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Econ / FX / RatesEcon / FX / Rates
December December 20112011
1
byby
Kobsidthi Silpachai, CFAKobsidthi Silpachai, CFA
Capital Markets ResearchCapital Markets Research
� �������� 2012 ���������� ��������� Mayan !" Nostradamus ���+��ก�-./0��1����2����3��4!ก����-�-5�16ก ... �-����1-��8-�������?� 1�กก�--"��.ก�-�:-;<ก�14!ก3��=!��...�-���11"��>�?@�AB�C"0�0������:-;<ก�1�� 2012 => ...��>�!��C>��� 2008
!" 2009 =!��+�� FF��2�@>�ก6� ��ก1�ก��2 �6@���:-;<ก�1=>��G . 3."��2 กH�!6�F>�F�ก0��+C��������3��B�C"0�0��� �C!�3����4-กH�!6��8!������!���ก�� ... ��4-��11"=���=6�����1������C>�1"-C�ก6�8-���!��=6C� C�กI=� 2540 ����8��8L�C>�
-"FF�6=-� !ก�!����������ก6F�ก�!���������62��M��8������F���+� !"�-�+C������!� NA8����8-6<O �6���>���-�ก���>�@6���3."��2 =>�62�กL��>���8���+C��C>��8-6<O ��>�����NA8�
���������� ������
2
� NA8����8-6<O �6���>���-�ก���>�@6���3."��2 =>�62�กL��>���8���+C��C>��8-6<O ��>�����NA8�� -"��:���P6Q�� !�C��8��2��2� !"��=-ก�-!�-��1>��B�+-6<�����ก�ก�����11"-"�F��3�2��������ก�-!�<��B�;�...�H��8�8��2=>�1���P�
�P����5�����3�2� !"-"��:�8!>��62�1"=ก��5>���B�C"���8��2����C�+C��-�� -���ก3�2�� ����!��ก3��ก�--6F-��4+-��-���8��23��F-�;6� 1) ก�-3�������+-FกH�8��=��ก-" ������������+= 2) ก�-�P������1�ก?5�
0��8��� 3) ก�- !�8��2�8��M���� 4) ก�-!�����-6P�/�P���!�8��2��� ... =>�H�8-6F��B�+-6< ����!��ก�8!>���2��>�M�������� !"�6กก�-�����1"8����P��P/������@H�-"8��2...3."���T��+�-ก!����-"��: 0F���@��=���+���5��6F�B�P+!>��1�ก?!ก-"�F�62�
� �-�+��ก�-./C>� ��!!�-//F�� . ��2� 2012 1"��5>���-"��. 29.50 ��>���-กL�� ��!!�-//F��1"��+C��?6�?C���ก 3�2���5>�0��ก�-./3��C�กI=�8��2�54-4�����1"��=>�=!��ก�-����
� +��C>�T�.1"!��6=-���ก�F�2�!���ก 0.25% !"+�-"�6F 3.00% �C���8�����ก�-@>C�?>��+!��?!ก-"�F1�กNA8��2H��>C�
ก���ก���������������ก����ก������� �!�"�� (consensus)
3
... �-��.�����ก��!- /0����. 1 203��ก : �-���0����ก
4
... �-��.�5���6�
5
... ����-��.�0�7��
6
��ก������-������ก������ก��0�/38� ? !7��/���� �203:;ก<�� (consensus) ?
7
�����ก����ก=>�ก�7��0"��203�����ก��ก�;/�����:�:� ?�@�����8��0�ก����/8-�?
5.0%
10.0%
15.0%
2.0%
4.0%
6.0%
8
-15.0%
-10.0%
-5.0%
0.0%
98 99 00 01 02 03 04 05 06 07 08 09 10 11
-6.0%
-4.0%
-2.0%
0.0%
OECD global lead indicator, % YoY, left World economic growth, % YoY, right
75
80
85
ก�ก/0-���:� ���ก��30�5/!�����.:� �53�ก: global debt / GDP
9
60
65
70
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
world debt / GDP IMF projections
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
mapping of Japan's GDP growth as a function of debt / GDP ratioGDP
� �;K�: -������.��ก�� 60%203����?���O 08-�/ก��ก:� �����ก�����"�.�"0�/3�2�3�ก�/3
10
-8.0%
-6.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
0 20 40 60 80 100 120 140 160 180 200 220 240 260 280debt / GDP, %
8.0%
10.0%
12.0%
14.0%mapping of US GDP growth as a function of debt / GDP ratioGDP
... �7/������ก��ก�.�����ก��203�-���P
11
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
0 10 20 30 40 50 60 70 80 90 100 110 120 130
debt / GDP, %
0;กก.��0ก��ก:��8�������...����0;กก.��3���5����:��0�8�.�3?
