Ngang gi li sut(Interest Rates Parity = IRP)

MA L Th Bnh (Master in Money Market, Hitotsubashi University, Japan) Hitotsubashi University, Japan) Skype: lethebinh E-mail:LETHEBINH3@GMAIL.COMFB Group: TCQT 2014.11

Ngang gi li sut(Interest Rates Parity = IRP) Tnh hung: Mt Vit kiu M nh gi tit kim mt khon tin

10000$ trong1 nm. LS ca VN: I (vnd) = 6%/nm LS ca M: I (usd) = 2%/nm T gi giao ngay Rs (USD/VND)=20828 VND T gi giao ngay Rs (USD/VND)=20828 VND T gi k hn 12 thng Rf (USD/VND)= 21500VND1. Ngi ny nn gi bng ng tin no? 2. Hnh vi ca nhiu ngi gi tin tng t nh hng

th no n Rs, Rf, I (vnd), I (usd) 3. Nu ngi ny khng c vn, th nn i vay bng ng

tin no, giao dch nh th no sinh li?

Ngang gi li sut(Interest Rates Parity = IRP) Tnh hung: Mt Vit kiu M nh gi tit kim mt khon tin

10000$ trong 3 thng. LS ca VN: I (vnd) = 6%/nmLS ca M: I (usd) = 2%/nmT gi giao ngay Rs (USD/VND)=20803 VND T gi giao ngay Rs (USD/VND)=20803 VND T gi k hn 3 thng Rf (USD/VND)= 21500VND1. Ngi ny nn gi bng ng tin no? 2. Hnh vi ca nhiu ngi gi tin tng t nh hng

th no n Rs, Rf, I (vnd), I (usd) 3. Nu ngi ny khng c vn, th nn i vay bng ng

tin no, giao dch nh th no sinh li?

Ngang gi li sut Nu gi bng USDSau 1 nm, s tin thu c (USD) l V x (1+ I (usd) ) V1=V x (1+ I (usd) )= 10000(1+0.02) = 102,000 USD

Nu gi bng VND Nu gi bng VNDSau 1 nm, s tin thu c (USD) l V2=V x Rs (USD/VND) x (1+ I (vnd) ) /Rf (USD/VND)= 10000 x 20803 x (1+0.14) /21500= 11030.43 USD* Vy gi bng VND c li hn

Ngang gi li sut* Nu gi bng USDV1= V x (1+ I (usd) )* Nu gi bng VNDV2= V x Rs (USD/VND) x (1+ I (vnd))/Rf (USD/VND)V2> V1. iu ny to xu hng chuyn dch t tit kim bng USD

sang tit kim bng VND. Kt qu:Kt qu:- Bn USD giao ngay ly VND => Rs (USD/VND)- USD b rt bt khi cc ngn hng=> I (usd)- VND c a vo cc ngn hng => I (vnd)- Mua USD k hn => Rf (USD/VND)V1 s tng hay gim? V2 s tng hay gim?

Ngang gi li sutl Rf (USD/VND)

= Rs (1+ i(VN)) /(1+ i(US))

- Nu i(VN) > i(US): Rf>Rs- Nu i(VN) < i(US): Rf

T gi k hn l T gi giao ngay Rs (USD/VND) = 20803 VND

- Li sut I (vnd) = 14%/nm - Li sut I (usd) = 2%/nm

- Tnh t gi c k hn 3 thng

T gi k hn l T gi k hn Rf (USD/VND) = Rs (1+ I(vnd)) /(1+I (usd))

= 20803 (1+ 0.14/4)/ (1+0.02/4)

= 20803 x 1.035/1.005

= 21424 VND

Mc chnh lch li sut- Trong ngn hnVn chy v nc no c li sut cao VD:

i(VN) = 11%i(VN) = 11%

i(EUR) = 4%

i(US) = 1.8%

i(JP) = 1%

Hi cc cp t gi thay i th no?

USD

EUR JPY

VND

V sao ngang gi li sut vn c th khng xy ra1) Chi ph giao dch VD: Ph chuyn tin. Tin i sang VN gi

tit kim (iu ang xy ra tht).

V sao ngang gi li sut vn c th khng xy ra2) Ri ro chnh tr, ri ro quc gia- Th hin xp hng tn nhim quc gia,

xp hng tn nhim ca ngn hng VD: M c xp hng AAA. VN B-

V sao ngang gi li sut vn c th khng xy ra3) Li ch v thu so vi li ch do chnh

lch li sut

- Gi VND c li hn, nhng c th thu nh vo li tc (li) cao hn

V sao ngang gi li sut vn c th khng xy ra4) Tnh thanh khon gia cc ti sn ca 2

nc- Khi o hn c rt c ra khi NH VN

khng? khng?

- Khi o hn, phi ra khai bo VCB, NHNN hay ra i ch en H Trung?

