TI CHNH QUC T

GII THIU MN HC
ThS. Trng Tin S Mail: ttsi_dhnh@yahoo.com.vn

GII THIU MN HC
Thi lng v iu kin tin quyt Mc tiu ca mn hc Ni dung chnh Gio trnh v ti liu tham kho Phng php nh gi kt qu hc tp Mt s quy nh khc

Thi lng v iu kin tin quyt

Thi lng theo quy nh
n v hc trnh: 3 (45 tit) n v hc trnh: 4 (60 tit)

iu kin tin quyt: hon thnh cc mn hc

Kinh t hc vi m Kinh t hc v m Kinh t hc v thng mi QT

MC TIU MN HC
Gip Sinh Vin:
Nm c kin thc c bn v cc kha cnh ti chnh - tin t quc t; Hiu v phn tch c cc chnh sch kinh t m cc chnh ph c th p dng tc ng n cc dng lu chuyn ti chnh quc t; nh gi v phn tch cc hot ng kinh doanh u t trn cc th trng ti chnh v tc ng cc cc dng lu chuyn ti chnh quc t.

NI DUNG CHNH
C s h tng ca cc quan h tin t ti chnh quc t S bin ng ca t gi h i oi v tc ng ca n n dng lu chuyn TCQT Cc l thuyt v t gi S hnh thnh v pht trin ca cc th trng ti chnh quc t

GIO TRNH V TI LIU THAM KHO

Nguyn Vn Tin (2008), Gio trnh Ti chnh quc t, NXB Thng k; Trn Ngc Th & Nguyn Ngc nh (2005), Gio trnh Ti chnh Qu c t . i hc Kinh t TP.HCM; Moosa, I.M., (1998), International Finance: an analytical approach The McGraw-Hill Companies, INC., Australia; Maurice D.Levi (1996), International Finance, Mc.Graw-Hill, Inc; Keith Pilbeam(1998), International Finance, Macmillan, London.

NH GI SINH VIN
Ni dung 1. im qu trnh Hnh thc - Ln lp y , tham gia thuyt trnh, kim tra 2. im thi ht mn - Trc nghim, cu hi tr li ngn, bi tp, gii quyt tnh hung, TOTAL C cu 30%

70%

100%

Mt s quy nh
V gi gic
Vo lp Ra v

V vic s dng in thoi

Chng 1
TNG QUAN V TI CHNH QUC T (Overview of international finance)

NI DUNG
1. i tng nghin cu ca TCQT 2. c trng ca TCQT 3. Tm quan trng ca TCQT 4. Ni dung nghin cu c th

1.1. i tng nghin cu ca Ti chnh quc t

TCQT nghin cu cc quan h ti chnh quc t pht sinh t cc lu chuyn quc t ca hng ha, dch v, ti sn v cc yu t sn xut nh vn, lao ng v k thut. Cc kha cnh tin t - ti chnh quc t

1.1. i tng nghin cu ca Ti chnh quc t

tm v m, TCQT nghin cu:
C s h tng ca cc quan h TCQT; Tc ng ca cc quan h TCQT n nn kinh t cc quc gia v h thng TCQT; Tc ng ca bin ng t gi ti cc quan h ti chnh v thng qua ti nn kinh t cc QG; Mi lin h gia cc chnh sch kinh t ca cc chnh ph v cc quan h TCQT;

1.1. i tng nghin cu ca Ti chnh quc t

tm vi m, TCQT nghin cu:
Cc hot ng huy ng vn v u t quc t ca cc doanh nghip; Cc hot ng qun tr ri ro t gi ca cc doanh nghip; Cc th trng ti chnh quc t c th: th trng tri phiu quc t, options, swaps

1.2. c trng ca TCQT

1.2.1. Ri ro hi oi 1.2.2. Ri ro chnh tr 1.2.3. S thiu hon ho ca th trng 1.2.4. C hi kinh doanh ton cu

1.2.1. Ri ro t gi hi oi
Ri ro do t gi hi oi bin ng bt li li nhun ca ng ngoi t c th bin mt. V d:
Gi s $1 = 100 v bn mua 100 c phiu ca Toyota vi mc gi 10,000/1 c phiu Mt nm sau, nh u t thu c li 10% bng yn: 110,000 Nhng nu ng Yn mt gi $1 = 120, vic u t thc s thua l.

1.2.2. Ri ro chnh tr
Cc chnh ph c quyn iu chnh s bin ng ca hng ha, vn v nhn lc xuyn bin gii. Nhng lut l ny c th thay i theo hng khng mong i

1.2.3. Th trng khng hon ho

Nhng gii hn lut php v s di chuyn ca hng ha, nhn lc v vn; Chi ph giao dch; Chi ph vn chuyn; Thu li tc

1.2.4. Ton cu ha nn kinh t th gii

S ni ln ca th trng ti chnh ton cu; S ni ln ca ng Euro nh mt ng tin ton cu; T do ha thng mi v hp nht kinh t; T nhn ha.

S ni ln ca th trng ti chnh ton cu

Bi b nhng quy nh trn th trng ti chnh cng vi pht trin cng ngh lm gim chi ph giao dch v chi ph thng tin; S i mi ti chnh, nh:
Th trng tin t options v futures Tri phiu vi nhiu ng tin khc nhau C phiu nim yt xuyn bin Cc qu ti chnh quc t,

S ni ln ca ng Euro nh mt ng tin ton cu

Mt s kin quan trng trong lch s h thng tin t th gii; Hn 300 triu ngi Chu u ca 17 quc gia ang s dng chung mt ng tin trong vic p ng cc nhu cu hng ngy; Phm vi giao dch ca ng euro c th tr nn rng ln hn la trong tng lai gn.

Gi tr ca ng Euro so vi la M

T do ha thng mi v lin kt kinh t

C s thay i ln trong thi ca nhiu chnh ph trn th gii khi c tm nhn m rng li ch v ng h t do ha thng mi nh mt cch chc chn nht em li s thnh vng cho cng dn ca h Hip nh chung v thng mi v thu quan (GATT) 1947, nh du mt khi u cho tin trnh t do ha thng mi v hp nht kinh t.

T do ha thng mi v lin kt kinh t

S thnh vin ca GATT/WTO tng ln nhanh chng t 23 thnh vin ban u nm 1947 n nay l 153 thnh vin.
180 160 140 120 100 80 60 40 20 0
1947 1958 1963 1968 1973 1978 1983 1988 1993 1998 2003 2008

153 137 118 78 40 23 51 81 83 87 90 141

T do ha thng mi v lin kt kinh t

Hng lot cc hnh thc lin kt, hp nht kinh t xut hin trong hn na th k qua, ban u l cc hnh thc lin kt ca cc Quc gia Chu u: EEC/EU 1957 Hin nay, c rt nhiu hnh thc lin kt, hp nht kinh t theo khu vc c thnh lp nh: AFTA, NAFTA, MECORSUR, Gn 400 Hip nh thng mi t do song phng ang cn hiu lc

T do ha thng mi v lin kt kinh t

Gi tr xut khu ca th k XX gp 700 ln so vi gi tr xut khu ca th k XIX. Tng kim ngch thng mi ton cu:
1948: $59 t 1953: $84 t 1963: $157 t 1973: $579 t 1983: $1.838 t 1993: $3.676 t 2003: $7.377 t 2009: $15.218 t
10 8 6 4 2 0 1950-60 1960-70 1970-80 1980-90 1990-00 2000-10

Tng trng TMQT (%)

Tng trng kinh t GDP (%)

MNCs/TNCs
Theo bo co u t th gii ca UNCTAD 2009, trn th gii hin c 82.000 TNC/MNC vi gn 810.000 cng ty con trn ton cu, doanh thu c t 25.000 t USD/nm, chim gn 1/2 tng kim ngch thng mi hng ha dch v ca ton th gii vi 6.664 t USD, s dng hn 77 triu lao ng, chim 80% cc dng vn u t trc tip nc ngoi v nm gi 90% cc thnh tu khoa hc cng ngh

Top 10 MNCs/TNCs nm 2009

1 2 3 4 5 6 7 8 9 10 General Electric Royal Dutch/Shell Group Toyota Motor Corporation ExxonMobile Corporation British Petroleum Co. PLC HSBC Holding AT&T Wal Mart stores Banco Santander Chevron United States UK/Netherlands Japan United States United Kingdom United Kingdom United States United States Spain United States

Ngun: http://www.justsharethis.com/top-10-biggest-companies-inthe-world-2009/

1.3. Tm quan trng ca TCQT

Nn kinh t mt nc lun l i tng chu nh hng su sc bi cc s kin xy ra nc ngoi. Tnh cht m ca ca nn kinh t nh hng n chnh sch kinh t, tin t ca mt quc gia.

1.3. Tm quan trng ca TCQT

Trc thp k 1970: TCQT ch c ging dy nh mt phn ca mn hc Kinh t quc t T thp k 1970: TCQT tr thnh mt lnh vc ring bit trong nghin cu kinh t

1.3. Tm quan trng ca TCQT

Nguyn nhn l (t thp nin 1970):
Ri ro t gi do s sp ca h thng Bretton Woods nm 1971; T do ha cc hot ng kinh t v tin b trong lnh vc giao thng vn ti v vin thng; S lin kt ca cc th trng ti chnh
Cc quan h TCQT tr nn phc tp hn

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1.3. Tm quan trng ca TCQT

Cc quan h TCQT tr nn phc tp hn:
Cc hot ng u t trc tip nc ngoi; Cc hot ng u t trn cc th trng tin t quc t, th trng tri phiu quc t v th trng c phiu quc t; Xut hin v ln mnh ca cc MNCs, cc hot ng mua li st nhp cng ty (M&A) xuyn bin; Cc lung vn ODA,

1.4. Ni dung mn hc
Phn 1: Gii thiu tng quan Phn 2: Mi trng ti chnh quc t Phn 3: T gi v cc l thuyt v t gi Phn 4: Cc th trng ti chnh quc t

1.4. Ni dung mn hc
Phn 1: Gii thiu tng quan Phn 2: Mi trng ti chnh quc t Phn 3: T gi v cc l thuyt v t gi Phn 4: Cc th trng ti chnh quc t

- Chng 1: Tng quan v TCQT

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1.4. Ni dung mn hc
Phn 1: Gii thiu tng quan Phn 2: Mi trng ti chnh quc t Phn 3: T gi v cc l thuyt v t gi Phn 4: Cc th trng ti chnh quc t
-

Chng 2: Cn cn thanh ton quc t Chng 3: H thng tin t quc t Chng 4: Th trng ngoi hi

1.4. Ni dung mn hc
Phn 1: Gii thiu tng quan Phn 2: Mi trng ti chnh quc t Phn 3: T gi v cc l thuyt v t gi Phn 4: Cc th trng ti chnh quc t - Chng 5: M hnh cung cu ngoi t v c ch xc nh t gi - Chng 6: cc hc thuyt v t gi

1.4. Ni dung mn hc
Phn 1: Gii thiu tng quan Phn 2: Mi trng ti chnh quc t Phn 3: T gi v cc l thuyt v t gi Phn 4: Cc th trng ti chnh quc t
-

Chng 7: Th trng tin t quc t Chng 8: Th trng tri phiu quc t

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Chng 2
CN CN THANH TON QUC T (Balance Of Payment BOP)

MC TIU
Tm hiu cc khi nim lin quan n BOP Tm hiu cu trc BOP Tip cn cch phn tch v nh gi tnh trng BOP Phn tch nh hng ca cc yu t n BOP

NI DUNG CHNH
3.1. Khi nim, c im v nguyn tc hch ton BOP 3.2. Cu trc ca BOP 3.3. Thng d v thm ht BOP 3.4. Cc yu t nh hng n BOP

13

3.1. Khi nim, c im v nguyn tc hch ton BOP

3.1.1. Khi nim: Cn cn thanh ton (Balance of Payment) ca mt quc gia l mt bn bo co thng k tng hp c h thng, ghi chp tt c cc giao dch kinh t gia ngi c tr v ngi khng c tr trong mt thi k nht nh, thng l mt nm.

