Cmb seminar khun kobsidthi 2011 12-15

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Cmb seminar khun kobsidthi 2011 12-15

  1. 1. Econ / FX / RatesDecember 2011 by Kobsidthi Silpachai, CFA Capital Markets Research 1
  2. 2. 2012 F Mayan Nostradamus F ก F ก F ก ... ?กก ก ก ก ... F ก 2012 F ... F F 2008 2009 F ก ก ก ก F ก F ก ก F ก ... F F ก ก 2540 F F ก ก ก F F F ก F F ก F F F F F F ก F กก ก ... F F F ก F ก ก ก F 1) ก ก ก 2) ก กF F 3) ก F 4) ก F ... F ก F Fกก F ... ก F F ก ก ก FF F/ 2012 F 29.50 F ก F/ ก F ก F ก F ก F . ก ก 0.25% 3.00% F F ก F F ก ก F 2
  3. 3. ก ก F F ก ก (consensus) 3
  4. 4. ... ก F 1 ก: ก 4
  5. 5. ... 5
  6. 6. ... 6
  7. 7. ก F ก ก F ? F F ก (consensus) ? 7
  8. 8. ก ก ก กกF F Fก F ?15.0% 6.0%10.0% 4.0% 5.0% 2.0% 0.0% 0.0% 98 99 00 01 02 03 04 05 06 07 08 09 10 11 -5.0% -2.0%-10.0% -4.0%-15.0% -6.0% OECD global lead indicator, % YoY, left World economic growth, % YoY, right 8
  9. 9. ก กF ก F ก: global debt / GDP858075706560 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 world debt / GDP IMF projections 9
  10. 10. : ก 60% Fก ก ก F กFGDP mapping of Japans GDP growth as a function of debt / GDP ratio16.0%14.0%12.0%10.0% 8.0% 6.0% 4.0% 2.0% 0.0%-2.0% 0 20 40 60 80 100 120 140 160 180 200 220 240 260 280-4.0% debt / GDP, %-6.0%-8.0% 10
  11. 11. ... F ก ก ก GDP mapping of US GDP growth as a function of debt / GDP ratio14.0%12.0%10.0%8.0%6.0%4.0%2.0%0.0%-2.0% 0 10 20 30 40 50 60 70 80 90 100 110 120 130-4.0% debt / GDP, % 11
  12. 12. กก ก ก F... F กก F ? 12
  13. 13. F F F F%8 Italy Spain Germany 7% line76543210Jul-09 Nov-09 Mar-10 Jul-10 Nov-10 Mar-11 Jul-11 Nov-11 13
  14. 14. F ก ก F 14
  15. 15. F F F ก กF ก F ก ก ก F F ก ก กก F F . F ก ก ก ก F ... USD/THB F USD/JPY F F F ก USD/JPY กก F USD/THB ก ก ก USD/THB กก F ก ก ก USD/JPY F F FF F ก F F F F ก 100 F F F . ก F F F PTT ก F F F กก F ก F F F ก ก (tight credit conditions)ก Fก กกF ก 15
  16. 16. F Fก ก ก 16
  17. 17. ก ก 2008 F F ก ก F กF400 90350 88 86300 84250 82200 80150 78 76100 74 50 72 0 70 Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 USD OIS, bps, left DXY, right 17
  18. 18. F ก F F F F กก ก F200180160140120100 80 60 40 20 0 02 03 04 05 06 07 08 09 10 11 Euro LIBOR OIS (Overnight Index Swap), bps 18
  19. 19. F ( ... ?) F ... F Fก F ? 19
  20. 20. EUR/USD F F F USD/THB ก / F / กUSD/THB This equations suggest for48 every 10 cents move in46 EUR/USD is about a 1.84 move in USD/THB44 y = -18.477x + 59.96442 2 R 0.6718 =4038363432 1.3373028 0.80 0.90 1.00 1.10 1.20 1.30 1.40 1.50 1.60 1.70 EUR/USD 20
  21. 21. USD/THB ก F ก F Lehman Brothers F37363534333231 Jan-08 Mar-08 May-08 Jul-08 Sep-08 Nov-08 Jan-09 Mar-09 USD/THB 21
  22. 22. ... ก ก ก135 31.0 31.5130 32.0125 32.5120 33.0 33.5115 34.0110 34.5 35.0105 35.5100 36.0 Jan- Feb- Mar- Apr- May- Jun- Jul- Aug- Sep- Oct- Nov- Dec- Jan- 08 08 08 08 08 08 08 08 08 08 08 08 09 FX reserves + swap, USD bn USD/THB, right, inverted 22
  23. 23. F F F ก ก The current debt limit is USD15.194trn16 versus actual of USD15.009trn. Each15 day, debt is rising by an average USD 4.19bn…hence within 44 days, we will14 be talking about US debt ceiling again13121110 9 8 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11 actual debt, USD trn debt limit, USD trn 23