Bi kim tra 1. Mt ngi Nht nh gi tit kim mt khon tin 100

vn yn trong1 nm. LS ca VN: I (vnd) = 8%/nmLS ca Nht: I (jpy) = 1%/nmT gi giao ngay Rs (JPY/VND)=210 T gi k hn 1 nm Rf (JPY/VND)= 2301.1. Ngi ny nn gi bng ng tin no? 1.1. Ngi ny nn gi bng ng tin no? 1.2. Hnh vi ca nhiu ngi gi tin tng t nh hng

th no n Rs, Rf, I (vnd), I (jpy) 1.3. Nu ngi ny khng c vn, th nn i vay bng ng

tin no, giao dch nh th no sinh li?2. trnh kinh t pht trin nng, Ngn hng Nhn dn

Trung Hoa bn tri phiu chnh ph ra. Hi trong ngnhn, iu ny nh hng th no n ng CNY?

trnh kinh t pht trin nng, Ngn hng Nhn dn Trung Hoa bn tri phiu chnh ph ra. Hi bn tri phiu chnh ph ra. Hi trong ngn hn, iu ny nh hng th no n ng CNY?

Cu 1: Li sut khi mt doanh nghip Vit Nam i vay vo cui nm 2012 khong 12%-18%/nm bng VND. Trong lc y, cc doanh nghip c trung v ln ca Nht Bn c th vay t cc ngn hng Nht Bn vi li sut khong 2%/nm bng JPY. Gi s bn l mt doanh nghip kinh doanh trong ngnh l mt doanh nghip kinh doanh trong ngnh ch bin sn phm thc phm phc v ngi tiu dng v ang chu li sut cao t vic vay ngn hng Vit Nam, v mt trung hn bn c th lm g gim chi ph vay ny?

l Gi : - Cng vay t NH Nht, ti sao DN Nht c th vay JPY

vi LS t 2-4%, trong khi DN VN c th phi tr 6-10% khi vay JPY, v nu vay bng VND th LS khng thp hn, thm ch cao hn vay t NHVN.

- L do chnh l: Risk Premium (Default Risk, Political Risk, Foreign Exchange Risk v.v...) Tm cch gim cc Risk, Foreign Exchange Risk v.v...) Tm cch gim cc ri ro ny s khin phn b ri ro gim => LS i vay gim.

- Khuyn khch cc SV i khi kinh nghim cc doanh nghip, qu u t tm ra cu tr li thc t, kh thi.

l Cu 2: Li sut khi mt doanh nghip Vit Nam i vay vo cui nm 2012 khong 12%-18%/nm bng VND. Trong lc y, cc doanh nghip c trung v ln ca M c th vay t cc ngn hng M vi li sut khong 3%/nm bng USD. Gi s bn l mt doanh nghip kinh doanh trong ngnh thu xy nghip kinh doanh trong ngnh thu xy dng v ang chu li sut cao t vic vay ngn hng Vit Nam, v mt trung hn bn c th lm g gim chi ph vay ny?

Appendix: Country Ranking in lending interest rateshttp://www.indexmundi.com/facts/indicators/FR.INR.LEND/ranking

s

1Zimbabwe 578.96%(2007)31Vietnam 16.95% (2011)167United States 3.25% (2011) 168Canada 3.00 % (2011) 168Canada 3.00 % (2011) 169Switzerland 2.72%(2011) 170Ireland 2.65%(2005)171Netherlands 2.00%(2011)172Japan 1.50%(2011)173United Kingdom 0.50%(2011)

Cc thut ng chnh cn nh

- Interest Rate Parity: Ngang gi li sut- Uncovered: Khng bo him- Liquidate (deposit): thanh l (rt tin mt) khon gi tit kim- Risk Premium: Phn b ri ro- Risk Averter: nh u t ght ri ro- Risk Lover: nh u t thch ri ro- Risk-neutral: nh u t trung lp vi ri ro- Risk-neutral: nh u t trung lp vi ri ro- Rate of Depreciation: Mc gim gi tin t- Expected Rate of Depreciation: Mc gim gi tin t k vng- Spot Exchange Rate: T gi giao ngay- Forward Exchange Rate: T gi k hn- Forward Premium: Phn b k hn- Forward Discount: Chit khu k hn- Short Position: V th ngn- Long Position: V th di

Khi nim quan trngRisk Premium: Phn b ri ro

Phn b ri ro- Phn chnh lch gia li sut k vng

(Expected Rate of Return) ca ti sn ri ro(risky assets) v li sut ca ti sn phi ri ro(risky assets) v li sut ca ti sn phi ri ro(risk free rate of return) ti thiu m nh ut chp nhn sao cho vic u t vo ti snri ro v ti sn phi ri ro hp dn nh sau.

V d- Li sut ca ti sn khng c ri ro: gi tit kim ngn hng hoc

mua tri phiu chnh ph.- Bn chp nhn phn b ri ro bao nhiu % khi u t vo cc ti

sn sau ti VN? Hy gii thch l do. (1) Vng ming SJC(2) Bt ng sn hoc chng ch qu BS (3) C phiu ca cc cng ty blue-chips(3) C phiu ca cc cng ty blue-chips(4) C phiu ca cc cng ty mid-cap(5) C phiu penny (6) Cy cnh phc v Tt(7) C phn ca cc cng ty khi nghip(8) Ngoi hi k gi u t ti cc cng ty dch v u t vng/ngoi

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