Cc giao dch kinh t l cc giao dch:

Xut nhp khu hng ha v dch v; Thu nhp ca ngi lao ng, thu nhp t hot ng u t trc tip v u t gin tip; Chuyn giao vng lai mt chiu; Chuyn giao vn mt chiu; Chuyn giao vn vo trong nc v chuyn vn ra nc ngoi trong lnh vc u t trc tip, u t vo cc giy t c gi;

Ngi c tr
Bao gm cc t chc hoc c nhn trong nc; Vn phng i din nc ngoi ca cc t chc trong nc; Cng dn trong nc c tr nc ngoi di 12 thng; Cng dn trong nc i du lch, hc tp, cha bnh v thm ving nc ngoi khng k thi hn; Ngi nc ngoi c tr VN t 12 thng tr ln (Theo quy nh iu 3 Ngh nh 164/1999/N CP v qun l Cn cn thanh ton quc t ca VN)

14

Khi nim
Ng
i khng c
tr bao gm cc t chc hay c nhn nc ngoi Ngoi ra, ngi khng c tr cn bao gm: Vn phng i din ca cc t chc nc ngoi trong nc Cng dn trong nc c tr nc ngoi trn 12 thng Cng dn nc ngoi i du lch, hc tp, cha bnh v thm ving trong nc khng k thi hn Ngi nc ngoi c tr trong nc di 12 thng

Khi nim
-

Vit Nam: Ngn hng Nh nc Vit Nam l c quan chu trch nhim ch tr, lp, theo di v phn tch cn cn thanh ton ng tin hch ton l USD

ngha BP Trng thi BOP nh hng trc tip ln t gi hi oi, l cng c quan trng pht tn hiu v tnh trng ca nn kinh t, v cc vn kinh t v m BP c ngha c bit quan trng i vi Chnh ph Doanh nghip

15

c im BOP
Ghi chp cc lung chu chuyn hng ha, dch v hay ti sn Ghi chp cc thay i v TS N v TS C gia Ngi c tr v Ngi khng c tr Ging b/c v ngun vn v s dng vn ca doanh nghip, cn cn thanh ton cho bit, trong mt thi k nht nh, mt quc gia c cc ngun tin t u v s dng ngun tin nh th no Minh ho

Nguyn tc hch ton BP

Nguyn tc bt ton kp: mt bt ton ghi n bao gi cng c mt bt ton ghi c tng ng v ngc li; Cc giao dch c ghi n l cc giao dch lm pht sinh cu ngoi t Cc giao dch c ghi c l cc giao dch lm pht sinh cung ngoi t

3.2 Cu trc ca BP

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3.2 CU TRC CA BP
Cn cn thanh ton gm 4 b phn chnh: - Cn cn vng lai - Cn cn vn - Cn cn tng th - Cn cn b p chnh thc

Khon mc giao dch CN CN VNG LAI 1. Xut khu, Nhp khu hng ha 2. Xut khu, Nhp khu dch v 3. Tip nhn, Chi tr thu nhp (lng, li, c tc) 4. Chuyn giao vng lai mt chiu (vin tr, kiu hi) CN CN VN 5. u t trc tip (ra nc ngoi, vo trong nc) 6. u t gin tip (ra nc ngoi, vo trong nc) 7. Ti sn khc (tn dng, tin gi, khc) 8. Nhm ln v sai st thng k CN CN D TR CHNH THC 9. D tr chnh thc D tr Vng, ngoi t, SDR, Tn dng IMF, Vay khc CN CN THANH TON

N (-) -35

C (+) + 400

-450 -10 +2 + 23 + 30 + 120 + 20 -130 -10 +5 +5 +5 0 0 + 30

Cn cn Vng lai (BCA)

Thng mi hng ha
Xut khu v nhp khu hng ha

Thng mi dch v
Xut khu v nhp khu dch v

Thu nhp
Thu v chi tr lng, thu nhp t u t (tin li, c tc)

Chuyn giao mt chiu v mc ch tiu dng

Vin tr khng hon li, chuyn tin t nhn, qu biu

Cn cn Vng lai = s d ti khon Vng lai

17

Cn Cn Vn (BKA)
Chuyn giao vn mt chiu
Vin tr pht trin c s h tng, Xa n vay

u t trc tip
u t mi, Hp nht v St nhp

u t gin tip
C phiu, tri phiu, chng khon phi sinh

u t khc
Tn dng thng mi, Tn dng ngn hng, Tin mt, Tin gi

Cn cn Vn = s d ti khon Vn

CN CN C BN (BB)
Cn cn c bn bng tng hai cn cn: cn cn vng lai + cn cn vn di hn Cn cn c bn phn nh tng i tng qut tnh trng n nc ngoi ca mt quc gia Tnh trng cn cn c bn nh hng lu di n nn kinh t v t gi hi oi

D tr chnh thc
D tr vng v ngoi t ca chnh ph D tr SDR ti IMF Ti sn d tr khc Ti tr ngoi l
Quan h tn dng vi chnh ph cc nc (cc NHTW khc)

Cn cn d tr (b p) chnh thc

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CN CN TNG TH (OB)
Cn cn tng th bng tng hai cn cn: cn cn vng lai + cn cn vn; Trong thc t, cn cn tng th cn bao gm mt hng mc c gi l nhm ln v sai st

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3.3 THNG D V THM HT CN CN THANH TON

3.3 THNG D V THM HT CN CN THANH TON

Vi nguyn tc bt ton kp, cn cn thanh ton lun cn bng Khi ni cn cn thanh ton thm ht thng d l cc nh kinh t mun ni thm ht hay thng d ca mt nhm cn cn b phn nht nh trong cn thanh ton hay n cc cn

ng thc c bn ca BOP
Trng thi cn cn b phn
Thm ht (Tng C < Tng N) Thng d (Tng C > Tng N) Cn bng (Tng C ~ Tng N)

ng thc c bn ca BOP
Cn cn tng th lun trng thi cn bng

CA + KA + OR = 0
(khng c sai st thng k, ngha l eo = 0)

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3.3.1 THNG D V THM HT CN CN THNG MI CCTM c th cho bit: Xu hng vn ng ca CCVL Mc m ca ca nn kinh t Nng lc cnh tranh ca nn kinh t Tnh trng CCTM nh hng trc tip v nhanh chng n t gi, tng trng kinh t v lm pht V d, CCTM thm ht thng tc ng lm t gi tng, ng ni t gim gi

3.3.2 THNG D V THM HT CN CN VNG LAI Tnh trng CCVL nh hng trc tip v nhanh chng n t gi, tng trng kinh t v lm pht Nu thng d, n phn nh ti sn c rng ca quc gia tng ln Nu thm ht, n phn nh ti sn n rng ca quc gia tng ln

3.3.3 THNG D V THM HT CN CN C BN Cn cn c bn phn nh tng qut tnh trng n nc ngoi ca mt quc gia v vn di hn c c trng ca s phn phi li thu nhp tng i n nh trong mt thi gian di gia mt quc gia v phn th gii cn li

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3.3.3 THNG D V THM HT CN CN C BN S b p cho nhau gia thng d ca CCVL v thm ht cn cn vn di hn c th c duy tr lu di

3.3.4 THNG D V THM HT CN CN TNG TH Di ch t gi c nh: - Tnh trng mt cn bng cn cn tng th cho bit p lc dn n ph gi hay nng gi ni t; - duy tr t gi c nh, NHTW dng d tr ngoi hi can thip CA + KA = - OR

3.3.4 THNG D V THM HT CN CN TNG TH Di ch t gi th ni: - Cn cn tng th lun c xu hng vn ng tr li trng thi cn bng CA + KA = 0 hoc CA = - KA Trng thi thm ht (thng d) ca CA c ti tr bng trng thi thng d (thm ht) ca KA T gi t ng thay i, qua iu chnh trng thi BOP

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3.4 Cc yu t nh hng n BP
Cc yu t tc ng n cn cn vng lai Cc yu t tc ng n cn cn vn

3.4.1 Cc yu t nh hng n cn cn vng lai

Tng trng kinh t T gi hi oi Lm pht Cc ro cn thng mi

Tng trng kinh t

Quc gia c mc tng trng kinh t cao thng tri qua thi k thm ht cn cn thng mi

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T GI HI OI
T gi bin ng tc ng ln XK v NK Trong iu kin h s co gin ca cu hng ha XK v cu hng ha NK tng i cao th khi t gi tng s lm tng XK v gim NK; iu ny c th dn n ci thin CCVL

T GI HI OI
Trong qu kh, nhiu nn kinh t thng s dng bin php ph gi ni t ci thin CCVL Ngy nay, nhiu nn kinh t thc hin chnh sch duy tr ng tin yu to li th cnh tranh v gi v ci thin CCVL

T GI HI OI
C s l thuyt (iu kin Marshall-Lerner) cng nh bng chng thc nghim (hiu ng tuyn J) ch ra rng ph gi khng phi lc no cng dn n ci thin CCVL;

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T GI HI OI
V mt l thuyt, iu kin Marshall-Lerner ch ra rng: - Ph gi ni t s c nh hng tch cc n CCVL nu nh tng gi tr h s co gin (h s co gin cu XK +h s co gin cu NK) ln hn 1

T GI HI OI
-

iu kin Marshall-Lerner ch ra rng: Ph gi to ra hai hiu ng, hiu ng gi v hiu ng lng Hiu ng gi l nhn t lm cho CCVL xu i Hiu ng lng l nhn t gp phn ci thin CCVL Tnh trng CCVL sau khi ph gi ph thuc vo tnh tri ca hiu ng khi lng hay hiu ng gi c

T GI HI OI
-

Cc bng chng thc nghim ch ra rng: Ph gi thng khng trnh c hiu ng tuyn J CCVL thng xu i sau khi ph gi, sau dn dn mi c ci thin theo thi gian

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T GI HI OI
Hiu ng tuyn J:
Cn cn vng lai Thng d(+) t1 0 Tuyn J

t2

t3

Thm ht (+)

T GI HI OI
Ba nguyn nhn chnh gii thch hiu ng tuyn J: Phn ng ca ngi tiu dng din ra chm Phn ng ca ngi sn xut din ra chm Cnh tranh khng hon ho

LM PHT
Mt quc gia c mc lm pht cao hn so vi cc i tc thng mi thng tri qua thi k thm ht CCVL

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Cc ro cn thng mi
Nhiu quc gia s dng cc ro cn thng mi bo v CCVL Bin php ny khng thch hp trong bi cnh t do ha thng mi

3.4.2 Cc yu t nh hng n cn cn vn Li sut Cc loi thu Cc bin php kim sot vn Cc k vng v thay i t gi

3.4.2 Cc yu t nh hng n cn cn vn
Li sut Cc loi thu Cc bin php kim sot vn Cc k vng v thay i t gi - Li sut mt quc gia tng s lm cho cc ti sn ti chnh ca quc gia hp dn cc nh u t nc ngoi cn cn vn c th c ci thin trong ngn hn

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3.4.2 Cc yu t nh hng n cn cn vn
Li sut - p dng cc loi thu Cc loi thu Cc bin php kim sot nh trn li vn (capital vn gain) hoc nh trn cc Cc k vng v thay i t khon thu nhp u t gi

