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I. Rolul ratelor de dobândă în determinarea cursului de

schimb. Paritatea ratelor de dobândă

A. Considerăm că rata dobânzii aferentă unor titluri de stat emise în U.K. este 10%

anual. Cursul spot în prezent este 1 GBP = 1,6 USD. Se cere:

1. Dacă un investitor american ar deține 20.000 USD, şi doreşte să achiziționeze

titluri de stat emise de guvernul britanic pe perioada de un an, cât este randamentul

investiţiei sale?

2. Ştiind că peste un an cursul GBP/USD este 1,5, estimaţi randamentul investiţiei

în GBP echivalent în USD pentru titluri de stat deţinute.

B. Presupunem că un investitor român deţine suma de 10.000 RON timp de un an şi

are două alternative de investire:

a) Constituirea unui depozit în lei, rata dobânzii la depozitele în lei este 8%;

b) Constituirea unui depozit în euro, rata dobânzii la depozitele în euro este 4%.

În prezent cursul spot EUR/RON este 4,5281. Se cere:

3. Care credeţi că sunt principalii factori ce influenţează cererea pentru depozitele

într-o monedă?

4. Cât este randamentul unui depozit în valoare de 10.000 RON pe un an?

5. Presupunând că euro se apreciază în raport cu leul cu 4,5% într-un an, cât este

randamentul unui depozit în euro pe un an, ştiind că investitorul deţine 10.000 RON?

6. Cât ar trebui să fie cursul EUR/RON peste un an astfel încât sumele obţinute din

variantele a) şi b) să fie egale?

7. Dacă cursul EUR/RON estimat pentru momentul T=1 an este 4,5015, care dintre

cele dintre cele două variante este mai avantajoasă? Găsiţi o strategie prin care să obţineţi

un profit cert fără a folosi capital propriu.

8. Explicaţi care sunt principalii factori ce influenţează cursul de schimb spot

potrivit relației UIP.

C. Un investitor american are la dispoziţie o sumă de 100.000 de dolari, iar rata

dobânzii pe piaţa americană este de 2,75%. De asemenea, se cunosc ratele de dobândă şi

cursurile prezente şi aşteptate faţă de dolar pe următoarele pieţe:

Piaţa Rata dobânzii

la 3 luni

Curs actual Curs aşteptat

peste 3 luni

România 6% 3,5117 3,5000

Elveţia 1,5% 0,9252 0,9037

9. Ştiind că perioada de investire este de 3 luni, să se determine varianta optimă de

plasare a banilor pentru investitor.

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10. Cât este rata la depozitele în CHF exprimată în dolari?

11. Cât ar fi trebuit să fie cursul USD/RON peste trei luni astfel încât să fie

satisfăcută UIP?

12. Cum se poate acoperi investitorul american împotriva riscului de curs de schimb

în cazul în care optează pentru un depozit în franci elvețieni?

13. Interpretaţi relaţia dintre UIP si paritatea acoperită a ratelor de dobândă (en.

CIP) prin prisma teoriei pieţelor eficiente.

14. La un moment dat, pe piața financiară se înregistrează datele din tabelul de mai

sus. În cazul în care o bancă afișează un curs forward egal cu 3.6000 RON pentru 1 USD, să

se identifice dacă există posibilitatea pentru un agent economic de a realiza un profit fără

risc (posibilitate de arbitraj). Cum influențează acțiunile agentului de mai sus nivelul

cursului forward, ținând seama de faptul că ratele de dobândă la credite sunt egale cu cele

la depozite și nu există spread pe piața valutară?

15. În cazul datelor din tabelul de mai sus, o bancă afișează un curs forward egal cu

3.5200 RON pentru 1 USD. Există posibilități de arbitraj? Cum afectează acțiunile

arbitrajorului cursului de schimb?

16. Explicați pe baza următoarelor scheme paritatea acoperită și cea neacoperită a

ratei dobânzii. Completați săgețile din schemă cu procesele aferente.

I. Paritatea acoperită a ratei dobânzii

Este o condiție pentru

lipsa posibilităților de

arbitraj, investitorii sunt

indiferenți între activele

financiare denominate în

valute diferite, iar riscul

valutar a fost eliminat

prin contracte forward.

II. Paritatea neacoperită a ratei dobânzii

Riscul valutar este lăsat

„neacoperit”, iar

randamentul aferent

plasamentului în valută

variază în funcție de

cursul de schimb.

