cmb seminar khun kobsidthi 2011 12-15

45
Econ / FX / Rates Econ / FX / Rates December December 2011 2011 1 by by Kobsidthi Silpachai, CFA Kobsidthi Silpachai, CFA Capital Markets Research Capital Markets Research

Upload: kbank-fx-dealing-room

Post on 12-Nov-2014

532 views

Category:

Economy & Finance


1 download

DESCRIPTION

 

TRANSCRIPT

Page 1: Cmb seminar khun kobsidthi 2011 12-15

Econ / FX / RatesEcon / FX / Rates

December December 20112011

1

byby

Kobsidthi Silpachai, CFAKobsidthi Silpachai, CFA

Capital Markets ResearchCapital Markets Research

Page 2: Cmb seminar khun kobsidthi 2011 12-15

� �������� 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�

Page 3: Cmb seminar khun kobsidthi 2011 12-15

ก���ก���������������ก����ก������� �!�"�� (consensus)

3

Page 4: Cmb seminar khun kobsidthi 2011 12-15

... �-��.�����ก��!- /0����. 1 203��ก : �-���0����ก

4

Page 5: Cmb seminar khun kobsidthi 2011 12-15

... �-��.�5���6�

5

Page 6: Cmb seminar khun kobsidthi 2011 12-15

... ����-��.�0�7��

6

Page 7: Cmb seminar khun kobsidthi 2011 12-15

��ก������-������ก������ก��0�/38� ? !7��/���� �203:;ก<�� (consensus) ?

7

Page 8: Cmb seminar khun kobsidthi 2011 12-15

�����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

Page 9: Cmb seminar khun kobsidthi 2011 12-15

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

Page 10: Cmb seminar khun kobsidthi 2011 12-15

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, %

Page 11: Cmb seminar khun kobsidthi 2011 12-15

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, %

Page 12: Cmb seminar khun kobsidthi 2011 12-15

0;กก.��0ก��ก:��8�������...����0;กก.��3���5����:��0�8�.�3?

12

Page 13: Cmb seminar khun kobsidthi 2011 12-15

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

Page 14: Cmb seminar khun kobsidthi 2011 12-15

����:�:� ?�@������Q7� ������ �3ก�S5ก���.��0����.����/�7O 0SO0

14

Page 15: Cmb seminar khun kobsidthi 2011 12-15

� ��!!�-/�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

Page 16: Cmb seminar khun kobsidthi 2011 12-15

�0�����-���P ��3��T��5���ก�3203"��0�"���ก���� ����ก

16

Page 17: Cmb seminar khun kobsidthi 2011 12-15

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

Page 18: Cmb seminar khun kobsidthi 2011 12-15

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

Page 19: Cmb seminar khun kobsidthi 2011 12-15

�Z?��/03 (������3�� ���...���������?) 7/��...-�O0:!-���/ก�/���� ?

19

Page 20: Cmb seminar khun kobsidthi 2011 12-15

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

Page 21: Cmb seminar khun kobsidthi 2011 12-15

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

Page 22: Cmb seminar khun kobsidthi 2011 12-15

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

Page 23: Cmb seminar khun kobsidthi 2011 12-15

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

Page 24: Cmb seminar khun kobsidthi 2011 12-15

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

Page 25: Cmb seminar khun kobsidthi 2011 12-15

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

Page 26: Cmb seminar khun kobsidthi 2011 12-15

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

Page 27: Cmb seminar khun kobsidthi 2011 12-15

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

Page 28: Cmb seminar khun kobsidthi 2011 12-15

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

Page 29: Cmb seminar khun kobsidthi 2011 12-15

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

Page 30: Cmb seminar khun kobsidthi 2011 12-15

�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

Page 31: Cmb seminar khun kobsidthi 2011 12-15

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

Page 32: Cmb seminar khun kobsidthi 2011 12-15

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

Page 33: Cmb seminar khun kobsidthi 2011 12-15

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

Page 34: Cmb seminar khun kobsidthi 2011 12-15

�����ก������ก��8:�

Source: NESDB, BOT, MOC, KResearch (As of November 21, 2011)Internal-used only

34

Page 35: Cmb seminar khun kobsidthi 2011 12-15

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

Page 36: Cmb seminar khun kobsidthi 2011 12-15

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

Page 37: Cmb seminar khun kobsidthi 2011 12-15

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.

Page 38: Cmb seminar khun kobsidthi 2011 12-15

Z�Q��กZ�Q��ก::

38

ก�?��?��3���7��-������8�/8�������/�Z����

... ��T�ก��0�Z��:3Z��2037"�"����"ก�5/�0�7��

Page 39: Cmb seminar khun kobsidthi 2011 12-15

ก�?��?��3���7��-������8�/8�������/�Z����

39

ก�?��?��3���7��-������8�/8�������/�Z����

... ��T�ก��0�Z��:3Z��2037"�"����"ก�5/�0�7��

Page 40: Cmb seminar khun kobsidthi 2011 12-15

�;3�6�ก��3����7���ก0�5/

40

Page 41: Cmb seminar khun kobsidthi 2011 12-15

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

Page 42: Cmb seminar khun kobsidthi 2011 12-15

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

Page 43: Cmb seminar khun kobsidthi 2011 12-15

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, %

Page 44: Cmb seminar khun kobsidthi 2011 12-15

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

Page 45: Cmb seminar khun kobsidthi 2011 12-15

45