(c tc v li cho vay) s lm cho cc chng khon khng cn hp dn cc nh u t nc ngoi cn cn vn c th b xu i

3.4.2 Cc yu t nh hng n cn cn vn
Li sut Cc loi thu Cc bin php kim sot vn Cc k vng v thay i t gi
-

Cc nh u t la chn u t vo cc chng khon nc ngoi nu mc sinh li cao hn Mc sinh li ca chng khon nc ngoi ph thuc vo mc sinh li danh ngha ca chng khon v mc thay i t gi

3.4.2 Cc yu t nh hng n cn cn vn
-

Li sut Cc loi thu Cc bin php kim sot vn Cc k vng v thay i t gi

Khi mt ng tin tng gi, mc sinh li ca chng khon ghi bng ng tin s tng Mt ng tin c k vng l tng gi th cc chng khon ghi bng ng tin s hp dn nh u t nc ngoi Cn cn vn ca mt quc gia c th c ci thin nu ng tin ca quc gia c k vng l tng gi

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Chng 3
TH TRNG NGOI HI (The Foreign Exchange Market FOREX)

MC TIU
Gii thiu cc c trng ca TTNH Xc nh cc ch th tham gia TTNH Cc khi nim c bn v t gi, cc loi t gi Cc giao dch ngoi hi c bn

NI DUNG
2.1 Khi nim v c trng TTNH 2.2 Chc nng v vai tr ca TTNH 2.3 Ch th tham gia th trng 2.4 T gi v cc vn v t gi 2.5 Cc giao dch ngoi hi c bn

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3.1. Khi nim v c trng ca Th trng ngoi hi

Th trng ngoi hi l g?
L th trng cc ng tin ca cc quc gia khc nhau c mua bn vi nhau; Ngoi hi y ch yu l cc khon tin gi ngn hng.

Ngoi hi khc vi ngoi t nh th no?

c trng ca th trng ngoi hi

Th trng ti chnh ln nht; Th trng cnh tranh hon ho nht; Hot ng hiu qu; Th trng Over-The-Counter(OTC); C tnh ton cu, hot ng lin tc 24/24 gi; Trung tm l th trng lin ngn hng; Cc ng tin giao dch ch yu: USD, EUR, YEN, GBP, CHF, CAD, AUD, NZD, SGD

3.2. Chc nng v vai tr ca th trng ngoi hi

Chc nng ca FOREX
Cung cp cc dch v cho khch hng thc hin cc giao dch thng mi quc t; Gip lun chuyn vn quc t; L ni xc nh t gi hi oi; Cung cp cc cng c bo him ri ro t gi.

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3.2. Chc nng v vai tr ca th trng ngoi hi

Vai tr ca FOREX
Thc y thng mi v u t quc t; To iu kin NHTW c th can thip v tc ng ln t gi theo hng c li cho nn kinh t

3.3. Phn loi theo hnh thc t chc

Ngn hng thng mi (commercial banks); Ngn hng trung ng (central banks); Doanh nghip (Firms); Qu u t (Investment funds); Cc nh mi gii (broker companies); Khch hng mua bn l (private customers) Mc ch ca cc ch th trn th trng?

S mi quan h gia cc thnh vin

NHTW

KH mua bn l

NHTM

NHTM

KH mua bn l

Mi gii

31

3.4. T GI V CC VN V T GI
3.4.1. Khi nim v t gi 3.4.2. Cc loi t gi 3.4.3. Yt t gi 3.4.4. Yt gi trc tip v gin tip 3.4.5. T gi cho

KHI NIM T GI
T gi hi oi l gi ca mt ng tin c biu th thng qua ng tin khc T gi l t l trao i gia hai ng tin V d:
1USD=16.050VND 1EUR=1.3250USD 1GBP=1.258EUR 1USD=112.36JPY

CC LOI T GI
T gi c nh v t gi th ni T gi giao ngay v t gi k hn T gi mua vo v t gi bn ra T gi chnh thc T gi th trng t do/ ch en T gi tin mt v t gi chuyn khon T gi cho

32

YT T GI
1la M i c 118.54 yn Nht
1USD= 118.54 JPY USD1= 118.54 JPY 118.54JPY/USD JPY 118.54/USD USD/JPY 118.54 USDJPY 118.54 S(JPY/USD)=118.54

YT T GI
Quy c cch c t gi: Vi hai ng tin x v y: T gi gia hai ng tin c yt nh sau:

S(x/y)
S n v ng tin x trn mt n v ng tin y V d: 16.050VND/USD hay S(VND/USD)=16.050 y l ng yt gi, c n v l 1 x l ng nh gi, biu th gi tr ng tin y S(x/y) tng y tng gi so vi x

YT T GI
Quy c cch yt t gi: T gi nghch o ca S(x/y) l S(y/x) Mi quan h gia hai t gi ny:
S ( y / x) = 1 S ( x / y)

V d: S(USD/GBP)=1.7518 S(GBP/USD) =1/S(USD/GBP) =0.5708

33

YT GI TRC TIP V GIN TIP

Yt gi trc tip Cho bit mt n v ngoi t bng bao nhiu n v ni t
Yt gi gin tip Cho bit mt n v ni t bng bao nhiu n v ngoi t 6 ng tin yt gin tip: GBP, IEP, AUD, NZD, EUR, SDR

Phn bit cch yt trc tip hay gin tip ch mang tnh tng i, di gic ca mt quc gia

Cu hi
-

Cc quc gia yt trc tip hay gin tip? Vit Nam, Thi Lan, Singapore M, Canada c, Anh, New Zealand, Iceland Khu vc ng EUR

T GI MUA VO V BN RA
T gi mua vo (Bid rate) L t gi m ti nh ti nh to gi sn sng mua vo ng tin yt gi T gi bn ra (Ask rate/Offer rate) L t gi m ti nh to gi sn sng bn ra ng tin yt gi

Thng thng t gi bn ra ln hn t gi mua vo V d: 16020 16030 VND/USD

34

T GI MUA VO V BN RA
Chnh lch t gi mua vo bn ra
Spread = Ask rate Bid rate

Spread = Ask Bid100% Bid Spead ph thuc vo cc yu t no?

T GI MUA VO V BN RA
Spread ph thuc vo:
-

Gi tr giao dch Th trng ngoi hi ni din ra giao dch Tnh n nh ca ng tin giao dch T trng giao dch ca ng tin trn th trng Ngoi t tin mt hay chuyn khon hay sc

IM T GI
1USD = 1.3540 CHF 1GBP = 1.7350 USD 1USD = 118.02 JPY 1USD = 15800 VND 1 im l 0.0001 CHF 1 im l 0.0001 USD 1 im l 0.01 JPY 1 im l 1 VND

35

IM T GI
Thng thng l mc thay i ti thiu ca t gi c yt im t gi l n v (thng thng l s thp phn) cui cng ca t gi c yt theo thng l trong cc giao dch ngoi hi. 1 im t gi (1 point) c gi tr khc nhau ty thuc vo ng tin lin quan v cch yt t gi

T GI CHO
Khi nim: T gi cho l t gi gia hai ng tin c suy ra t t gi ca hai ng tin vi ng tin th ba T gi cho gin n: Gi s: c 3 ng tin x, y, z Khng c chi ph giao dch C t gi gia x v z, y v z Cn tnh t gi gia x v y

T GI CHO
T gi cho gin n: Trng hp 1: Bit S(x/z) v S(y/z) (z l ng tin yt gi trong c 2 t gi)

S ( x / y) =

S ( x / z) S ( y / z)

V d: Cho S(JPY/USD)=118,54 S(VND/USD)=16.011 S(JPY/VND)=?

36

T GI CHO
T gi cho gin n: Trng hp 2: bit S(x/z) v S(z/y) (z va l ng yt gi, va l ng nh gi)
S(x/y)=S(x/z).S(z/y)

V d: Cho S(JPY/USD)=118,54 S(USD/EUR)=1,2708 S(JPY/EUR)=?

T GI CHO
T gi cho gin n: Trng hp 3: bit S(z/x) v S(z/y) (z l ng nh gi trong c 2 t gi)
S ( x / y) = S (z / y) S ( z / x)

V d: Cho S(USD/AUD)=0.5871 S(USD/EUR)=1.3108 S(EUR/AUD)=?

T GI CHO
T gi cho mua vo bn ra: Nguyn tc xc nh: Nh to th trng (ngn hng) lun mua thp bn cao

37

T GI CHO
T gi cho mua vo bn ra: Trng hp 1: ng tin trung gian l ng yt gi trong c 2 t gi Bit S(VND/USD)=(a,b) S(HKD/USD)=(c,d) S(VND/HKD)=(x/y)
x=a/d y=b/c

T GI CHO
T gi cho mua vo bn ra: Trng hp 2: ng tin trung gian va l ng nh gi, va l ng yt gi Bit S(VND/USD)=(a,b) S(USD/GBP)=(c,d)
x= a.c y = b.d

S(VND/GBP)=(x/y)

T GI CHO
T gi cho mua vo bn ra: Trng hp 3: ng tin trung gian l ng nh gi trong c 2 t gi Bit S(USD/AUD)=(a,b)
x = c/b y = d/a

S(USD/GBP)=(c,d) S(AUD/GBP)=(x/y)

38

Nghip v kinh doanh chnh lch t gi (triangular arbitrage)

Qu trnh loi b s khng thng nht v t gi gia 3 ng tin 2 bc thc hin nghip v triangular arbitrage: Kim tra xem t gi gia cc ng tin c thng nht khng? Xc nh qu trnh thc hin nghip v S dng m hnh hnh tam gic (triangle) xc nh quy trnh kinh doanh

Nghip v kinh doanh chnh lch t gi (triangular arbitrage)

3.5. CC GIAO DCH NGOI HI C BN

Giao dch ngoi hi giao ngay (forex spot transactions) Giao dch ngoi hi k hn (outright forex forward transactions) Giao dch hon i ngoi hi (forex swaps) Giao dch quyn chn tin t (currency options) Giao dch tin t tng lai (currency futures)

39

S cc giao dch ngoi hi

FOREX MARKETS

SPOT

FORWARD

SWAPS

FUTURES

OPTIONS

GIAO DCH NGOI HI C S

GIAO DCH NGOI HI PHI SINH

CC GIAO DCH NGOI HI C BN

Giao dch giao ngay (Forex Spot) Giao dch K hn (Forward)

Giao dch ngoi hi giao ngay (Forex Spot Transaction)

Forex Spot l giao dch trong hai bn tha thun mua bn ngoi hi theo t gi c tha thun ngy hm nay v vic giao hng c thc hin trong vng 2 ngy lm vic i tng mua bn trong mt giao dch ngoi hi giao ngay l cc khon tin gi ngn hng ghi bng cc ng tin khc nhau

40

Giao dch ngoi hi giao ngay (Forex Spot Transaction)

Hai ngy lm vic l thi gian cn thit lm th tc ghi c ti khon ngn hng i tc s tin tha thun Mi giao dch ngoi hi c hai ngy lin quan: ngy giao dch v ngy gi tr

Giao dch ngoi hi giao ngay (Forex Spot Transaction)

Ngy giao dch Ngy gi tr

T3 0

T4 1

T5 2 0

T6

T7

CN

T2

Ngy giao dch

Ngy gi tr

Giao dch ngoi hi k hn

Giao dch ngoi hi k hn (outright forex forward transastion) l giao dch mua bn ngoi hi trong t gi c hai bn tha thun ngy hm nay v vic giao hng (chuyn i tin t) c thc hin ti mc t gi vo mt ngy xc nh trong tng lai

41

Giao dch ngoi hi k hn

Ngy giao dch v ngy gi tr
Nhn USD &thanh ton VND Mua USD k hn 3T 14/09 16/09 16/12