12
5
6
7
8 Italy Spain Germany 7% line%
0�"�Q�"0.�:���3���."���532R��"/0��O 03 7��7���/������ �3��������"�?� �2R������
13
0
1
2
3
4
5
Jul-09 Nov-09 Mar-10 Jul-10 Nov-10 Mar-11 Jul-11 Nov-11
����:�:� ?�@������Q7� ������ �3ก�S5ก���.��0����.����/�7O 0SO0
14
� ��!!�-/�8-6<O�-��F�M�����ก!��8-���"P����=!��ก�-����4!ก ��>=>��1�กB�;��6�กI;����M�B�;���ก!
� �ก=6C��>�� �@>� F.A���V�=���ก�-�H����������ก1�ก-"��:���ก!6F-"��:A���V� �������=����H�+�� ...
� W ��2� USD/THB
� W !�C3�� USD/JPY
� W =>��>�!��C>�=!��3���6=-� !ก�!���� USD/JPY �62���+C��!�กกC>�=!��3�� USD/THB ��ก �6��62�
:8��0�����-���P�R3������������.�2�3�/2R����O 0��ก���ก����3��:;�!�������ก
15
� W =>��>�!��C>�=!��3���6=-� !ก�!���� USD/JPY �62���+C��!�กกC>�=!��3�� USD/THB ��ก �6��62� ?!ก-"�F����ก��3�2���=!�� USD/THB 1����กกC>�?!ก-"�F����ก��3�2�ก6F USD/JPY !"��!!�-/1"-6F 3L�+>�3�2� ��C>���>����������8!ก!6F�3��-"��:�8-6<O
� ���=�C>�+�.3��8����B�P+!>��=�H���ก� 100 !���F�� �@>� 8���F.-"ก6� !"��2�8����B�P+!>���5� �@>� PTT4���6�C� �6=-�ก�-�!���� !�3��-�+�8����B�P+!>��=�H� �>�1"��กกC>��6=-�ก�-�!���� !�-�+�3��8����B�P+!>���5�
� !"B�C"+C��=��=6C3���B�P+!>����=!��ก�-����4!ก (tight credit conditions)กL�M�N116�8���������1�H��8��ก��ก�-4�ก�������������-���.��กG
�0�����-���P ��3��T��5���ก�3203"��0�"���ก���� ����ก
16
200
250
300
350
400
80
82
84
86
88
90
��กU"ก��3���V 2008 :!-���8���-����กYก�����3ก�/�
17
0
50
100
150
200
Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10
70
72
74
76
78
80
USD OIS, bps, left DXY, right
100
120
140
160
180
200
�Z��"���3���/3�� �203���"R3������0�ก����3 �� 3�������2������."���532R���:/8-�/ �Z?��/03!�"����กก�"R3"���ก2R���:/����
18
0
20
40
60
80
100
02 03 04 05 06 07 08 09 10 11
Euro LIBOR OIS (Overnight Index Swap), bps
�Z?��/03 (������3�� ���...���������?) 7/��...-�O0:!-���/ก�/���� ?
