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

1 La nceputul anului 2009, cursul de schimb dintre leul romnesc ieuro a fost 4,2567 lei pentru un euro. Rata anticipat a infla iei n Romnia este de8% n timp ce anticiparea de inflaie pentru zona euro este de 2%. Ct va fi cursulde schimb EUR/RON la sfritul anului conform PPP?

2 n fiecare an, revista The Economist public o versiune a cursuluiPPP (Hamburger Index), care compar preurile unui hamburger McDonalds n120 de ri. Baza teoriei parit ii puterii de cump rare este legea pre ului unic(The Low of One Price LoOP) . Potrivit acestei legi, preul de vnzare al unui bunoarecare, exprimat n aceea i moned , ar trebui s fie acela i pe pie e na ionale

diferite.Tabel IV.1. Indicele Big Mac - 1 februarie 2008. Meniul MacMonede

standardul hamburger -

Indicator

ara

Pre Big Mac(n moned

local )

Pre BigMac

(n dolari)

E ppp(fa dedolar)

Cursde

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 33Canada C$ 4,09 4,08 1,15 1,00 14Cehia Koruna 66,1 4,56 18,5 14,5 28Chile Peso 1550 3,13 434 494 -12China Yuan 12,5 1,83 3,50 6,86 -49Danemarca DK 28,0 5,95 7,84 4,70 67Egipt Pound 13,0 2,45 3,64 5,31 -31Hong Kong HK$ 13,3 1,71 3,73 7,80 -52Indonezia Rupiah

18700 2,04 5,238 9,152 -43Japonia Yen 280 2,62 78,4 106,8 -27Malaysia Ringgit 5,50 1,70 1,54 3,2 -52Marea Britanie 2,29 4,57 1,56 2,00 28Mexic Peso 32,0 3,15 8,96 10,2 -12Norvegia Kroner 40,0 7,88 11,2 5,08 121Noua Zeeland NZ$ 4,90 3,72 1,37 1,32 4Ungaria Forint 670 4,64 187,7 144,3 30Zona Euro 3,37 5,34 1,06 1,59 50

Sursa: www.economist.com Pe baza Tabelului IV.1, r spundei la urm toarele ntreb ri:

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a) Se verific teoria parit ii puterii de cump rare (forma absolut ) peeantionul 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 yuan-ul chinez fa de nivelul conform PPP?

Dar moneda euro?f) Calculai cursul real al yuan-ului fa de dolarul american. Facei leg tura

cu subpunctul e). Acceai cerin i pentru perechea EUR/USD.g) Ct este cursul EUR/USD conform PPP?h) Cum anticipa i evoluia monedelor din tabel pe termen mediu i lung?i) Exist posibilit i de arbitraj pe pia a BigMac? Cum influeneaz aceste

operaiuni preul Big Mac pe piee diferite?

3 Comentai figura de mai jos, care ilustreaz evoluia cursului real(2005=100) vis-a-vis de dolarul american pentru Germania, Romniai China.

Sursa: ERS International Macroeconomic Data Set 1

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

5 n Raportul BNR asupra inflaiei din august 2009 se afirm c nintervalul aprilie-iunie, leul s-a apreciat n raport cu euro cu 1,5% n termeninominali i cu 2,1% n termeni reali. Cum explicai aceast diferen prin evoluiapreurilor n cele dou ri?

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

0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

8.00

9.00

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 nintervalul aprilie-iunie, leul s-a apreciat cu 8,2% n termeni nominali i cu 8,9% ntermeni reali. Explicai aceast diferen prin evoluia preurilor n cele dou ri?

7 Cursul real se calculeaz dup formula n f

PP

SR = , unde: S este cursulnominal, nP nivelul pre urilor n ar , f P nivelul preurilor n str in tate. Dac rata infla iei a teptate n zona euro este de 2%, rata infla iei a teptate n Romniaeste de 3,5%, iar gradul estimat de apreciere a monedei EUR ar fi de 0,05%, ctanticipa i c va fi modificarea procentual a cursului real?

8 Enumera i o serie de factori care determin deviaii de la teoria PPP petermen scurt.

9 Explica i efectul fisher.

1 Explica i de ce exportatorii sunt dezavantaja i atunci cnd moneda lorna ional se apreciaz n termeni reali n raport cu monedele str ine ? Dar dac moneda na ional se depreciaz n termeni reali ?

11 De ce sunt preurile rigide (en. sticky prices ) pe termen scurt? Ave i nvedere costul meniurilor.

12 Comentai prin prisma efectului Balassa Samuelson urm toarelegrafice:

Figura IV.1 2. Rata de cre tere a productivit ii n sectorul bunurilortranzac ionabile i n cel al bunurilor netranzac ionabile

Diferen a dintre rata de cre tere a pre urilor n sectorul bunurilor

tranzac ionabile i n cel al bunurilor netranzac ionabile

2 Nota ii: 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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Sursa: Mihaljek, D. i Klau, M. 2003. The Balassa-Samuelson effect in central Europe: adisaggregated analysis. BIS Working Paper Nr. 143.

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There are many examples of countries which have converged with developed countrieswhich validate the catch-up theory. In in the 1960s and 1970s the East Asian Tigers rapidlyconverged with developed economies. These include Singapore, Hong Kong, South Korea andTaiwan - all of which are today considered developed countries. In the post-war period (1945-1960)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 export-driven model of economic developmentwith the exportation of goods to highly-industrialized nations. Domestic consumption wasdiscouraged through government policies such as high tariffs. The Four Asian Tigers singled outeducation as a means of improving productivity; these territories focused on improving theeducation system at all levels; heavy emphasis was placed on ensuring that all children attendedelementary education and compulsory high school education. Money was also spent on improvingthe college and university system.