Giao dch

Spot value date

Forward value date

Giao dch ngoi hi k hn

Giao dch ngoi hi k hn s dng bo him ri ro t gi: Cc khon phi thanh ton nhp khu Cc khon phi thu xut khu Cc khon u t bng ngoi t Cc khon i vay bng ngoi t

CNG THC TNH T GI K HN

Fn l t gi k hn S(A/B) l t gi giao ngay iA l li sut k hn ca ng nh gi (tnh %/nm) iB l li sut k hn ca ng yt gi
Fn ( A / B ) = S ( A / B ) x (1 + i A ) (1 + i B )

42

Giao dch ngoi hi k hn

im k hn s tuyt i(p): p =F(A/B)-S(A/B) im k hn tng i:

p=

F ( A / B) S ( A / B) 12 x100 x S ( A / B) N

im k hn

p = iA iB
T l % ln gi (hay gim gi) l tng ng vi chnh lch li sut gia hai ng tin

Tng trng doanh s giao dch ngoi hi ton cu trung bnh mi ngy

T ng trng doanh s giao dch ngoi hi ton cu trung bnh mi ngy

2000 1800 1600 1400 T USD 1200 1000 800 600 400 200 0 27 1989 58 1992 97 1995 NM 128 1998 131 2001 208 534 776 1137 1174 Total Forward 1430 1773

2004

Ngun: Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity in April 2004 - BIS

43

Thi gian giao dch cc trung tm ngoi hi

Trung tm Sydney Tokyo Hong Kong Singapore Bahrain Frankfurt London NewYork Chicago Open Time (GMT) 01:00 01:00 02:00 03:00 05:30 07:30 08:30 13:00 14:00 Close Time (GMT) 09:00 09:00 10:00 11:30 10:30 15:30 16:30 20:00 21:00

San Francisco

15:30

23:00

Chng 4
H thng tin t quc t v ch t gi
(The International monetary system)

Mc tiu
Tm hiu khi nim H thng Tin t quc t Tm hiu cc ch t gi Kho st lch s pht trin H thng tin t quc t

44

Ni dung
1. 2. 3.

Khi nim c bn v HTTTQT Cc ch t gi Qu trnh pht trin ca HTTTQT

1. HThng Tin T Quc T

1.1 Khi nim v HTTQT 1.2 Vai tr ca HTTQT 1.3 Hai b phn cu thnh HTTQT 1.4 Tiu ch phn loi HTTQT

1.1 Khi nim HTTTQT

HTTTQT l mt h thng cc quy tc, cc quy nh, cc t chc quc t iu chnh cc quan h ti chnh gia cc quc gia

45

1.1 Khi nim HTTTQT

HTTTQT cho bit: T gi gia cc ng tin c xc nh nh th no; D tr quc t gm nhng g; S mt cn i cn cn thanh ton ca mt quc gia c iu chnh nh th no

1.2 Vai tr ca HTTTQT

HTTTQT ng vai tr quan trng v:
-

Tnh cht ca HTTTQT nh hng n thng mi v u t quc t; Tnh cht ca HTTTQT nh hng n s phn b cc ngun ti nguyn trn th gii; HTTQT ch r vai tr ca chnh ph v cc nh ch ti chnh quc t trong vic xc nh t gi khi m chng khng c php vn ng theo cc th lc th trng.

1.3 Hai b phn cu thnh HTTTQT Hai b phn cu thnh ca HTTTQT: Khu vc cng: cc tha thun gia cc Chnh ph v chc nng ca cc nh ch ti chnh quc t cng Khu vc t: ngnh cng nghip ngn hng v ti chnh

46

1.4 Tiu ch phn loi HTTTQT Hai tiu ch phn loi ca HTTTQT: Mc linh hot ca t gi: h thng t gi c nh, h thng t gi th ni, h thng t gi th ni c iu tit c im ca d tr ngoi hi quc t: Bn v hng ha (pure commodity standards) Bn v ngoi t (pure fiat standards) Bn v kt hp (mixed standards)

2. Phn loi ch t gi theo mc linh hot ca t gi Ch t gi c nh Ch t gi th ni/linh hot Ch t gi th ni c qun l Ch t gi c nh nhng c iu chnh Ch t gi c nh, tuy nhin c linh hot trong phm vi mt bin Ch t gi b trn Ch hai loi t gi

2.1 Ch t gi c nh (Fixed Exchange Rate regime/ Arrangement) NHTW n nh mc t gi ngang gi NHTW chu trch nhim duy tr t gi c nh duy tr t gi c nh, NHTW can thip trc tip bng cch thay i d tr ngoi hi NHTW cng c th can thip bng cc bin php khc

47

2.1 Ch t gi c nh
-

Trng hp cu vt cung: NHTW can thip th no? NHTW bn ngoi t t d tr ngoi hi (lm gim d tr ngoi hi) mt lng bng cu vt cung

2.1 Ch t gi c nh
Trng hp cu vt cung:
S(d/f) (St)o
S can thip ca NHTW

(St)1 S(o) (Df)1 (Df)0 Qo Qf

2.1 Ch t gi c nh
Trng hp cung vt cu:
S(d/f) (St)o (St)1
S can thip ca NHTW

So S1 (Df)0 Qo Q1 Qf

(Df)1

48

2.1 Ch t gi c nh
-

Trong thc t: Th trng dng nh khng bao gi cn bng mc t gi c nh Thng xy ra trng hp t gi c c nh di mc cn bng ca th trng ni t c nh gi cao (overvalued)

2.1 Ch t gi c nh
T gi c nh di mc cn bng v p lc y t gi v pha cn bng ca th trng
S(d/f) Sf
im cn bng ca th trng (point of market equilibrium)

S(fixed) Df
Cu v t cung

Qs

Qd

Qf

2.1 Ch t gi c nh
NHTW phi lm g duy tr t gi c nh? La chn 1: Can thip vo TTNH Bn ra mt lng ngoi t bng vi lng cu vt cung ti mc t gi Sfixed: Tuy nhin, nu cu lin tc tng, NHTW s khng c ngoi t can thip, d tr ngoi t s nhanh chng cn kit; La chn ny ch mang tnh tnh th, tm thi trong ngn hn

49

2.1 Ch t gi c nh
La chn 2: a ra cc bin php kim sot ngoi t: Hn ch vic chuyn i t ni t sang ngoi t Quy nh kt hi p dng h thng a t gi Hn ch lu chuyn thng mi

2.1 Ch t gi c nh
La chn 2: a ra cc bin php kim sot ngoi t: Nhc im: Pht sinh th trng ch en Tng chi ph kim sot th trng ch en v cc giao dch chuyn tin bt hp php Tng chi ph cho doanh nghip Pht sinh nn quan liu, tham nhng Cc bin php hn ch lu chuyn thng mi khng ph hp vi cam kt t do ha thng mi v u t

2.1 Ch t gi c nh
La chn 3: Gim pht nn kinh t:
-

Theo ui chnh sch tht cht tin t nh gim cung tin v tng li sut; Theo ui chnh sch ti kha tht lng buc bng nh tng thu v gim chi tiu chnh ph Tng chi tiu ca nn kinh t s gim, k c chi tiu nhp khu Kt qu l nhu cu ngoi t gim v c th km nn c t gi mc c nh ban u

50

Nhn xt
S(d/f)

Sf

Sfixed

Tng hp cc bin php: Can thip trn th trng ngoi hi Kim sot ngoi hi Gim pht nn kinh t

Df Qf

Nhn xt Cc bin php m NHTW a ra c th y ng cu v bn tri v duy tr c t gi c nh nh mong mun Nhng cc iu chnh kinh t v m nh vy nhiu khi gy au n cho nn kinh t v t gi khng cn l cng c ca chnh sch kinh t v m u nhc im ca ch t gi c nh?

2.2 CH T GI TH NI (Perfectly floating exchange rate regime) T gi thay i lin tc duy tr s cn bng ca th trng ngoi hi T gi vn ng theo quy lut cung cu NHTW khng can thip vo t gi

51

2.2 CH T GI TH NI
S(d/f) (Sf)0 S1 S0
(Dt)o (Dt)o

Q0 Q1

Qf

2.2 CH T GI TH NI
S(d/f)

2.3CH T GI TH NI C QUN L (Managed floating exchange rate regime)

T gi v c bn l c th ni/ linh hot NHTW c th can thip vo th trng hn ch mc bin ng ca t gi, nhng khng cam kt l s duy tr mt mc t gi c nh no hoc bin dao ng xung quanh t gi trung tm

52

2.4 CH T GI C NH NHNG C IU CHNH (Fixed but adjustable exchange rate regime)

T gi c nh c chnh thc iu chnh khi NHTW thy s iu chnh nh vy l cn thit Hai loi iu chnh: ph gi v nng gi Ph gi (devaluation): l hnh ng NHTW tng t gi c nh lm gim gi ng gi tr ng ni t mt cch chnh thc Nng gi (Revaluation): l hnh ng NHTW gim t gi c nh lm tng gi tr ng ni t mt cch chnh thc

2.4 CH T GI C NH NHNG C IU CHNH

NHTW c nn ph gi mnh ng ni t? Ph gi c nh hng mnh n chnh tr. Di mt cng chng:

-

Ph gi l biu hin yu km ca chnh ph trong iu hnh nn kinh t Ph gi to p lc lm pht, lm xi mn sc mua ca ni t, nh hng trc tip n i sng ca dn chng

2.5 CH T GI C NH V NG THI LINH HOT TRONG PHM VI MT BIN (Regime of fixed exchange rate and flexible within a band)

T gi c php linh hot trong phm vi mt bin c xc nh bi hai gii hn: gii hn trn v gii hn di t gi ngang gi (par value); T gi c hiu l c nh ch n khng c php vn ng ra khi gii hn ca bin V d: H thng tin t Bretton Woods v H thng tin t Chu u (European Monetary System EMS)

53

2.5 Ch t gi c nh v ng thi linh hot trong mt phm vi bin

S(d/f)

Upper Limit Par value

Lower Limit T

2.6 Ch t gi b trn (Crawling Peg)

Peg: c nh/ bnh qun T gi c iu chnh theo t gi bnh qun ca mt giai on trc hay c gn vi mt ch s kinh t V d: T gi c iu chnh bng mc bnh qun tun trc hay thng trc T gi c iu chnh theo mc lm pht

2.7 Ch hai t gi (Dual exchange rate regime)

Ch ny pha trn hai loi t gi: t gi c nh v t gi linh hot T gi c nh p dng cho cc giao dch vng lai T gi linh hot p dng cho cc giao dch vn Mc ch: tch bit cc giao dch thng mi khi cc bin ng t gi do cc hot ng lu chuyn vn ngn hn mang tnh cht u c to nn

54

3. Qu trnh pht trin ca h thng tin t quc t

3.1 H thng song bn v vng trc 1875 3.2 H thng bn v vng c in 1875 1914 3.3 Giai on gia hai th chin 3.4 H thng Bretton Woods 1945 1971 3.5 H thng tin t quc t hin hnh

3.1 H thng song bn v vng trc 1875

Vng v bc thc hin chc nng lm phng tin trao i v lu thng trong nn kinh t Cc quc gia nh ngha n v tin t quc gia va theo vng va theo bc T l chuyn i gia hai kim loi c quy nh chnh thc Vng v bc u c s dng lm phng tin thanh ton quc t T gi gia cc n v tin t c xc nh theo gi tr ca vng v bc

