze de cati euro va dispune americanul in cont dupa aceasta tranzactie.

Curs spot BID/ASK

EUR/USD 1,4676 / 1,4679

USD/JPY 89,02 / 89,07

USD/CHF 1,0328 / 1,0333

GBP/USD 1,5901 / 1,5905

AUD/USD 0,8619 / 0,8623

EUR / CHF 1,5178 / 1,5183

Rate BID/ASK

EUR/RON 4,2702 / 4,2708


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33

11. Un roman doreste sa vanda euro si sa incaseze dolari australieni. Sa se precizeze la ce curs poate realiza aceasta tranzactie.

12. S se verifice posibilitatea realizrii unui arbitraj triunghiular pe valutele EUR, USD i CHF.

13. S se arate cum se poate profita de pe urma posibilit ilor de arbitraj triunghilar dac o banc afieaz urmtoarea cotaie: USD/RON 2.9080/2.9086.

14. S se arate cum se poate profita de pe urma posibilit ilor de arbitraj triunghiular dac o banc afieaz urmtoarea cotaie: USD/RON 2.9110/2.9115.

15. Gsii o relaie prin care s determinai n ce condiii se poate practic o schemde arbitraj triunghiular utiliznd EUR,USD i RON (folosii figura de mai jos).

EUR/USD cotaii la 5 minute

Sursa: www.dailyfx.com

16. Explicai pe baza urmtoarelor scheme modul n care un market maker stabilete cursul forward. Completai sgeile din schem cu procesele aferente i identificai ordinea acestor procese.

A. Cursul forward de vnzare

Market makerul dorete s vnd 1

euro peste 1 an.

1/(1+r pEUR) EURazi

1EURpeste 1 an

S0 ask x 1/(1+r pEUR) RONazi

S0 ask x (1+r aRON)/(1+r pEUR) RONpeste 1 an

Fask RONpeste 1 an


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34

B. Cursul forward de cumprare

Market makerul dorete s

cumpere 1 euro peste 1 an.

17. Dac spreadul procentual al cotaiei spot EUR/RON este de 0,034%, spreadul absolut pentru rata dobnzii la RON de 2 p.p. i spreadul absolut pentru rata dobnzii la EUR de 1 p.p., determinai spreadul procentual al cotaiei forward la 3 luni.

18. Un investitor european achiziioneaz 10 obligatiuni TIPS (Treasury Inflation Protected Securities), avnd urmtoarele caracteristici: valoarea nominal 1000 USD, rata cuponului 4% (cupoanele se pltesc anual), scadena 3 ani, obligaiunea se ramburseaz la scaden , iar valoarea nominal se ajusteaz innd cont de rata inflaiei. n cel deal treilea an, cu suma obinut din obligatiunile deinute, investitorul dorete s investeasc n 200 de aciuni AXA de la bursa EURONEXT. Cursul spot EUR/USD n momentul schimbrii sumei din USD n EUR este 1,4672/1,4687. tiind c rata inflaiei pe perioada de deinere a obligaiunilor a avut evoluia din tabelul de mai jos, s se determine preul n EUR la care investitorul a achiziionat actiunile AXA.

Nr. ani 1 2 3 Rata inflaiei

2% 3% 1%

Fbid/(1+r pRON) RON

azi

Fbid RON

peste 1 an

[Fbid/(1+r pRON) ]/S 0 bid EURazi

Fbid x (1+r aEUR)/ S 0 bid x (1+rpRON) EURpeste 1 an

1 EURpeste 1 an


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Studiu de caz 1. FOREX Market

The foreign exchange market (currency , forex , or FX) trades currencies. It lets banks and other institutions easily buy and sell currencies.

The purpose of the foreign exchange market is to help international trade and investment. A foreign exchange market helps businesses convert one currency to another. For example, it permits a U.S. business to import European goods and pay Euros, even though the businesss income is in U.S. dollars.

The foreign exchange market is unique because of: its trading volumes, the extreme liquidity of the market, its geographical dispersion, its long trading hours: 24 hours a day except on weekends (from 22:00 UTC on Sunday until 22:00 UTC Friday), the variety of factors that affect exchange rates , the low margins of profit compared with other markets of fixed income (but profits can be high due to very large trading volumes), the use of leverage.