19
y = -18.477x + 59.964
R20.6718 =
40
42
44
46
48USD/THB This equations suggest for
every 10 cents move in EUR/USD is about a 1.84
move in USD/THB
EUR/USD 7/����:�0��/ USD/THB ก��36O�0/2�0�5/!�����.:� �53/" �ก��8�
20
1.337
28
30
32
34
36
38
0.80 0.90 1.00 1.10 1.20 1.30 1.40 1.50 1.60 1.70
EUR/USD
34
35
36
37
USD/THB ���0ก�?;/32R��0�ก����3�-�O0�7/�3:� Lehman Brothers �������
21
31
32
33
34
Jan-08 Mar-08 May-08 Jul-08 Sep-08 Nov-08 Jan-09 Mar-09
USD/THB
115
120
125
130
135 31.031.532.0
32.533.033.534.0
...��O 03�ก���3��:;�8-�00ก�ก����:�8:�
22
100
105
110
115
Jan-
08
Feb-
08
Mar-
08
Apr-
08
May-
08
Jun-
08
Jul-
08
Aug-
08
Sep-
08
Oct-
08
Nov-
08
Dec-
08
Jan-
09
34.034.5
35.035.536.0
FX reserves + swap, USD bn USD/THB, right, inverted
12
13
14
15
16The current debt limit is USD15.194trn versus actual of USD15.009trn. Each day, debt is rising by an average USD 4.19bn…hence within 44 days, we will be talking about US debt ceiling again
0�/�O��/�-���P��-����f����3��3:� �53�ก�-�O0�ก��
23
8
9
10
11
12
Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11
actual debt, USD trn debt limit, USD trn
1,500
2,000
2,500
3,000
�g����0�6�.�0�!7��"�ก�Q/0�����7�3�����-�O0 Q.E. 0�ก �?O 0-��ก��� �3ก�:�;�"��203�����ก������3!- /
24
-
500
1,000
1,500
02 03 04 05 06 07 08 09 10
Fed's balance sheet, USD bn ECB balance sheet, EUR bn
4000
5000
6000
7000
Asia FX reserves, USD bn…when Western central bank print money to monetize their debts
…money will flow to area with better growth prospects,
f���ก�3!��0�7�����T�"�03�5��Z?��/03�/���ก��00ก (sterilization)...6R 3��T�Q��กก�0������Z?��/03203�����ก��:� ?�@����� (debt monetization?)
25
y = 1.407x - 3689.3
R2 = 0.9766
0
1000
2000
3000
4000
3000 3500 4000 4500 5000 5500 6000 6500 7000 7500
sum of USD, EUR M1, bn
growth prospects, generally Asia
…this equation says for every 1 unit of USD or EUR M1, Asia FX reserves increases by 1.4 unit
y = -0.0041x + 57.243
R2 = 0.889340
45
50
USD/THB
�"/ USD/THB ���/0�<ก��.�5/:��:32�3 -��3�ก:� ?;/32R��!�7/�3��ก<203��กU"
26
25
30
35
40
3000 3500 4000 4500 5000 5500 6000 6500 7000 7500
sum of USD, EUR M1, bn
KBank USD/THB model
38
40
42
44
46
48KBank USD/THB model
27
28
30
32
34
36
38
01 02 03 04 05 06 07 08 09 10 11 12
actual model
30.5
30.7
30.9
31.1
31.3
31.5
��f�:.����/0�!-� USD/THB ���O 0�8-�"�"�� (Q��Q��"/08�?) ��!-�Z��0ก7�7/��ก����.������ �3
28
29.5
29.7
29.9
30.1
30.3
30.5
Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11
USD/THB
0%
5%
10%
15%
0%
5%
10%
15%
�����ก����กก��37��0"���3...�����ก��8:������S�"�.�""/08�8��-�O08�/?
29
-15%
-10%
-5%
0%
00 01 02 03 04 05 06 07 08 09 10 11
-15%
-10%
-5%
0%
OECD lead indicator, % YoY, left axis TH GDP, % YoY, right axis
�00�5/ ?
10000
11000
12000
13000
14000
30
6000
7000
8000
9000
10000
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Bhumibol Dam level, million cubic meters
140
160
180
200
�� ���ก<203Q�ก��:.�ก0;:กZ��: ก�:�;�"��203Z�ก�Q��"
31
80
100
120
140
00 01 02 03 04 05 06 07 08 09 10 11
production index
60
65
70
75
80
�� ���ก<203Q�ก��:.�ก0;:กZ��: 0�"�ก�!7�ก��3ก�Q��"-�"��
32
40
45
50
55
60
00 01 02 03 04 05 06 07 08 09 10 11
capacity utilization
2
4
6
8
�����ก��8:����������-�"������� 5.7%!�8"���4 ��O 0�:��.ก�.7/�3�����ก���Vก/0�
33
-8
-6
-4
-2
0
94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12
Thai GDP, % QoQ KR estimate
�����ก������ก��8:�
Source: NESDB, BOT, MOC, KResearch (As of November 21, 2011)Internal-used only
34
3.0
3.5
4.0
4.5
5.0
5.5
%
��f�:.����0�"��0ก�.������.�0�ก 0.25%
35
0.0
0.5
1.0
1.5
2.0
2.5
3.0
01 02 03 04 05 06 07 08 09 10 11 12 13
actual model
y = f(x): ������S!�ก��2/32����������?��f�ก�.ก�:;���" (�������������?)