3.1 H thng song bn v vng trc 1875

Quy lut Gresham: tin xu y tin tt ra khi lu thng gii thch s sp ca h thng song bn v T cui nhng nm 1860, do bc c khai thc v sn xut nhiu, bc dn b mt gi v khng cn c s dng nh ngha cho n v tin ca nhiu quc gia H thng song bn v bc vng ln lt sp

55

3.2 H thng bn v vng c in 1875 1914 (Gold standard)

Nhng c im chnh ca h thng bn v vng: NHTW mi nc n nh gi vng bng ni t T gi gia hai ng tin c xc lp trn c s hm lng vng ca hai ng tin t gi ngang gi vng (min parity) T gi trn th trng c th dao ng ln xung xung quanh t gi ngang gi vng v trong phm vi mt bin c gii hn bi cc im vng (gold point) Cn cn thanh ton c iu chnh da trn c ch lu thng gi vng (price specie flow mechanism)

C ch lu thng gi vng (PSFM)

Thng d Tch ly d tr Cung tin tng Mc gi tng
XK gim v NK tng

Cn bng

XK tng v NK gim Mc gi gim Cung tin gim D tr gim Thm ht

nh gi h thng bn v vng c i n
-

Cc mt tch cc: Thng mi v u t th gii pht trin v hng thnh; Khuyn khch phn cng lao ng quc t v gip gia tng phc li th gii; C ch iu chnh cn cn thanh ton vn hnh trn tru; Mu thun quyn li gia cc quc gia t khi xy ra

56

nh gi h thng bn v vng c i n
-

Cc mt hn ch: Hn ch s nng ng ca NHTW trong vic iu tit lng tin trong lu thng; C ch iu chnh cn cn thanh ton vn hnh trn c s thay i mc gi, thu nhp v tht nghip nn kinh t thng xuyn phi tri qua thi k bt n Quc gia thm ht CCTT phi ra thi k nh n v tht nghip gia tng Quc gia thng d CCTT phi tri qua thi k lm pht Khng c c ch rng buc cc quc gia tun th lut chi

3.3 Giai on gia hai th chin

-

Trc 1926: Tnh trng lm pht phi m H thng t gi th ni 1926 1931: Ch hi oi vng da trn ng bng Anh: ng bng chuyn i ra vng Cc ng tin khc chuyn i sang bng Anh Nm 1931, cc nc yu cu chuyn i bng Anh ra vng Anh Quc phi th ni ng bng 1931 1939: thp k i suy thoi

3.3 Giai on gia hai th chin

-

L do tht bi ca ch hi oi vng da trn ng bng: Thi k vng son ca ch bn v vng ch l mt truyn thuyt; Kinh t th gii tri qua nhng bin ng ln bi chin tranh v i suy thoi, v vy: Mc t gi trc chin tranh khng cn thch hp; Gi c v tin lng tr nn cng nhc; Cc quc gia theo ui chnh sch v hiu ha mi lc ca vng; London khng cn l trung tm ti chnh c u th nht;

57

3.4 H thng Bretton Woods (1945 1971)

S ra i Cc quy c ca h thng Vai tr ca IMF v hn mc tn dng Cc vn ca h thng S sp ca h thng

S ra i ca h thng BWs
S cn thit phi c mt h thng tin t quc t mi thc y thng mi v u t quc t sau chin tranh H thng tin t quc t sau Chin tranh th gii II ra i Bretton Woods, New Hampshire H thng tin t quc t BW gn vi vic thnh lp 2 t chc ti chnh quc t: Ngn hng Th gii (World Bank WB) Qu tin t quc t (International Monetary Fund)

Cc quy c ca h thng Bretton Woods H thng t gi c nh nhng c th iu chnh vi cc quy c nh sau: ng USD l ng tin duy nht c nh gi theo vng, c nh mc USD35/Ounce v M sn sng mua vo v bn ra vng mc gi ny vi s lng khng hn ch;

58

Cc quy c ca h thng Bretton Woods

-

Cc nc xc nh v cng b mc ngang gi ca cc ng tin ca h i vi vng hoc USD, v duy tr mc ngang gi trn th trng ngoi hi bng cch bn ra v mua vo USD; Cc nc c trch nhim duy tr t gi hi oi vi dao ng cho php l +/-1%; Trong trng hp BOP mt cn i c bn, cc quc gi c th tin hnh ph gi hoc nng gi ng tin; mc thay i trn 10% phi c s chp thun ca IMF

Vai tr ca IMF
- m bo h thng hot ng mt cch trn tru v hiu qu, gim thiu nhu cu ph gi v nng gi ng tin ca cc quc gia thnh vin; - C ngun tin sn sng ti tr cho thm ht tm thi cn cn thanh ton ca cc quc gia thnh vin;

Hn ch ca H thng BWs
C ch iu chnh cn cn thanh ton thiu s n nh, chc chn v t ng ca h thng bn v vng v tnh linh hot ca h thng t gi th ni; Cc hot ng u c bt ngun t kh nng ph gi hoc nng gi ca cc ng tin v iu ny d dng gy bt n cho h thng; C ch to thanh khon c vn (Nghch l Triffin Triffin Dilemma)

59

Hn ch ca H thng BWs
Nghch l Triffin Triffin Dilemma trnh tnh trng thiu ht thanh khon, M phi chu s thm ht ca cn cn thanh ton v iu ny lm gim lng tin vo USD; phng nga ri ro i vi USD, mc thm ht cn cn thanh ton ca M phi thu hp v iu ny li gy nn s thiu ht thanh khon cho h thng

S sp ca h thng Bretton Woods

Thi k thiu ht -la M (1944 1958) Thi k d tha -la M (1958 1971)

Thi k thiu ht -la M (1944 1958)

Cn cn vng lai ca M bi thu trong khi cn cn vng lai ca cc nc chu u b thm ht nng; IMF khng ngun vn ti tr cho thm ht cn cn vng lai ca cc nc chu u mt lot cc ng tin chu u b ph gi Cui cng nhng nm 1950, cc nc chu u v Nht bc vo giai on hng thnh: XK tng mnh v d tr USD di do; Nhiu ng tin chu u c t do chuyn i

60

Thi k d tha -la M (19581971)

CCVL ca M thm ht su sc; CCVL ca cc nc Chu u v Nht thng d; D tr bng USD ca nhiu NHTW tng mnh v h bt u i USD ra vng; 1967: ti sn n ca M bng USD vt qu s vng d tr; 1971: cn cn thng mi ca M thm ht mc 30 t USD gii u c tn cng vo USD v ln sng chy khi USD; Thng 8/1971: TT Nixon tuyn b ngng chuyn i USD sang vng

3.5 H thng tin t quc t hin hnh

Hip c Smithsonian (12/1971) 1973 Hip c Jamaica (1976) H thng tin t quc t hin hnh

Hip c Smithsonian (12/1971)

Gi vng chnh thc 38USD/ounce M khng ti lp vic chuyn i USD ra vng Cc nc nh gi li cc ng tin vi USD T gi c php dao ng trong bin +/2.5%
khng gii quyt thiu st ca h thng BWs

61

Nm 1973
Nhiu ng tin c th ni Cc nc chu u p dng h thng Snake in the tunnel v sau l H thng Tin t Chu u EMS
S(d/f) Upper Limit Par value Lower Limit

Hip c Jamaica (1976)

Cc nc t do la chn ch t gi Gi vng dao ng theo cc th lc th trng IMF khuyn co khng nn ph gi tin t to li th cnh tranh

H thng tin t quc t hin hnh

L mt h thng khng h thng C nhiu ch t gi song song tn ti: -la ha (Offical Dolarization) Ch hi ng tin t (Currency Board) T gi c neo c nh vi mt ng tin hoc vi mt r tin t Th ni hn ch Th ni c iu tit Th ni hon ton

62

 la ha (Official Dolarization)
S dng ngoi t (thng l USD) lm ng tin hp php trong nn kinh t: Panama, Ecuador, Guatemala, Elsalvador Ti sao la chn -la ha? - Vi ch ny, cc chnh tr gia khng kim sot chnh sch tin t v v vy khng lm ri tung nn kinh t

Ch hi ng tin t (Currency Board)

Gn ng tin ca mnh vi mt ng tin khc Quc gia ch c th pht hnh thm tin nu c d tr ngoi t m bo V d: Argentina (1991 1999)

Tht bi ca h thng tin t quc t hin hnh

T gi gia cc ng tin khng phn nh cc iu kin kinh t c bn Tht bi trong vic m bo t ch v chnh sch cho cc quc gia T gi mc sai lch bp mo v th cnh tranh ca cc nn kinh t v gy p lc buc cc chnh ph p dng cc chnh sch bo h

63

Chng 5
M hnh cung cu ngoi t v c ch xc nh t gi

MC TIU
Hiu bn cht khoa hc ca ng cung v ng cu ngoi t S dng m hnh cung cu ngoi t gii thch s bin ng ca t gi

NI DUNG
5.1 Hnh thnh m hnh cung cu ngoi t 5.2 Cc yu t nh hng n t gi

64

5.1. Hnh thnh m hnh cung cu ngoi t

1. 2. 3. 4.

Cung cu ngoi t pht sinh Hnh thnh ng cu ngoi t Hnh thnh ng cung ngoi t M hnh cung cu ngoi t v c ch xc nh t gi

1. Cung cu ngoi t pht sinh

Cu mt ng tin pht sinh t cu hng ha, ti sn v dch v thanh ton bng ng tin ; Cu ngoi t pht sinh t nhu cu ngi trong nc mua hng ha, ti sn v dch v t nc ngoi; Cung ngoi t pht sinh t nhu cu ngi nc ngoi mua hng ha, ti sn v dch v trong nc Cung cu ngoi t l phi sinh, c ngun gc t lu chuyn hng ha, vn u t, lao ng v dch v trong phm vi quc t

2. Hnh thnh ng cu ngoi t

Coi cu hng ha NK l ngun pht sinh cu ngoi t ch yu Phn tch mi lin h gia t gi v cu hng ha nhp khu ch ra mi lin h gia t gi v cu ngoi t

65

2. Hnh thnh ng cu ngoi t

1.

2. 3.

Cc bc tin hnh: Xc nh cc ng cung cu hng ha NK Xc nh hm cu hng ha NK Xc nh mi quan h gia cu hng ha NK v t gi xc nh s thay i ca chi tiu nhp khu, tc cu ngoi t

2. Hnh thnh ng cu ngoi t

Cc k hiu:
-

P*m: Gi hng ha NK tnh bng ngoi t Pm: Gi hng ha NK tnh bng ni t Qm: S lng hng ha NK Sm: ng cung hng ha NK Dm: ng cu hng ha NK Dt: ng cu ngoi t Qt: S lng ngoi t trn th trng ngoi hi S: T gi yt trc tip

2. Hnh thnh ng cu ngoi t

Cc ng cung cu hng ha nhp khu:
P*m Sm
Din tch hnh ch nht ABCD l g?