There is no unified or centrally cleared market for the majority of FX trades, and there is very little cross border regulation. Due to the over the counter (OTC) nature of currency markets, there are rather a number of interconnected marketplaces, where different currencies instruments traded. This implies that there is not a single exchange rate but rather a number of different rates (prices), depending on what bank

or market maker is trading, and where it is. In practice the rates are often very close, otherwise they could be exploited by arbitrageurs instantaneously. The main trading center is London, but New York, Tokyo, Hong Kong and Singapore are all important centers as well. Banks throughout the world participate. Currency trading happens continuously throughout the day; as the Asian trading session ends, the European session begins, followed by the North American session and then back to the Asian session, excluding weekends.

Fluctuations in exchange rates are usually caused by actual monetary flows as well as by expectations of changes in monetary flows caused by changes in gross domestic product (GDP) growth, inflation (purchasing power parity theory), interest rates (interest rate parity, Domestic Fisher effect, International Fisher effect), budget and trade deficits or surpluses, large cross border M&A (Mergers and Acquisitions)

deals and other macroeconomic conditions. Major news is released publicly, often on scheduled dates, so many people have access to the same news at the same time. However, the large banks have an important advantage; they can see their customersorder flow.

On the spot market, according to the BIS study, the most heavily traded products were:

EURUSD: 27%; USDJPY: 13%; GBPUSD (also called cable): 12%.


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37

Transaction Costs and Market Makers

Market makers are compensated for allowing clients to enter the market. They take part or all of the spread in all currency pairs traded. In a common example, EUR/USD, the spread is typically 3 pips ( percentage in point ) or 3/100 of a cent in this example. Thus prices are quoted with both bid and offer (i.e. ask ) prices (e.g., Buy EUR/USD 1.4903, Sell EUR/USD 1.4900). Traders buy at the higher offer or ask price, and sell at the lower bid price, thus giving up the difference, or the spread, as the cost of the

transaction. Of course, the actual price level may also change during the interval between buying and selling. That difference of 3 pips is the spread and can amount to a significant amount of money. Because the typical standard lot is 100,000 units of the base currency, those 3 pips on EUR/USD translate to $30 paid by the client to the market maker. However, a pip is not always $10. A pip is 1/100th of a cent (or whatever), and the currency pairs are always purchased by buying 100,000 of the base currency. For the pair EUR/USD, the quote currency is USD; thus, 1/100th of a cent on a pair with USD as the quote currency will always have a pip of $10. If, on the other hand, your currency pair has Swiss francs (CHF) as a quote instead of USD, then 1/100th of a cent is now worth around $9, because you are buying 100,000 of whatever in Swiss francs.


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38

VII. Tehnici de acoperire mpotriva riscului valutar

1. Presupunem c o companie romneasc are o datorie n franci elveieni peste 3 luni. Aceasta dorete s realizeze o operaiune de hedging folosind un contract forward, dup cum urmeaz:

De ce depinde rezultatul companiei n cadrul contractului forward? Discutai pe baza figurii de mai jos.

Figura VII.1. Payoff ul pentru cump r torul de forward (long forward)

2. Presupunem c o companie romneasc are o crean n franci elveieni peste 3

luni. Aceasta dorete s realizeze o operaiune de hedging folosind un contract forward, dup cum urmeaz:

De ce depinde rezultatul companiei n cadrul contractului forward? Discutai pe baza figurii de mai jos.

Figura VII.2. Payoff ul pentru vnz torul de forward (short forward)


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3. American Woodmark Corp. are de pltit peste 5 luni 750.000 GBP unui furnizor extern. Pentru a se proteja la fluctuaia cursului de schimb, importatorul ncheie un contract forward prin intermediul Citibank New York, care practic ratele dobnzii din tabelul urmtor. Cursul spot GBP/USD practicat de Citibank New York n prezent este 1,5478/512. S se discute eficiena operaiunii de hedging cu contracte forward, tiind cla scaden cursul spot GBP/USD este 1,5462/89.

Rata dobnzii

1M 3M 6M 9M pr ar pr ar pr ar pr ar

GBP 5,95% 6,07% 6,12% 6,30% 6,21% 6,39% 6,25% 6,45% USD 3,80% 4,00% 3,95% 4,15% 3,95% 4,32% 3,79% 4,03%

4. Petrom SA ncheie un contract forward pe cursul EUR/RON cu scadena peste 3 luni pentru suma de 10.000 EUR. Dac la scaden , pentru un curs spot de 4,25, compania ar obine un rezultat de 700 lei, iar pentru un curs de 4,3456, ar obine o pierdere de 256 lei, s se determine: poziia n contract i cursul forward.