4.5
5.0
5.5
6.0
WEF, global competitiveness ranking, 2011
Thailand
36
y = 0.2571x + 3.093
R2 = 0.7129
2.5
3.0
3.5
4.0
4.5
1 2 3 4 5 6 7 8 9 10
TI, corruption perception index, 2011
World Economic Forum: ����-���ก� ��ก�.������S!�ก��2/32��2038:�
� Although dropping one more rank, Thailand (39th) maintains its score and appears to be stabilizing after its eroding performance of the previous four years. The improved macroeconomic environment (28th, up 18 places) represents the most positive aspect of Thailand’s accomplishment in this year’s assessment.
� Its public deficit has been reined in and brought to a more manageable level, and the efficiency of its labor market also stands out positively (30th). Moreover, labor markets are flexible (44th) and allow for an efficient allocation of talent (34th).
37
flexible (44th) and allow for an efficient allocation of talent (34th).
� However, many challenges will need to be addressed to make Thailand more competitive.One of the biggest areas of concern is the efficiency of its public institutions (74th), which has been deteriorating over the past three years.
� Property rights for intellectual as well as physical and financial goods remain underprotected (101st), and the worrying security situation imposes a high cost on business (91st). It remains to be seen what impact the new political landscape will have on the economy and whether the new government will succeed in restoring the trust and confidence of the business community.
Z�Q��กZ�Q��ก::
38
ก�?��?��3���7��-������8�/8�������/�Z����
... ��T�ก��0�Z��:3Z��2037"�"����"ก�5/�0�7��
ก�?��?��3���7��-������8�/8�������/�Z����
39
ก�?��?��3���7��-������8�/8�������/�Z����
... ��T�ก��0�Z��:3Z��2037"�"����"ก�5/�0�7��
�;3�6�ก��3����7���ก0�5/
40
y = 0.0808x + 695.84
R2 = 0.9522
1800
2000
2200USD M1, USD bn
y = f(x), -����f���:� �ก2R��203�-���P ��������3��-�;������!��5�203 USD M1 :� �ก2R��
This is evidence of debt monetization (converting it to money). The more
the US government borrows, the more the
1000
1200
1400
1600
4000 6000 8000 10000 12000 14000 16000
US national debt, USD bn
41
borrows, the more the Fed has to print money
y = 0.106x + 44.462
R2 = 0.9397
200
250
300
US CPI index
y = f(x), �����3��-�;������!��5�203 USD M1 :� �ก2R�� ���0�"��3���gr0:� �?� �2R��203�-���P
50
100
150
200
400 600 800 1000 1200 1400 1600 1800 2000 2200
US M1, USD bn
42
sก��2�6O�0?��f.�"����.��-���P 203�g����0�"��3���gr0:� �?� �2R�� = 0�"�Q�"0.�:�:� "���. 6R 3Q5�ก5���8��Q������7��!�2��:� ��ก�3:;�����.Z��2�:;�
2
3
4
5
6
7
43
-3
-2
-1
0
1
2
90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11
10yr UST yield less inflation, %
s���Q�"0.�:�:� "���.6R 3���SR3Q�"0.�:��ก0�"���ก���� ������ 0�/3!�ก���203���:� Q5�ก5�8�������7��!�2��:� Q5�!-�ก5����������7��
-2
0
2
4
6
8
44
-12
-10
-8
-6
-4
-2
00 01 02 03 04 05 06 07 08 09 10 11
FX return, CNY basis, % UST 10yr UST, % sum of yield and FX return
45