Dm Qm

66

2. Hnh thnh ng cu ngoi t

Hng ha NK l hng ha sn xut nc ngoi v c tiu th trong nc Ngi tiu dng trong nc quyt nh mua bao nhiu hng ha NK trn c s gi NK tnh bng ni t Hm cu hng ha NK c xem nh l hm s ca gi NK tnh bng ni t, c gi nh sau:

Qm = 0 1 Pm

Trong :

0 , 1

l cc thng s dng khng i

2. Hnh thnh ng cu ngoi t

Vi Pm=SP*m Hm cu hng ha NK c th vit thnh:

Qm = 0 1 SP * m
Nhn xt: Nu P*m khng i, S tng gi hng ha NK bng ni t tng lng cu hng ha NK Qm gim

2. Hnh thnh ng cu ngoi t

ng vi 4 mc t gi tng dn:

S1<S2<S3<S4
L 4 mc cu hng ha NK gim dn:

Q1>Q2>Q3>Q4
ng cu hng ha NK s dch chuyn sang tri khi t gi tng

67

2. Hnh thnh ng cu ngoi t

ng cu hng ha NK dch chuyn sang tri: Din tch hnh ch P*m
S0

nht (cu ngoi t) thay i th no? Cu ngoi t gim dn

(Dm)1 (Dm)2 (Dm)4 (Dm)3 Qm

2. Hnh thnh ng cu ngoi t

ng cu ngoi t l tp hp cc im c ta l cc mc t gi v lng cu ngoi t tng ng P*
m

S0

S(d/f) S 4 S3 S2

ng cu ngoi t

(Dm)1 (Dm)2 (Dm)3 Qm

S1 Qf (Qf)4 (Qf)1 (Qf)3 (Qf)2

2. Hnh thnh ng cu ngoi t

ng cu ngoi t l ng dc xung t tri qua phi T gi tng cu ngoi t gim

68

3. Hnh thnh ng cung ngoi t

Coi cu hng ha XK l ngun pht sinh cung ngoi t ch yu Phn tch mi lin h gia t gi v cu hng ha XK ch ra mi lin h gia t gi v cung ngoi t

3. Hnh thnh ng cung ngoi t

1. 2. 3.

Cc bc tin hnh: Xc nh cc ng cung cu hng ha XK Xc nh hm cu hng ha XK Xc nh mi quan h gia cu hng ha XK v t gi xc nh s thay i ca doanh thu XK, tc cung ngoi t

3. Hnh thnh ng cung ngoi t

-

Cc k hiu: P*x: Gi hng ha XK tnh bng ngoi t Px: Gi hng ha XK tnh bng ni t Qx: s lng hng ha XK Sx: ng cung hng ha XK Dx: ng cu hng ha XK St: ng cung ngoi t Qt: S lng ngoi t trn th trng ngoi hi S: T gi yt trc tip

69

3. Hnh thnh ng cung ngoi t

Cc ng cung cu hng ha XK:
P*x Sx
Din tch hnh ch nht ABCD l g?

C Dx

Qx

3. Hnh thnh ng cung ngoi t

Hng ha XK l hng ha sn xut trong nc v c tiu th nc ngoi Ngi nc ngoi quyt nh mua bao nhiu hng ha XK trn c s gi XK tnh bng ngoi t Hm cu hng ha XK c xem nh l mt hm s ca gi XK tnh bng ngoi t, c dng nh sau: Qx = 0 1 P * x Trong : 0 , 1 l cc thng s dng khng i

3. Hnh thnh ng cung ngoi t

Vi P*x=Px/S Hm cu hng ha XK c th vit thnh:

Qx = 0 1 ( Px / S )

Nhn xt: Nu Pxkhng i, S tng gi hng ha XK bng ngoi t P*xgim lng cu hng ha XK Qx tng Doanh thu XK = (P*x)x(Qx) tng hay gim?

70

3. Hnh thnh ng cung ngoi t

ng vi 4 mc t gi tng dn: S1<S2<S3<S4 L 4 mc gi hng ha XK tnh bng ngoi t gim dn: (P*x)1> (P*x)2> (P*x)3> (P*x)4 ng vi 4 mc gi hng ha XK tnh bng ngoi t l 4 mc cu hng ha XK c xc nh bi ng cu hng ha XK

3. Hnh thnh ng cung ngoi t

T gi tng ngoi t gim (S )
P*x (P*x )1 (P*x)2 (P*x)3 (P*x)4

gi hng ha XK tnh bng cu hng ha XK tng

x 1

(Sx)2 (Sx)3 (Sx)4

(Qx)1 (Qx)2 (Qx)3(Qx)4

Qx

3. Hnh thnh ng cung ngoi t

T gi tng gi hng ha XK tnh bng ngoi t gim cu hng ha XK tng
P*x (Sx)1 (P*x )1 (P*x)2 (P*x)3 (P*x)4 (Sx)2 (Sx)3 (Sx)4
S4 S3 S2 S1 S(d/f)
Phn ny i din cho ng cung

(Qx)1 (Qx)2 (Qx)3(Qx)4

Qx

(Qf)1

(Qf)2

Qf

71

4. M hnh cung cu ngoi t

M hnh cung cu ngoi t c hnh thnh da trn s kt hp hai ng cung cu ngoi t c hnh thnh phn trn
S(d/f) Sf
im cn bng ca th trng

S0 Df (Qf)0 Qf

4. M hnh cung cu ngoi t

T gi phn nh s cn bng trn th trng Cung cu trn th trng thay i cc ng cung cu dch chuyn t gi thay i Nhiu yu t tc ng lm dch chuyn cc ng cung cu

S(d/f)

Sf

S0 Df (Qf)0 Qf

4 M hnh cung cu ngoi t

Bt c yu t no lm tng cu ngoi t ng cu dch chuyn sang phi t gi tng ln Cc yu t no lm dch chuyn ng cu sang phi?
Qf

S(d/f)

Sf

S0 Df Df (Qf)0 Df

72

4 M hnh cung cu ngoi t

Bt c yu t no lm gim cu ngoi t ng cu dch chuyn sang tri t gi gim Cc yu t no lm dch chuyn ng cu sang tri?
Qf

S(d/f)

Sf

S0 Df Df (Qf)0 Df

4 M hnh cung cu ngoi t

Sf S(d/f)

Sf Sf

S0 Df (Qf)0 Qf

Bt c yu t no lm tng cung ngoi t ng cung dch chuyn sang phi t gi gim Cc yu t no lm dch chuyn ng cung sang phi?

4 M hnh cung cu ngoi t

Sf S(d/f)

Sf Sf

S0 Df (Qf)0 Qf

Bt c yu t no lm gim cung ngoi t ng cung dch chuyn sang tri t gi tng Cc yu t no lm dch chuyn ng cung sang tri?

73

5.2 CC YU T NH HNG LN T GI
1 Mc lm pht tng i 2 Mc li sut tng i 3 Mc tng trng thu nhp tng i 4 Vai tr ca chnh ph 5 K vng ca gii u c

1 Mc lm pht tng i
Mt quc gia c mc lm pht cao hn cc i tc thng mi th ng tin ca quc gia s gim gi
S(d/f) S1 S0 (Sf)1 (Sf)0

(Df)1 (Df)0 Qf

(Qf)0

2 Mc li sut tng i
T gi cn bng c xu hng gim khi ni t tng gi so vi ngoi t
S(d/f) S0 S1 (Sf)0 (Sf)1

(Df)0 (Df)1 Qf

(Qf)0

74

3 Mc tng trng thu nhp tng i

Cung ngoi t khng i
S(d/f) S1 S0 (Df)1 (Df)0 Qf (Sf)0 =(Sf)1

(Qf)0

4 Vai tr ca Chnh Ph
NHTW can thip trc tip vo th trng ngoi hi tc ng ln t gi Chnh sch kinh t v m ca chnh ph tc ng lm thay i cc bin s nh lm pht, li sut v tng trng thu nhp tc ng ln t gi Chnh Ph ban hnh hoc hy b cc hng ro thng mi tc ng ln t gi Cc loi thu tc ng n cc dng lu chuyn hng ha v lu chuyn vn tc ng ln t gi

5 K vng ca gii u c
Gii u c tc ng mnh ln cung cu cc ng tin v do tc ng ln t gi Gii u c k vng mt ng tin tng gi mua vo ng tin v lm n ln gi Gii u c k vng mt ng tin gim gi bn ra ng tin v lm cho n gim gi Hot ng ca gii u c va c th lm cho th trng bt n va c th lm th trng bnh n

75

Chng 6
Cc hc thuyt v t gi

MC TIU
Gip tip cn cc hc thuyt v t gi Vn dng cc hc thuyt v t gi phn tch v d bo s bin ng ca t gi Vn dng cc hc thuyt ny a ra cc quyt nh trong cc hot ng vay vn v u t

Ni dung chnh
6.1 Ngang gi sc mua 6.2 Ngang gi li sut c bo him 6.3 Ngang gi li sut khng bo him 6.4 L thuyt k vng khng thin lch 6.5 Hiu ng Fisher Quc T 6.6 Mi quan h gia cc hc thuyt

76

Hc thuyt ngang gi sc mua

Purchasing Power Parity-PPP

Ni dung
6.1.1 Quy lut mt gi 6.1.2 Ngang gi sc mua tuyt i 6.1.3 Ngang gi sc mua tng i 6.1.4 Ngang gi sc mua k vng 6.1.5 Cc nghin cu thc nghim kim chng PPP 6.1.6 PPP trong thc t

6.1.1 Quy lut mt gi (The Law of One Price LOP)

Trong iu kin th trng cnh tranh hon ho v khng tn ti cc yu t nh cc ph v cc ro cn thng mi, th cc mt hng ging ht nhau cc quc gia khc nhau phi bng nhau nu o lng bng mt ng tin chung Hot ng kinh doanh chnh lch gi l ng lc duy tr iu kin cn bng theo LOP

77

6.1.1 Quy lut mt gi (The Law of One Price LOP)

Cng thc:

Pi =S.Pi*

Vi Pi l gi c hng ho tnh bng ni t Pi* l gi ca hng ho tnh bng ngoi t S l t gi biu th s n v ni t trn n v ngoi t

6.1.2 Ngang gi sc mua tuyt i (Absolute PPP)

Gi thit: - Hng ho lu chuyn t do - Khng tn ti cc ph vn chuyn - Cc nh kinh doanh trung lp vi ri ro - LOP duy tr cho tt c cc mt hng Ni dung: Ti mt thi im, gi ca r hng ho tiu chun trong nc bng gi ca r hng ho tiu chun nc ngoi nu quy i v chung mt ng tin

6.1.2 Ngang gi sc mua tuyt i (Absolute PPP)

-

Gi s: Tn ti r hng ho tiu chun c c thy n mt hng c sn xut v trao i trong nc cng nh nc ngoi Mt hng i c gi l Pi trong nc v Pi* nc ngoi Mt hng i c t trng W i trong r hng ho tiu chun trong nc v mt hng i c t trng W i* trong r hng ho tiu chun nc ngoi, trong W i=Wi* Biu thc: * *

W P = S
i i

WiPi

78

6.1.2 Ngang gi sc mua tuyt i (Absolute PPP)

Biu thc: t P= Wi Pi v P*= W *i P *i , ta c biu thc:

P=SP*
P l mc gi ca r hng ho tiu chun trong nc P* l mc gi ca r hng ho tiu chun nc ngoi

6.1.2 Ngang gi sc mua tuyt i (Absolute PPP)

Xc nh t gi theo PPP tuyt i: Ti thi im, nu bit P v P* t gi c th xc nh theo biu thc sau:

S =

P P*

Nu P tng S tng, tc ni t gim gi PPP tuyt i a ra mi quan h gia t gi v mc gi c hng ho ti mt thi im

6.1.2 Ngang gi sc mua tuyt i (Absolute PPP)

Nhc im ca PPP tuyt i: Cn nhiu gi thit trong khi cc gi thit a ra u khng thc t Cc nc dng t trng hng ho khc nhau tnh ch s gi c Tn ti cc mt hng v dch v khng th mua bn quc t PPP tuyt i kh c th duy tr trong thc t

79

6.1.2 Ngang gi sc mua tuyt i (Absolute PPP)

V d: Gi s Vit Nam v M s dng r hng ho tiu chun nh nhau tnh ch s gi c. Gi s gi ca r hng ho ny Vit Nam l VND 11.000.000 v gi ca cng mt r hng ho nh th M l USD1.000. T gi cn bng theo PPP tuyt i l bao nhiu? T gi ny s thay i th no nu gi ca r hng ho tng ln VND12.000.000 Vit Nam?