5. Comentai pe baza urmtorului tabel diferenele dintre contractele forward i contractele futures.

6. Compania Impact are de pltit peste 2 luni suma de 100.000 USD. Pentru ai acoperi expunerea la riscul valutar, folosete contracte futures pe cursul USD/RON cu scadena peste 3 luni i pre la termen 2,9650. tiind c la momentul deschiderii poziiei,


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cursul spot 0tS a fost 2,95, iar valoarea unui contract futures este 1000 USD, s se discute rezultatul speculatorului n urmtoarele cazuri:

a) =1tS 2,9650, =) ,( 1 T tF 2,98; b) =1tS 2,9410, =) ,( 1 T tF 2,9550.

7. Un exportator are de ncasat peste 3 luni suma de 100.000 euro. Pentru ai acoperi expunerea la riscul valutar foloseste contracte futures pe cursul EUR/RON cu scadena 3 luni i pre la termen de 4,3750. tiind c la momentul deschiderii poziiei, cursul spot era de 4,37, s se determine rezultatul exportatorului dac la scadena contractului cursul spot devine:

a) ST = 4,3500; b) ST = 4,3850.

8. Un importator japonez va avea de pltit peste 3 luni suma de 650.000 USD. Cursul la vedere USD/JPY este de 120, iar cursul la termen de 123. Importatorul cumpr opiuni call de tip european (valoarea unui contract fiind de 50.000 USD), la pre de exerciiu 121 i prim de 2 JPY pentru 1 USD. Care va fi rezultatul operatorului dac la scaden cursul este:

a) 120; b) 122; c) 127.

9. Un investitor vinde 3 opiuni call USD/RON, valoarea unui contract fiind de 1.000 USD. PE este de 3,3 RON/USD, prima este de 0,02 RON pentru fiecare USD. Se

cere rezultatul

investitorului

dac

la

scaden

cursul

spot

este:

a) 3,2500; b) 3,4000; c) 3,5500

10. Un exportator elveian ncheie un contract de export de 1.000.000 USD cu scadena n iunie. Pentru a se proteja mpotriva deprecierii USD, cumpr 20 opiuni put a cte 50.000 USD fiecare. PE = 1,7150 USD/CHF, prima pltit = 0,025 CHF pentru 1 USD. Care este rezultatul exportatorului dac la scaden cursul USD/CHF este:

a) 1,67; b) 1,7; c) 1,73

11. Un investitor vinde 2 opiuni PUT, valoarea unui contract fiind de 2.000 USD, PE = 1,85 CHF/USD, prima = 0,02 CHF. Care este rezultatul dac la scaden cursul spot este:

a) 1,8 ; b) 1,84; c)1,87

12. Cursul spot este 1 EUR = 3,6000 RON. Un speculator anticipeaz o cretere a cursului i tranzacioneaz o opiune (dimensiunea contractului = 1000 EUR , prima c =


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0,05 RON pentru un EUR, E = 3,6500 RON/EUR) a) S se determine rezultatul speculatorului dac la scaden cursul este 1 EUR=3,5000 RON. b) Ct ar fi trebuit s fie cursul la scaden a.. rezultatul s fie un ctig de 50 RON.

13. Considerm un agent economic romn care la data de 1 martie 2007 a realizat un import din Italia n valoare de 10000 EUR, suma urmnd a fi pltit peste trei luni. n prezent, cursul pe pia este 1EUR=3,5000 RON.

a) ce poziie va lua ntrun contract pe opiuni a.. s se acopere mpotriva riscului valutar;

b) Pe pia exist opiuni call cu scadena peste trei luni i cu urmtoarele preuri de exerciiu: 3,6000, 3,6500, 3,7000, 3,7500, 3,8000. tiind c importatorul opteaz pentru opiunea call cu preul de exerciiu E=3,7000RON/EUR, dimensiunea contractului este de 1000 EUR, c= 0,05 RON, care este rezultatul su dac la scaden cursul este 3,7600, respectiv 3,6700.

14. a) Presupunem c un speculator a optat pentru o strategie format dintrun short call i short put, opiunile call i put au aceeai scaden , aceeasi valoare: 5000 EUR, acelai pre de exerciiu, 3,7000 RON/EUR, i aceeai prim , c=0,05 RON/EUR. Care sunt ateptrile speculatorului legate de cursul EUR/RON? Care este rezultatul su dac la scaden cursul este 3,5000; 3,7000, respectiv 3,8000. Tema: refaceti problema pentru pozitia long.

b) Presupunem c alt speculator opteaza pentru o strategie format dintrun

short call i un short put, opiunile call i put au aceeai scaden , aceeasi valoare: 5000 EUR, Eput =3,7000, Ecall = 3,8000, i aceeai prim , c=0,05 RON/EUR. Care sunt ateptrile speculatorului legate de cursul EUR/RON? Care este rezultatul su dac la scaden cursul este 3,5000, 3,6500, 3,8000, respectiv 3,8500. Tema: refaceti problema pentru pozitia long.

