CARRY TRADE AND REGIONS. HEINER FLASSBECK Director Division on Globalization and Development Strategies

Transcription

1 CARRY TRADE AND REGIONS HEINER FLASSBECK Director Division on Globalization and Development Strategies 1 1

2 EVOLUTION OF PRICES IN SELECTED MARKETS AND COUNTRIES, OCTOBER JUNE 1 (Index numbers, 1 OCTOBER 1 = ) Equity markets Commodity markets /1/ 1//9 1//9 1/1/9 1//1 1//1 Budapest Stock Exch Index (Hungary) Jakarta Composite Index (Indonesia) FTSE/JSE Africa All Shr (South Africa) Mexico Bolsa Index 1/1/ 1//9 1//9 1/1/9 1//1 1//1 S&P GSCI Cotton Official Close Index S&P GSCI Brent Crude Official Close Index S&P GSCI Copper Official Close Index 17 National bond marketsa 17 Currency markets /1/ 1//9 1//9 1/1/9 1//1 1//1 1/1/ 1//9 1//9 1/1/9 1//1 1//1 Japan United Kingdom New Zealand United States Australian dollar to Japanese yen New Zealand dollar to Japanese yen Brazilian real to Japanese yen

3 DAILY MOVEMENTS OF PRICES AND RETURNS BETWEEN 11/ AND 11/9 IN RELATION TO THE EXCHANGE RATE OF THE BRAZILIAN REAL TO THE JAPANESE YEN S&P GSCI Non-energy Official Close Index R =.93 S&P Composite Index R = Brazilian real to Japanese yen Brazilian real to Japanese yen 7 United States Yield on 1-year Bond R =.797 S&P GSCI Brent Crude Official Close Index 3 R = Brazilian real to Japanese yen Brazilian real to Japanese yen

4 Correlation between day-to-day price movements of currencies of selected countries (in relation to Japanese Yen) and selected equity prices indices, commodity price indices and CDS spreads, January - January 1 Russian Ruble R =.1 Brazilian Real R =.9 New Turkish Lira R =. Australian Dollar R = Swiss Market Index S&P GSCI CoppOfficial Close Index Sweden Yield on a 1-year bond Hungary CDS USD Spread Y

5 YEN-CARRY TRADE ON THE ICELANDIC KRONA, US DOLLAR AND BRAZILIAN REAL, Krona Dollar Real Note: A positive change in the exchange rate means an appreciation of the corresponding currency vis-à-vis the yen.

6 YEN-CARRY TRADE ON THE ICELANDIC KRONA, US DOLLAR AND TURKEY LIRA, Krona Dollar Turkey New Lira Hungarian Forint

7 CARRY TRADE OPPORTUNITIES OF THE ICELANDIC KRONA VIS-À-VIS THE DOLLAR, FEBRUARY

8 CARRY TRADE OPPORTUNITIES OF SELECTED CURRENCIES VIS-À-VIS THE DOLLAR, FEBRUARY Icelandic krona Hungarian forint Brazilian real Bulgarian lev U n c o ve re d in te re s t re tu rn N o m in a l e x c h a n g e -ra te c h a n g e In te re s t ra te d iffe re n tia l

9 UNCOVERED INTEREST RETURNS, EXCHANGE-RATE CHANGES, INFLATION AND INTEREST RATE DIFFERENTIALS, ICELAND Index numbers, = Real exchange-rate change Inflation rate differential Real exchange-rate trend (right scale) 9

10 UNCOVERED INTEREST RETURNS, EXCHANGE-RATE CHANGES, INFLATION AND INTEREST RATE DIFFERENTIALS, BRAZIL Index numbers, = Real exchange-rate change Inflation rate differential Real exchange rate trend (right scale) 1

11 UNCOVERED INTEREST RETURNS, EXCHANGE-RATE CHANGES, INFLATION AND INTEREST RATE DIFFERENTIALS, TURKEY Index numbers, = Real exchange-rate change Inflation rate differential Real exchange rate trend (right scale) 11

12 UNCOVERED INTEREST RETURNS, EXCHANGE-RATE CHANGES, INFLATION AND INTEREST RATE DIFFERENTIALS, CHINA Index numbers, = Real exchange-rate change Inflation rate differential Real exchange-rate trend (right scale)

13 UNCOVERED INTEREST RETURNS, EXCHANGE-RATE CHANGES, INFLATION AND INTEREST RATE DIFFERENTIALS, 199- EASTERN EUROPE 1 Eastern-European Countries 1 Eastern European Countries M3 1997M M7 1M3 M11 M7 M M3 1997M M7 1M3 M11 M7 M3 Real exchange-rate change Inflation rate differential Real exchange-rate trend (right scale) Speculation opportunities, appreciation trend and volatility persist despite the reduction in interest rates. 13

14 UNCOVERED INTEREST RETURNS, EXCHANGE-RATE CHANGES, INFLATION AND INTEREST RATE DIFFERENTIALS, 199- ASIA 1 Asia 1 1 Asia M3 1997M M7 1M3 M11 M7 M3 Real exchange-rate change Inflation rate differential Real exchange-rate trend (right scale) M3 1997M M7 1M3 M11 M7 M3 Little speculation opportunities, moderate average appreciation and volatility. 1