6.1.3 Ngang gi sc mua tng i (Relative PPP)

Ni dung: PPP tng i ni rng, mc thay i t gi gia hai thi im bng mc chnh lch lm pht ca hai ng tin. ng tin no c mc lm pht cao hn ng tin s gim gi. Mc gim gi (gn) bng mc chnh lch lm pht ca hai ng tin. Biu thc

s=p-p*

6.1.3 Ngang gi sc mua tng i (Relative PPP)

Hnh thnh biu thc biu din PPP tng i: P0* :gi ca RHHTC tnh bng ngoi t ti thi im 0 P1*: gi ca RHHTC tnh bng ngoi t ti thi im 1 P0: gi ca RHHTC tnh bng ni t ti thi im 0 P1: gi ca RHHTC tnh bng ni t ti thi im 1 p: mc lm pht trong nc p*: mc lm pht nc ngoi s: mc thay i t gi

80

6.1.3 Ngang gi sc mua tng i (Relative PPP)

Hnh thnh biu thc biu din PPP tng i: Ti thi im 0, biu thc theo PPP tuyt i l: *

P0=S0P0

Ti thi im 1, biu thc theo PPP tng i l: *

P1=S1P1

6.1.3 Ngang gi sc mua tng i (Relative PPP)

Hnh thnh biu thc biu din PPP tng i: Chia biu thc thi im 1 cho biu thc thi im 0:
P S P *1 1 = 1 * P0 S0 P 0

6.1.3 Ngang gi sc mua tng i (Relative PPP)

Hnh thnh biu thc biu din PPP tng i: Ta c biu thc tng ng:

(1+p)=(1+s)(1+p*)
Khai trin biu thc trn, ta c:

1+p=1+p*+s+sp*

81

6.1.3 Ngang gi sc mua tng i (Relative PPP)

Hnh thnh biu thc biu din PPP tng i: B qua tha s sp* ta c biu thc gn ng:

s=p-p*
Biu thc trn biu din mi quan h gia mc thay i t gi v t l lm pht hai quc gia Mc thay i t gi bng mc chnh lch lm pht Lm pht trong nc cao hn t gi tng ng tin trong nc (ni t) gim gi

6.1.3 Ngang gi sc mua tng i (Relative PPP)

PPP tng i d c chp nhn hn so vi PPP tuyt i v: PPP tng i chp nhn s tn ti ca cc yu t nh cc ph vn chuyn v ro cn thng mi Theo PPP tng i, gi cc mt hng ging ht nhau cc quc gia khc nhau khng nht thit bng nhau khi c o lng bng mt n v tin t chung

6.1.3 Ngang gi sc mua tng i (Relative PPP)

PPP tng i dng xc nh t gi: Biu thc chnh xc: 1+ p S1 = S 0 * 1+ p Biu thc gn ng:

S1=S0(1+s)=S0(1+p-p*)

82

6.1.3 Ngang gi sc mua tng i (Relative PPP)

V d:Trong mt khong thi gian nht nh, mc lm pht Vit Nam l 10%, cn mc lm pht M l 6%. Gi s PPP tng i c duy tr mt cch chnh xc. T gi thay i nh th no nu t gi ban u l 15.000VND/USD?

6.1.4 Ngang gi sc mua k vng (Ex-ante PPP)

PPP tuyt i v PPP tng i c gi l cc mu ngang gi sc mua quy c PPP k vng c gi l mu ngang gi sc mua ca th trng hiu qu Biu thc biu din PPP k vng c hnh thnh trn c s phn tch hnh vi ca nh kinh doanh tham gia hot ng u c trn th trng hng ho quc t

6.1.4 Ngang gi sc mua k vng (Ex-ante PPP)

Mc li nhun k vng trong vic mua v nm gi mt r hng ho trn th trng hng ho trong nc l mc lm pht k vng trong nc (p*) Mc li nhun k vng trong vic mua v nm gi mt r hng ho trn th trng nc ngoi bng tng ca mc lm pht k vng nc ngoi (p*e) v mc thay i t gi k vng (se) Nu cc nh kinh doanh hot ng trn th trng hng ho l nhng ngi trung lp vi ri ro v cc th trng hng ho l cc th trng hiu qu th mc li nhun trn hai th trng phi nh nhau

83

6.1.4 Ngang gi sc mua k vng (Ex-ante PPP)

Biu thc biu din Ex-ante PPP:

pe=p*e+se
Hay

se=pe-p*e

Mc thay i t gi k vng bng mc chnh lch lm pht k vng

6.1.5 Cc nghin cu kim chng PPP

Cc nghin cu kim chng PPP a n kt lun chung sau: Ngang gi sc mua thng khng c duy tr trong ngn hn; trong ngn hn, lun tn ti sai bit gia t gi p dng trn th trng ngoi hi v t gi c quy nh bi PPP Tuy nhin, c cc bng chng thc nghim cho thy ngang gi sc mua c duy tr trong di hn

6.1.5 Cc nghin cu kim chng PPP

Cc l do gii thch ti sao PPP khng c duy tr trong ngn hn: S tn ti cc ph v cc ro cn thng mi lm cho PPP tuyt i khng c duy tr S tn ti ca cc mt hng khng trao i mua bn quc t Cc nc s dng cc t trng hng ho khc nhau xy dng cc ch s gi c T gi cn chu s tc ng ca cc yu t khc, nh: li sut, tng trng kinh t, chnh sch kinh t, tm l, hot ng ca gii u c

84

6.1.6 ng dng PPP

PPP c th s dng nh mt quy tc kinh doanh trn th trng ngoi hi T gi
P/P0 Sppp S Thi gian

6.1.6 ng dng PPP

S(d/f)
S- t gi th trng

Sppp- t gi theo PPP

Thi gian S dng quy tc PPP mua bn ngoi t

HC THUYT NGANG GI LI SUT C BO HIM

CIP-COVERED INTEREST PARITY

85

Ngang gi li sut c bo him (Covered Interest Parity CIP)

6.2.1 Xy dng biu thc iu kin cn bng CIP v ni dung CIP 6.2.2 Kinh doanh chnh lch li sut c bo him CIA 6.2.3 Hc thuyt CIP trong thc t 6.2.4 ngha ca CIP trong thc t

6.2.1 Biu thc iu kin cn bng CIP v ni dung CIP

6.2.1.1 Cc gi thit ca CIP 6.2.1.2 Xy dng biu thc biu din iu kin cn bng CIP 6.2.1.3 Ni dung CIP 6.2.1.4 Trin khai biu thc CIP

6.2.1.1 Gi thit ca CIP

- Cc th trng ti chnh hot ng hiu qu v cnh tranh hon ho - Cc nh u t trung lp i vi ri ro - Vn c lu chuyn t do gia cc quc gia - Khng tn ti chi ph giao dch

86

6.2.1.2 Tnh hung

Gi s nh u t Vit Nam c lng tin nhn ri thi hn 1nm v quyt nh u t trn th trng tin t.
Nh u t Vit Nam
s quyt nh u t
bng ngoi t hay ni

C 2 la chn u t: Th trng tin t trong nc; v Th trng tin t nc ngoi

t? Ti sao?

Tnh hung Cc k hiu: S l t gi giao ngay, yt trc tip F l t gi k hn, yt trc tip i l li sut ng ni t i* l li sut ng ngoi t

Tnh hung
La chn u t bng ni t: Nh u t c M ni t Nh u t mua tn phiu kho bc k hn 1 nm Hng mc li sut i Sau 1 nm, nh u t thu v c vn ln li s tin:

V = M (1+i)

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Tnh hung La chn u t bng ngoi t: - Nh u t chuyn s tin sang ngoi t: M ngoi t S - Mua tn phiu kho bc nc ngoi k hn 1 nm - Hng mc li sut i* - Sau mt nm, NT thu v:
V*= M(1+i*) S

Tnh hung La chn u t bng ngoi t: Nh u t i mt vi ri ro hi oi phng nga ri ro ny, NT k hp ng bn ngoi t k hn 1 nm ngay khi quyt nh u t vo th trng ny Vi t gi k hn F, cui k NT s thu v c vn ln li bng ni t:
V* = M(1+i*)F S

Tnh hung So snh hai la chn u t Trng hp 1: M M (1 + i ) > (1 + i * ) F S Nh u t s la chn u t bng ng tin no? u t bng ni t c li hn

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Tnh hung Trng hp 2:

M (1 + i ) <

M (1 + i * ) F S

Nh u t s la chn ng tin no? u t bng ngoi t c li hn

Tnh hung Trng hp 3:

M (1 + i ) =

M (1 + i* ) F S

Hai la chn cho kt qu u t nh nhau. y chnh l iu kin cn bng ca th trng

Nhn xt
Hai la chn u t nh nhau th phi cho kt qu u t (li tc u t) nh nhau Trng hp 1 v 2 nu xy ra ch l trng thi tm thi ca th trng, bi khi cc hot ng kinh doanh chnh lch li sut s din ra v a th trng tr v cn bng (trng hp 3)

89

6.2.1.3 Ni dung CIP (Covered Interest Parity)

Ni dung CIP: Khi ri ro hi oi c bo him thng qua th trng hi oi k hn th li tc ca mt ti sn ti chnh trong nc phi bng li tc ca mt ti sn ti chnh c nhng c tnh tng t nc ngoi

6.2.1.3 Ni dung CIP (Covered Interest Parity)

p dng CIP vo th trng tin t: Khi ri ro hi oi c bo him thng qua th trng hi oi k hn th li tc u t vo th trng tin t trong nc bng li tc u t vo th trng tin t nc ngoi Nu iu kin cn bng ny b vi phm, cc hot ng kinh doanh chnh lch li sut c bo him s xy ra cho n khi iu kin cn bng c ti lp

6.2.1.4 Trin khai biu thc biu din iu kin cn bng CIP
T biu thc cn bng (3) c th trin khai c 4 biu thc biu din iu kin cn bng CIP Biu thc 1: Biu din CIP theo thu nhp gp Biu thc 2: Biu din CIP theo thu nhp rng Biu thc 3: T gi k hn theo iu kin CIP Biu thc 4: im k hn theo iu kin CIP

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6.2.1.4 Trin khai biu thc biu din iu kin cn bng CIP
Biu thc 1: Biu din CIP theo thu nhp gp F 1 + i = (1 + i * ) S Thu nhp gp ca hot ng u t trong nc bng thu nhp gp ca hot ng u t c bo him ri ro t gi nc ngoi

6.2.1.4 Trin khai biu thc biu din iu kin cn bng CIP
Biu thc 2: Biu din CIP theo thu nhp rng
F (1 + i * ) 1 S Thu nhp rng ca hot ng u t trong nc bng thu nhp rng ca hot ng u t c bo him ri ro t gi nc ngoi i =

6.2.1.4 Trin khai biu thc biu din iu kin cn bng CIP
Biu thc 3: T gi k hn theo CIP
F = S (1 + i ) (1 + i * )

T gi k hn c tnh bng cch iu chnh t gi giao ngay vi mt thng s phn nh li sut ca hai ng tin

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6.2.1.4 Trin khai biu thc biu din iu kin cn bng CIP
Biu thc 4:im k hn
f = F S i i* S

im k hn bng chnh lch li sut ca hai ng tin ng tin c li sut cao hn gim gi k hn ng tin c li sut thp hn tng gi k hn