15. Un speculator anticipeaza o crestere a cursului de schimb si isi propune sa creeze o strategie cu cost minim folosind 2 opiuni call cu preuri de exercitare diferite care sai asigure un castig cand cursul creste. Sa se reprezinte grafic o astfel de strategie.

16. Un exportator va ncasa peste 2 luni 1000 USD. Pentru a se acoperi mpotriva riscului valutar, va tranzaciona o opiune cu prima c=0,05RON pentru un USD, dimensiunea contractului este de 1000 de USD, E=3,0000 RON/USD. S se stabileasca daca exportatorul exercita sau nu optiunea, tiind c la scaden cotaia USD/RON este 2,9900/3,0100. Sa se stabileasca daca un speculator care vrea sa profite de pe urma scaderii cursului de schimb ar exercita optiunea respectiva.


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17. Payofful unei strategii iniiat de un speculator este de forma:

( )

>


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II. Barclays distribuie avantajul comparativ net astfel: compania A 40%, compania B 40%, dealerul 20%.

a) Explicai pe baza schemei de mai jos modul de realizare a tranzaciei swap;

b) Ct este rata dobnzii aferent mprumutului realizat de compania A? Dar pentru B?

c) Ct este ctigul dealerului? d) Compania B previzioneaz o volatilitate ridicat a cursului de schimb n cel

deal doilea an aferent contractului swap. n acest scop, utilizeaz contracte forward, pe care le ncheie cu HSBC Bank Plc, avnd preul la termen 1,5628. Dac la scadena contractului forward, cursul spot GBP/USD este 1,4919, a fost acoperit riscul valutar?

19. Compania Microsoft (SUA) dorete s se mprumute 1.000.000 EUR la o rat de dobnd fix pe 3 ani, iar Nokia (Finlanda) dorete s se mprumute 1.470.000 USD la o rat de dobnd fix pe 3 ani. Ratele de dobnd la care se pot mprumuta cele doucompanii sunt:

Rata de dobnd la USD Rata de dobnd la EUR Microsoft (US) 5% 6,5% Nokia (EU)

7%

6%

Cele dou companii decid s ncheie un contract swap valutar pe 3 ani adresnduse unei bncidealer, respectiv Citibank (SUA). Citibank distribuie ctigul comparativ net astfel: Microsoft 30%, Nokia 40%. Cursul spot iniial este 1 EUR = 1,47 USD. S se determine:

a) Ctigul comparativ net i costul mprumuturilor suportate de Microsoft i Nokia (schema de realizare a contractului swap);

6 %

Dealer

(Barclays) Compania A

(DE) Compania B

(UK)

Banca X

(DE) Banca Y

(UK)

1 . 5

0 0

. 0 0 0

1.500.000 1.500.000

1.000.000 1.000.000

6%

?% 4%

?%

4 %


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44

b) Care este rezultatul lui Microsoft, Nokia i Citibank n fiecare an; c) Pentru a se acoperi la fluctuaia cursului EUR/USD, Microsoft utilizeaz

opiuni plain vanilla, avnd preul de exerciiu 1,4956 i prima 0,018 USD pentru un EUR. S se discute eficiena hedgingului cu opiuni, tiind c dolarul se depreciaz n fiecare an timp de 3 ani cu 1,2%.

20. Compania Tissot (Elveia) dorete s se mprumute 1.000.000 EUR la o rat de dobnd variabil pe 4 ani, iar compania Orange (Frana) dorete s se mprumute 1.635.000 CHF la o rat de dobnd fix pe 4. Ratele de dobnd la care se pot mprumuta cele dou companii sunt:

Rata de dobnd la CHF Rata de dobnd la EUR Tissot (CH) 7,45% EURIBOR+1,74% Orange (EU) 8,13% EURIBOR+0,62%

Cele dou companii decid s ncheie un contract swap valutar pe 4 ani adresnduse unei bncidealer, respectiv Socit Gnrale (Frana). Socit Gnrale distribuie ctigul comparativ net astfel: Tissot 35%, Orange 45%. Cursul spot iniial este 1 EUR = 1,635 CHF. S se determine:

a) Ctigul comparativ net, costul mprumuturilor suportate de Tissot i Orange (schema de realizare a contractului swap) i ctigul dealerului;

b) Care este rezultatul lui Tissot i Orange n fiecare an (EURIBORt+1=3,23%, EURIBORt+2=3,46%, EURIBORt+3=3,10%, EURIBORt+4=3,06%, unde t+i reprezint sfritul

anului i), att n sum absolut ct i n termeni procentuali; c) Dac euro se depreciaz n fiecare an timp de doi ani cu 0,56%, care va fi rezultatul nregistrat de Socit Gnrale n cel deal doilea an?