Since the Four Asian Tigers were relatively poor during the 1960s, these nations had anabundance of cheap labor. Coupled with educational reform, they were able to leverage thiscombination 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 double-digit growth for decades High level of U.S. treasury bond holdings Motivated and skilled workforces High savings rateThese 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 fast-growingeconomies 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 aurm toarelor evolu ii:

ritmuri de cretere economic peste medie, ndeosebi n primele etape ale procesului decatching-up;

majorarea considerabil a venitului pe cap de locuitor;

intr ri masive de capital str in; tendin puternic de apreciere real a monedei na ionale pn n 2008.

Rela ia dintre PIB pe cap de locuitor n PPS n anul 1999 i rata de cre tere economic real cumulat n perioada 2008 1999.

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Sursa: Eurostat

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ANEXA IV.1. Efectul Balassa-Samuelson

= 1)()( T T T T K L AY (BS.1) = 1)()( NT NT NT NT K L AY (BS.2)

unde: A reprezint factorul total de productivitate, L exprim input-urile demunc , iar K pe cele de capital.

T T T T K R LW Y = (BS.3) NT NT NT NT K R LW Y P = (BS.4)

unde: P reprezint nivelul preurilor din sectorul NT relativ la sectorul T, W estesalariul (acela

i n sectoarele T

i NT), iar R este rata dobnzii.

Substituind primele dou relaii n urm toarele dou obinem:T T T T T T K R LW K L A = 1)()( (BS.5)

NT NT NT NT NT NT K R LW K L AP = 1)()( (BS.6)

Maximizarea profitului presupune c productivitatea muncii i a capitalului trebuies fie egale cu preul celor doi factori (salariuli respectiv rata de dobnd ).

W K L AL

T T T T

T ==

11 )()(0 BS.7

RK L A

K T T T

T

T ==

)()()1(0

BS.8

W K L APL

NT NT NT NT

NT ==

11 )()(0 BS.9

RK L AP

K NT NT NT

NT

NT ==

)()()1(0

BS.10

n continuare, logaritm m relaiile BS7-10, le scriem pentru dou momente, 1 i 0,sc dem relaiile de la momentul 0 din cele de la momentul 1 i utiliz m

aproximarea ln(1+x)=x:)/(%)()1((%)(%)(%) T T T LK AW ++= (BS.11)

)/(%)()1((%)(%)(%)(%) NT NT NT LK APW +++= (BS.12)

)/(%)((%))1(%)((%) T T T LK A R += (BS.13)

)/(%)((%)(%))1(%)((%) NT NT NT LK AP R ++= (BS.14)

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Notnd modificarea procentual a variabilelor cu litere mici, iar )/(%)( LK cu k,relaiile BS.11-14 devin:

T T k aw += )1( (BS.15) NT NT k a pw ++= )1( (BS.16) T T k a = (BS.17) pk a NT NT = (BS.18)

Substituind BS.17 n BS.15, iar apoi BS.18 n BS.16, obinem:

T T T T akkkw ==+= )1( (BS.19)

NT NT NT k k pk pw =++= )1( (BS.20)

Rescriem ecuaia BS.16 n funcie de BS.20i obinem:

. NT T NT NT NT aaawak p ===

(BS.21)

Relaia BS.21 ilustreaz mecanismul de transmisie intern a efectului Balassa-Samuelson, sau modul n care creterea productivit ii n sectorul T relativ lasectorul NT afecteaz inflaia. S nu uit m c am normalizat pre urile din sectorul

T la nivelul 1, deci variabila PPPPPP p (%)lnln

0

0101

=== exprim modificarea

procentual a nivelului preurilor, T NT

PP

P = . Modificarea procentual a niveluluirelativ al pre urilor se poate scrie astfel:

T NT T NT p pPPP p === (%)(%)(%) .

Relaia BS.21 devine:

. NT T T NT aa p p =

(BS.22)

De asemenea, vom completa modelul lund n considerare o economie extern , cea a

zonei euro, pentru care variabilele vor fi notate cu *.Cursul real de schimb Q se calculeaz conform urm toarei formule:

RO

ZE

PPS

Q =

Scriind relaia de mai sus n modific ri procentuale i notnd modific rileprocentuale ale variabilelor cu litere mici, obinem:

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RO ZE p psq += .De asemenea, inflaia n Romnia i n zona euro se poate scrie n fincie depreurile din sectoarele T i NT, astfel:

NT T

RO p p p += )1(

NT T ZE p p p *)1(* +=

Unde T p exprim modificarea procentual a preurilor n sectorul T, iar )1,0( este o constant .Cursul real devine:

NT T NT T p p p psq ++= )1(*)1(* (BS.23)

Dar T p* se poate scrie ca fiind T T p p *)1(* .

Rescriem BS.23 n funcie de observaia anterioar :+++= NT T T NT T T p p p p p psq )1()1(*)1(*)1(*

)()1()**()1(* T NT T T NT T p p p p p psq ++= (BS.24)

Modelul Balassa-Samuelson presupune c paritatea puterii de cump rare severific , dar doar pentru bunurile tranzac ionabile, iar cursul de schimb este dictatcomplet de aceste bunuri. Conform PPP, T

T

PPS *=

, ceea ce se poate rescrie n forma

relativ astfel:T T p psS *(%) == . innd cont de aceast relaie, dar i de BS.22,

relaia BS.24 devine:

= NT T T NT aa p pq

)**()1( (BS.25)