  24. 24. F ก F Q.E. ก3,000 ก ก ก F2,5002,0001,5001,000 500 - 02 03 04 05 06 07 08 09 10 Feds balance sheet, USD bn ECB balance sheet, EUR bn 24
  25. 25. ก F F F ก ก (sterilization) ... กก F ก F (debt monetization?)Asia FX reserves, USD bn …when Western7000 central bank print money to monetize6000 their debts5000 …money will flow to area with better4000 growth prospects, generally Asia3000 y = 1.407x - 3689.3 2 …this equation says2000 R = 0.9766 for every 1 unit of USD or EUR M1,1000 Asia FX reserves increases by 1.4 unit 0 3000 3500 4000 4500 5000 5500 6000 6500 7000 7500 sum of USD, EUR M1, bn 25
  26. 26. F USD/THB F ก F ก F F ก ก USD/THB5045 y = -0.0041x + 57.243 240 R = 0.8893353025 3000 3500 4000 4500 5000 5500 6000 6500 7000 7500 sum of USD, EUR M1, bn 26
  27. 27. KBank USD/THB model KBank USD/THB model4846444240383634323028 01 02 03 04 05 06 07 08 09 10 11 12 actual model 27
  28. 28. . F F USD/THB ( F ?)31.5 F ก F ก31.331.130.930.730.530.330.129.929.729.5 Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 USD/THB 28
  29. 29. ก กก ... ก F F ? F15% 15%10% 10% 5% 5% 0% 0%-5% -5%-10% -10%-15% -15% 00 01 02 03 04 05 06 07 08 09 10 11 OECD lead indicator, % YoY, left axis TH GDP, % YoY, right axis 29
  30. 30. F?1400013000120001100010000 9000 8000 7000 6000 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Bhumibol Dam level, million cubic meters 30
  31. 31. ก ก ก ก :ก ก200180160140120100 80 00 01 02 03 04 05 06 07 08 09 10 11 production index 31
  32. 32. ก ก ก ก : ก Fก ก807570656055504540 00 01 02 03 04 05 06 07 08 09 10 11 capacity utilization 32
  33. 33. ก F 5.7% 4 ก F ก กF86420-2 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12-4-6-8 Thai GDP, % QoQ KR estimate 33
  34. 34. ก กSource: NESDB, BOT, MOC, KResearch (As of November 21, 2011)Internal-used only 34
  35. 35. . ก ก 0.25%%5.55.04.54.03.53.02.52.01.51.00.50.0 01 02 03 04 05 06 07 08 09 10 11 12 13 actual model 35
  36. 36. y = f(x): ก F Fก ก ( F ?) WEF, global competitiveness ranking, 2011 6.0 5.5 Thailand 5.0 4.5 y = 0.2571x + 3.093 4.0 2 R = 0.7129 3.5 3.0 2.5 1 2 3 4 5 6 7 8 9 10 TI, corruption perception index, 2011 36
  37. 37. World Economic Forum: ก ก ก F 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). 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. 37
  38. 38. ก:ก: ก F F F F ... ก ก F 38
  39. 39. ก F F F F... ก ก F 39
  40. 40. ก F ก F 40
  41. 41. y = f(x), ก USD M1 ก USD M1, USD bn 2200 y = 0.0808x + 695.84 2000 This is evidence of debt 2 monetization (converting R = 0.9522 1800 it to money). The more the US government borrows, the more the 1600 Fed has to print money 1400 1200 1000 4000 6000 8000 10000 12000 14000 16000 US national debt, USD bn 41
  42. 42. y = f(x), USD M1 ก US CPI index 300 y = 0.106x + 44.462 250 2 R = 0.9397 200 150 100 50 400 600 800 1000 1200 1400 1600 1800 2000 2200 US M1, USD bn 42
  43. 43. ก F = FกF F F ก 7 6 5 4 3 2 1 0-1-2-3 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, % 43
  44. 44. ก ก F F ก FกF F F F FกF F 8 6 4 2 0 -2 -4 -6 -8-10-12 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 44
  45. 45. 45

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