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Historical background

The initial liquidity crisis can in hindsight be seen to have resulted from the incipient subprime mortgage crisis, with the first alarm bells being rung by the 2006 HSBC results. The crisis was widely predicted by a number of economic experts and other observers, but it proved impossible to convince responsible parties such as the Board of Governors of the Federal Reserve of the need for action.

One of the first victims was Northern Rock, a major British bank. The highly leveraged nature of its business led the bank to request security from the Bank of England. News of this lead to investor panic and a bank run in midSeptember 2007. Calls by Liberal Democrat Shadow Chancellor Vince Cable to nationalise the institution were initially ignored, however in February 2008, the British Government relented, and the bank was taken into public hands. Northern Rocks problems proved to be an early indication of the troubles that would soon befall other banks and financial institutions.

Excessive lending under loosened underwriting standards, which was a hallmark of the United States housing bubble, resulted in a very large number of subprime mortgages. These highrisk loans

had been perceived to be mitigated by securitization. Rather than mitigating the risk, however, this strategy appears to have had the effect of broadcasting and amplifying it in a domino effect. The damage from these failing securitization schemes eventually cut across a large swath of the housing market and the housing business and led to the subprime mortgage crisis. The accelerating rate of foreclosures caused an ever greater number of homes to be dumped onto the market. This glut of homes decreased the value of other surrounding homes which themselves became subject to foreclosure or abandonment. The resulting spiral underlay a developing financial crisis.

Initially the companies affected were those directly involved in home construction and mortgage lending such as Northern Rock and Countrywide Financial. Financial institutions which had engaged in the securitization of mortgages such as Bear Stearns then fell prey. Later on, Bear Stearns was acquired by JP Morgan Chase through the deliberate assistance from the US government. Its stock price fell from the record high $154 to $3 in reaction to the buyout offer of $2 by JP Morgan Chase, subsequently the acquisition price was agreed on $10 between the US government as well as JP Morgan. On July 11, 2008, the largest mortgage lender in the US, IndyMac Bank, collapsed, and its assets were seized by federal regulators after the mortgage lender succumbed to the pressures of tighter credit, tumbling home prices and rising foreclosures. That day the financial markets plunged as investors tried to gauge whether the government would attempt to save mortgage lenders Fannie Mae and Freddie Mac, which it did by placing the two companies into federal conservatorship on September 7, 2008 after the crisis further accelerated in late summer.

It then began to affect the general availability of credit to nonhousing related businesses and to larger financial institutions not directly connected with mortgage lending. At the heart of many of these institutions portfolios were investments whose assets had been derived from bundled home mortgages. Exposure to these mortgage backed securities, or to the credit derivatives used to insure them against failure, threatened an increasing number of firms such as Lehman Brothers, AIG, Merrill Lynch, and HBOS. Other firms that came under pressure included Washington Mutual, the largest savings and loan association in the United States, and the remaining large investment firms, Morgan Stanley and Goldman Sachs.


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Risks and regulations

For some analysts the first half of the 2000 decade will be remembered as a time that financial innovations and the CRA requirement of mandated lending to non creditworthy individuals overwhelmed the capacity of both regulators and banks to assess risk in the financial markets. The case of Citigroup is emblematic: Citigroup had always been under Federal Reserve regulation, and its near collapse shows that the regulation was ineffective, and that government underestimated the crisis severity even after it began. Citigroup was not alone in not being capable to understand fully the risks it was taking. As financial assets became more and more complex, and harder and harder to value, investors were reassured by the fact that both the international bond rating agencies and bank regulators, who came to rely on them, accepted as valid some complex mathematical models which theoretically showed the risks were much smaller than they actually proved to be in practice. In George Soros opinion The super boom got out of hand when the new products became so complicated that the authorities could no longer calculate the risks and started relying on the risk management methods of the banks themselves. Similarly, the rating agencies relied on the information provided by the originators of synthetic products. It was a shocking abdication of responsibility.

Beginning with bankruptcy of Lehman Brothers on Sunday, September 14, 2008, the financial crisis entered an acute phase marked by failures of promine

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