6.2.2 Kinh doanh chnh lch li sut c bo him CIA (Covered Interest Arbitrage)
Gi s th trng trng hp:

M (1 + i ) <

M (1 + i * ) F S

Nh kinh doanh chnh lch s kim li nhun bng cch no? Nn kim li nhun bng cch i vay ni t v u t c bo him ri ro t gi vo ngoi t

6.2.2 Kinh doanh chnh lch li sut c bo him - CIA

Vic kim li nhun bng cch i vay ni t v u t c bo him ri ro t gi vo ngoi t (hay ngc li) gi l hot ng kinh doanh chnh lch li sut c bo him ri ro t gi (CIA) CIA l ng lc ti lp iu kin cn bng theo CIP

92

6.2.2 Kinh doanh chnh lch li sut c bo him - CIA

Cc nh kinh doanh c th tin hnh CIA theo cc bc sau: Hin ti: B1: Vay ni t vi li sut i B2: Mua ngoi t theo t gi giao ngay S; mt n v ni t mua c 1/S n v ngoi t; B3: u t vo ngoi t hng li sut i*; Lng ngoi t cui k d tnh thu c (1/S)(1+i*) B4: K hp ng bn k hn s ngoi t (1/S)(1+i*) theo t gi k hn F

6.2.2 Kinh doanh chnh lch li sut c bo him - CIA

Sau mt nm: B5: Thu hi vn u t bng ngoi t; s ngoi t thu c l (1/S)(1+i*); B6: Thc hin bn ngoi t theo hp ng k hn k; s ni t thu c l (F/S)(1+i*) B7: Hon tr vn vay v thanh ton li vay; s tin 1+i Li nhun thu c = (F/S)(1+i*)-(1+i)>0

6.2.2 Kinh doanh chnh lch li sut c bo him - CIA

Cc hot ng CIA lm thay i cung cu trn th trng tin t trong v ngoi nc, th trng ngoi hi giao ngay va k hn Phn tch s bin ng ca cc yu t i, F, S, i* Trng hp 2:

M (1 + i ) <

M (1 + i * ) F S

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6.2.2 Kinh doanh chnh lch li sut c bo him - CIA

Th trng ngoi hi k hn tc ng (1+i) tng, S tng, F gim, (1+i) gim F (1+i)gim S Tc ng ca th trng lm cho 2 v ca phng trnh tr li cn bng

6.2.3 iu kin CIP trong thc t

6.2.3.1 Nghin cu kim chng CIP 6.2.3.2 iu kin CIP vi chi ph giao dch

6.2.3.1 Cc nghin cu thc nghim kim chng CIP

Kt qu nghin cu kim chng CIP cho thy: CIP c khuynh hng c duy tr tng i chnh xc i vi cc ti sn ti chnh pht hnh trn cc th trng Eurocurrency. CIP khng c duy tr i vi cc ti sn ti chnh pht hnh trong phm vi cc quc gia, tuy nhin cc sai lch khng ln mc lm cho cc giao dch kinh doanh chnh lch li sut c li

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6.2.3.1 Cc nghin cu thc nghim kim chng CIP

Nhng nhn t lm CIP lch trong thc t Chi ph cho cc giao dch Can thip ca Chnh Ph Ri ro chnh tr Cc ro cn trong vic lu chuyn vn Tnh khng ng nht ca cc ti sn trn th trng

ng CIP
f A B
450

ng CIP D i-i* E

F nm trn ng CIP im Cn bng im khng cn bng s tin dn v cn bng

6.2.3.2 iu kin CIP vi s hin din ca chi ph giao dch

Cc k hiu Sa: T gi bn ra giao ngay Sb: T gi mua vo giao ngay Fa : T gi k hn bn ra Fb: T gi k hn mua vo ia: li sut cho vay ng ni t ib: li sut tin gi ca ng ni t i*a: li sut cho vay ca ng ngoi t i*b: li sut tin gi ca ng ngoi t

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6.2.3.2 iu kin CIP vi s hin din ca chi ph giao dch

iu kin th trng cho php nh kinh doanh kim li nhun bng cch i vay ni t v u t c phng nga ri ro ngoi hi vo ngoi t? Khi: F * 1 + ia < b (1 + ib ) Sa

6.2.3.2 iu kin CIP vi s hin din ca chi ph giao dch

iu kin th trng cho php nh kinh doanh kim li nhun bng cch i vay ngoi t v u t c phng nga ri ro ngoi hi vo ni t? Khi: S 1 + ia * < b (1 + ib ) Fa

6.2.3.2 iu kin CIP vi s hin din ca chi ph giao dch

iu kin th trng khng cho php cc nh kinh doanh kim li nhun bng hot ng CIA? F * Khi: 1 + ia b (1 + ib ) Sa V

1 + ia
*

Sb (1 + ib ) Fa

y chnh l iu kin cn bng CIP vi s hin din ca chi ph giao dch

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6.2.3.2 iu kin CIP vi s hin din ca chi ph giao dch

V d: S(VND/USD)=16.200-16.300 iVND/3thng = 1%- 1.1%/thng iUSD/1nm =5% - 5.2%/nm F3thng(VND/USD)=16.300 16.400 Nn u t bng ng tin no? i vay bng ng tin no?

6.2.4 ngha ca CIP trong thc t

CIP dng xc nh t gi k hn CIP dng o lng mc lu chuyn vn quc t Nu cc th lc th trng c php vn hnh mt cch t do th cc ngun ti chnh s c phn b trn th gii mt cch ti u nht CIP gip cc doanh nghip a ra cc quyt nh u t v ti tr ngn hn

L thuyt v t gi: Ngang gi li sut khng bo him

Uncovered Interest Parity

97

Ni dung
6.3.1 Ni dung UIP 6.3.2 Biu thc biu din UIP 6.3.3 ngha ca UIP trong thc t

6.3.1 Ni dung UIP

Gi thit: C cng gi thuyt vi CIP Ni dung: Mc d ri ro hi oi khng c bo him thng qua th trng hi oi c k hn, li tc u t vo mt ti sn ti chnh trong nc bng li tc u t vo mt ti sn ti chnh c nhng c tnh tng t nc ngoi

6.3.2 Biu thc biu din UIP

Cc k hiu: i l li sut ni t i* l li sut ngoi t S l t gi giao ngay, yt trc tip S* l t gi giao ngay k vng vo cui k u t se l mc thay i t gi theo t l

98

6.3.2 Biu thc biu din UIP

Tnh hung: Mt nh u t c s tin ban u K v mun lm cho s tin ny sinh li bng cch u t trn th trng tin t k hn 1 nm Hai la chn u t: Th trng tin t trong nc; v Th trng tin t nc ngoi

6.3.2 Biu thc biu din UIP

La chn u t vo TTTT trong nc: Nh u t mua tn phiu kho bc k hn 1 nm Hng mc li sut i Sau mt nm, NT thu v c vn ln li s tin:
M(1+i)

6.3.2 Biu thc biu din UIP

La chn u t vo TTTT nc ngoi NT phi chuyn s tin M sang ngoi t theo t gi giao ngay S Mua tn phiu kho bc nc ngoi k hn 1 nm Hng mc li sut i* Sau mt nm, NT thu v c vn ln li s tin ngoi t
M(1+i)

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6.3.2 Biu thc biu din UIP

La chn u t vo TTTT nc ngoi: NT phi chuyn s tin K sang ngoi t theo t gi giao ngay S Mua tn phiu kho bc nc ngoi k hn 1 nm Hng mc li sut i* Sau mt nm, NT thu v c vn ln li s tin ngoi t: M
S (1 + i * )

6.3.2 Biu thc biu din UIP

La chn u t vo TTTT nc ngoi Vi t gi giao ngay k vng Se, cui k NT s thu c c vn ln li bng ni t l:

M (1 + i*) S e S

6.3.2 Biu thc biu din UIP

Theo UIP, hai la chn u t c th ni l nh nhau, u u t vo tn phiu kho bc v do vy kt qu u t (li tc u t) nh nhau iu kin cn bng theo UIP
M (1 + i ) = M (1 + i*) S e S

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6.3.2 Biu thc biu din UIP

Biu thc tng ng

se=i-i*
Mc thay i t gi k vng bng mc chnh lch li sut ca hai ng tin ng tin no c li sut cao hn, ng tin s gim gi; mc gim gi bng mc chnh lch li sut ca hai ng tin

6.3.3 ngha ca UIP trong thc t

Tnh hiu lc thc nghim ca UIP hm l cc th trng ti chnh lin kt cht ch vi nhau mc d c s hin hu ca ri ro hi oi UIP c th s dng kho st mi lin kt li sut gia cc quc gia UIP cng c ngha i vi cc quyt nh u t v i vay ca cc doanh nghip

Hc thuyt v t gi:
L thuyt k vng khng thin lch

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Ni dung
6.4.1 Gi thit 6.4.2 Khi nim l thuyt k vng khng thin lch 6.4.3 Nguyn l th trng hiu qu 6.4.4 V d minh ho

6.4.1 Gi thit
Th trng ngoi hi hot ng hiu qu v cnh tranh hon ho Khng c chi ph giao dch Cc nh kinh doanh trung lp vi ri ro Cc ti sn ti chnh c nh gi theo cc ng tin khc nhau c th thay th cho nhau mt cch hon ho

6.4.2 Ni dung
L thuyt k vng khng thin lch ni rng t gi k hn m chng ta hin ang quan st trn th trng l d bo khng thin lch v t gi giao ngay k vng trong tng lai Biu thc:

F=Se

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6.4.3 Nguyn l th trng hiu qu

Nu nh t gi k hn khng bng t gi giao ngay m th trng k vng vo ngy m hp ng k hn o hn th cc nh u c s tin hnh cc giao dch trn th trng ngoi hi cho n khi t gi k hn bng vi t gi giao ngay k vng

Hc thuyt v t gi HIU NG FISHER QUC T

Hiu ng Fisher quc t

6.5.1 Biu thc Fisher 6.5.2 Ni dung hiu ng Fisher Quc T 6.5.3 ngha ca Hiu ng Fisher Quc T

103

6.5.1 Biu thc Fisher

Biu thc Fisher a ra mi quan h gia li sut danh ngha (i), li sut thc k vng (re) v mc lm pht k pht (pe) Biu thc Fisher dng chnh xc:

1+i=(1+re)(1+pe)

6.5.1 Biu thc Fisher

Biu thc Fisher dng gn ng:

i=re+pe
Hay:

re=i - pe

Li sut thc k vng bng mc chnh lch gia li sut danh ngha v mc lm pht k vng

6.5.2 Ni dung hiu ng Fisher Quc T

Ni dung: Hiu ng Fisher Quc t ni rng li sut thc k vng l nh nhau gia cc quc gia c ni kt vi nhau v kinh t Biu thc

re = r*e

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6.5.3 ngha ca hiu ng Fisher Quc T

ngha ca biu thc Fisher? Nu nh li sut thc k vng l mt s m th, thay v u t vo th trng tin t, nh u t s b vn u t vo cc lnh vc u t khc

6.5.3 ngha ca hiu ng Fisher Quc T

Hiu ng Fisher Quc T Hiu ng Fisher Quc T c th c dng nh mt ch s biu th: Tnh hiu qu ca cc th trng hng ho v ti chnh quc t Mc lin kt gia cc th trng vn quc t Mc lin kt gia cc th trng hng ho quc t Mc lu chuyn vn gia cc quc gia

6.6 Mi quan h gia cc iu kin cn bng Mc thay i t gi

K vng khng Thin lch

S k vng

Ngang gi Sc mua k vng

im k hn gia tng hay khu tr

Ngang gi li sut c bo him (CIP)

Ngang gi li sut khng bo him (UIP)

Mc chnh lch lm pht k vng

Hiu ng Fisher Quc T

Mc chnh lch li sut danh ngha

105