17. Răspundeți la următoarele întrebări după ce ați lecturat Caseta 1:

1 RONazi

(1+rRON) RONpeste 1 an

1/S0 EUROazi

(1+rEUR) X 1/S0EURpeste 1 an

F x (1+rEUR) x 1/S0 RONpeste 1 an

1 RONazi

(1+rRON) RONpeste 1 an

1/S0 EUROazi

(1+rEUR) X 1/S0EURpeste 1 an

S e x (1+rEUR) x 1/S0 RONpeste 1 an

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a) Ce reprezinta CIP?

b) La ce se refera conceptul Covered Interest Arbitrage?

c) Cum putem explica deviatiile de la CIP ?

d) Ce reprezinta UIP ? De ce este important studiul validitatii UIP ?

e) Care este legătura dintre comerțul cu valute și paritatea neacoperită a ratelor de

dobândă?

f) Care sunt sursele de profit în cadrul comerțului cu valute?

g) Care sunt efectele generate de comerțul cu valute pe piețele financiare

internaționale?

h) Care a fost rolul comerțului cu valute în declanșarea crizei financiare actuale?

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Caseta 1. Comerțul cu valute

How traders have been triumphing over economic theory

NO COMMENT on the financial markets these days is complete without mention of the “carry

trade”, the borrowing or selling of currencies with low interest rates and the purchase of currencies with high

rates. For some years smarties have been borrowing funds in Japan at its still amazingly low interest rates,

then lending the money in countries where nominal interest rates are a lot higher.

But why does the carry trade work? In theory, it shouldn't—or not for as long as it has. Foreign-

exchange markets operate under a state of “covered interest parity”. In other words, the difference between

two countries' interest rates is exactly reflected in the gap between the spot, or current, exchange rate and

the forward rate.

If that were not so, it would be possible for a Japanese investor to sell yen, buy dollars, invest those

dollars at high American interest rates for 12 months and simultaneously sell the dollars forward for yen to

lock in a profit in a year's time. The potential for arbitrage means such profits cannot be earned.

However, economic theory also suggests that “uncovered interest parity” should operate. In the real

world, uncovered interest parity has not applied over the past 25 years or so.

The carry trade has been a lucrative thing to do - just as long as the exchange rate between the yen

and the currency of the country where you lent the money doesn't move against you.

How the carry trade works

The mechanics of the carry trade are relatively straightforward. Currencies around the world are

tied to a set of interest rates that savers can expect to receive for investments denominated in that currency.

Borrowers, meanwhile, can expect to pay that rate for loans of the currency. Because countries vary in the

ways they monitor or control interest rates for their particular currency, there isn't necessarily any

connection among rates in different countries; for the most part, local economic conditions dictate local

interest rates, and to the extent that these local economic conditions aren't interrelated, interest rates in

different countries tend to move independently of each other.

Using the carry trade strategy involves three separate transactions. First, you must find a country

offering loans at a relatively low interest rate and borrow money denominated in that country's currency.

Second, you take the foreign currency that you just borrowed and exchange it for the currency of a different

country that is offering higher interest rates on investments. Third, once you've made the currency

conversion, you then invest your new currency and earn a relatively high rate of interest.

Risks of the carry trade

It's important to realize that although the carry trade has worked very well over the past decade, it is not

without risks. The key variable in determining whether a particular carry trade strategy will be profitable is

what happens to exchange rates during the time the trade is open. If the value of the borrowed currency

rises in relation to the value of the invested currency, then one's profits will be 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 dollar-yen carry trade strategy is that short-term 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

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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 carry-trade deals. As

they do, of course, the higher demand for the yen causes it to appreciate, thus wiping out the interest-rate

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 trader's main focus becomes the expectation on the direction of a country's 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

The carry trade is a popular trading strategy used in the FX market. It guarantees traders at least some

return on their medium and longer term positions.

In the Carry Trade, speculators buy high interest currencies and sell currencies with low interest rates. These

positions ensure that each trading day rollover-interest will be posted to the trader's account. Thus, the Carry

Trade has the potential to significantly enhance a trader's return.

Example - Leverage Cuts Both Ways in Yen Carry Trade

Let's run through an example of a yen carry trade to see what

can happen when the market is booming and when it goes bust.

1. Borrow 100 million yen for one year at 0.50% per

annum

2. Sell the borrowed amount and buy U.S. dollars at an

exchange rate of 115 yen per dollar

3. Use this amount (approximately US$870,000) as 10%

margin to acquire a portfolio of mortgage bonds paying

15%

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4. The size of the mortgage bond portfolio is therefore $8.7

million (i.e. $870,000 is used as 10% margin, and the

remaining 90%, or $7.83 million, is borrowed at 5%).

After one year, assume the entire portfolio is liquidated and the

yen loan is repaid. In this case, one of two things might occur:

Scenario 1 (Boom Times)

Assume the yen has depreciated to 120, and that the mortgage

bond portfolio has appreciated by 20%.

Total Proceeds = Interest on Bond Portfolio + Proceeds

on Sale of Bond Portfolio

= $1,305,000 + $10,440,000 = $11,745,000

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 + $837,500 = $9,059,000

Overall Profit = $2,686,000

Return on Investment = $2,686,000 / $870,000 = 310%

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%

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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 yen-denominated.

Speculators not only had to sell their investments at fire-sale 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 higher-yielding 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 13-year 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.