capital market business's event aug 2011.thai final
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TRANSCRIPT
1
KBank on Econ / FX / RatesKBank on Econ / FX / Rates
August 2011August 2011
byby
Kobsidthi Silpachai, CFAKobsidthi Silpachai, CFA
Capital Markets ResearchCapital Markets Research
2
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� ���ก���#'�B���@�C ก0�+�+'!"��ก��&�'�ก����� '���=��'&1��9��.&���#'�"�! "����ก����&'���ก�=��'&1������&�%����*���)'#'��2 �(%�.;�ก���7)�'�)���* 3.25% 1�%��)*'�;ก'!%�(�����#8�� ��0����0*�"��=��'&1���$� 1�������=(0 ���ก�&������! ��*���!ก��ก�&�2 2009 '�ก����� ��*��)'B����0�MN��������*9�O�1��� 1��'�����0��/<'������ก0����% ��)*' Fed / ECB 90�9:��0�''ก��ก#8��
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QE3 ��A�ก�!;�.: Vก��8��$�W ����1�%�/�"����&���ก���%'���=��'&1����!����� ��"�%��ก�����*!�1���'!%���'!ก���ก����*��2 2013 78*���!����%.���9X0(!:���+ก$�!)���0�/�� ��)'����)*'�"#��'! ����&�� 2 �2#�����
� ��)*'��ก��0��'���:���� ��"�%"��'!$%������ '���0ก 1����"��"�!���0����9!:')*� Y 1�����%������@ ��!����������<��! USD / THB #'�����* 29.00 ����&�0���2 2011 1�� 28.00 ����&�0���2 2012 ก��90*�#8��#'����'�� ���ก;���0� USD ��A���*��&�'��%ก����������%��0�#'����� ,��!�������0��%'"�
� ��)*'��ก�����@"�!1�������@�ก0����%')*� Y ��1��������*���=(0 ก�&B����0��/<'�กก�%��0�MN� 1�������A���)*'��&ก��*��"��ก����0 ��0&�����@�C ก0���*��#8�� ��������8�����;%�����ก��%'�$�ก�&B����0��/<'�9)*'���&��;�ก���0&���@�C ก0� ... ��)*'��ก:
� `. GDP ��*1����0� = GDP ���c��;&��d '�����0��/<'
� +���!&!���������*������ GDP ���c��;&�� �90*�#8��"������#8�� 9��'�ก�&(%�!ก�ก���!�!"�� ��)*'���!&ก�&'�����0��/<' ����������*!��%'���"�%��&��������(%� �������''กก�� �����@ '�!0��: �$�0�7�! 7����!1�� �0�&�! GDP ���c��;&�� ��ก�()*'��!�ก�&����! ��#X���*'�����0��/<'��A��0*��*ก���&��!ก��
� �����% .��. ���90*�'���7)�'�)�9��.&����$��;�+8� 4% ��!�0���2��� �9)*'�<'�ก��ก���ก�X:��0��/<'��*'��0*�#8���%'"�'�ก
4
current
2011e
GDP
2010
GDP
1mth ago 3mth ago 6mth ago current
2011e
CPI
2010 CPI 1mth ago 3mth ago 6mth ago
AUSTRALIA 2.0 3.4 2.8 2.9 3.5 3.6 2.9 3.3 3.3 3.0BRAZIL 4.0 7.5 4.0 4.1 4.5 6.2 5.0 6.2 5.5 5.0CHINA 9.3 9.7 9.5 9.5 9.5 5.2 3.3 4.9 4.7 4.6COLOMBIA 5.0 4.3 4.9 4.5 4.4 3.3 2.3 3.3 3.5 3.1EUROZONE 2.0 1.7 2.0 1.7 1.6 2.7 1.6 2.7 2.5 2.0FRANCE 2.0 1.5 2.2 1.9 1.7 2.1 1.7 2.2 2.3 1.9GERMANY 3.4 3.6 3.4 2.8 2.5 2.3 1.2 2.3 2.3 1.7GREECE -3.6 -4.0 -3.6 -2.9 -2.7 3.1 4.7 3.1 2.2 1.2HONG KONG 6.0 6.6 5.4 5.3 4.5 5.0 2.4 5.0 4.5 3.7HUNGARY 2.5 1.0 2.6 2.6 2.8 4.1 4.9 4.0 4.0 3.8INDONESIA 6.5 6.0 6.4 6.4 6.4 6.0 5.1 6.0 6.8 6.7IRELAND 0.5 -0.4 0.1 0.2 1.5 1.3 -1.6 1.3 1.2 0.9ISRAEL 4.6 4.1 4.5 4.5 3.6 3.6 2.7 4.3 4.3 3.2ITALY 0.8 1.1 0.9 1.1 1.1 2.6 1.6 2.5 2.4 2.1JAPAN -0.7 4.3 -0.6 1.3 1.4 0.4 -0.7 0.4 0.0 -0.3KUWAIT 4.4 2.8 4.4 4.5 3.9 4.5 4.1 4.5 4.7 4.2MALAYSIA 5.0 7.0 5.5 5.5 5.1 3.3 1.7 3.0 3.1 2.8MEXICO 4.2 5.2 4.2 4.1 3.7 3.6 4.2 3.7 3.7 3.9PHILIPPINES 5.4 7.0 5.4 5.0 5.0 5.1 3.8 4.9 4.0 4.0PORTUGAL -1.9 1.6 -1.4 -1.2 -1.0 3.4 1.4 3.7 3.4 2.0RUSSIA 4.6 4.0 4.6 4.6 4.2 9.0 6.9 9.1 9.1 9.0SAUDI ARABIA 5.6 3.8 5.6 5.7 4.3 5.5 6.0 5.5 5.6 5.2SINGAPORE 6.0 14.9 6.0 5.2 5.2 4.5 2.8 3.2 3.2 3.2SOUTH AFRICA 3.6 2.8 3.6 3.5 3.5 4.9 4.3 4.9 4.6 4.6SOUTH KOREA 4.4 6.1 4.5 4.5 4.3 4.2 3.5 4.4 4.4 3.5SPAIN 0.7 -0.2 0.8 0.7 0.6 3.1 2.1 3.1 2.8 2.1SWITZERLAND 2.4 2.7 2.4 2.0 1.7 0.9 0.7 0.9 0.8 0.8TAIWAN 5.3 10.4 5.2 4.7 N/A 2.0 1.0 2.1 2.1 N/ATHAILAND 4.1 7.9 4.1 4.5 4.5 3.8 3.3 3.8 3.8 3.4TURKEY 5.4 8.1 5.3 4.6 4.6 6.6 8.6 6.5 6.3 6.3BRITAIN 1.2 1.6 1.4 1.5 1.9 4.4 3.3 4.5 4.3 3.6UNITED STATES 1.7 2.9 2.5 2.7 3.2 3.0 1.6 3.0 3.0 1.8
5
������ก��ก����� �������ก�������
6
-15
-10
-5
0
5
10
15
1Q09 2Q09 3Q09 4Q09 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11
Private consumption Government Consumption Gross fixed capital formation
Inventory change Net exports GDP yoy
% yoy
ก�#!!��� 2.6% ��"����2 �
�ก:C= +1.5%G = +0.1%I= +0.9%
Inv = +0.2%X d M = +0.3%
����� ��ก�� ����������ก������������
7
������ก��ก����� �������ก����
8
������ก������ �����ก���� �!��� (�#$�%����ก�ก����)
9
-15%
-10%
-5%
0%
5%
10%
15%
90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11
-6%-5%-4%-3%-2%-1%0%1%2%3%4%5%6%
G7 lead indicators (left axis) G7 GDP (right axis)
G7 economies make about 50% of the world
economy
The G7 lead indicators have been negative for May and
June 2011
This suggest that reported GDP in 2H
are likely to be negative
'�($�(�)$��*��ก����� �������ก�+$������,�-$� G7
-15%
-10%
-5%
0%
5%
10%
15%
00 01 02 03 04 05 06 07 08 09 10 11
-10%
-5%
0%
5%
10%
15%
OECD lead indicator, % YoY, left axis TH GDP, % YoY, right axis
10
The lead indicators of the OECD countries (34 in
all) are nearly zero
Thaksinomics helped us to avoid the global slowdown in 2002 /
2003, can we hope for a repeat?
'�($�(�)$�� �������ก�������,�-$� (OECD) *�������ก����
11
'�($�(�)$�� �������ก�������
y = 141.07x - 1395.6
R2 = 0.9725
3000
5000
7000
9000
11000
13000
15000
30 40 50 60 70 80 90 100 110
OECD lead indicators for US, index
US real GDP, 2005 dollars, bn
12
OECD lead indicator explains 97% of
historical moves in US GDP
y = f(x), '�($�(�)$��(6���7��������ก�������
13
�����ก�!���89$���'��#6+$:����6�$*�
14
'#���;�$�6������ก��8���ก������'��
15
'�($�(�)$�� �������ก������$� �����+ก�< 0.0%
16
�6�$'�($�(�)$�� �������ก�������@������� �����'��
17
�(6$�'���ก�$ก�������ก�����
18
80
90
100
110
120
130
140
94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11
External sector/GDP, %
�����ก������� �,A��,������ก�$�ก������+$��'������#�
19
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
01 02 03 04 05 06 07 08 09 10 11
-30%
-20%
-10%
0%
10%
20%
30%
40%
OECD lead indicator (left axis) Thai export volume, 3mth average, push back 6mths
'�($�(�)$�� �������ก�������,�-$� (OECD) *�������ก���6���ก �����
20
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
01 02 03 04 05 06 07 08 09 10 11
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
60%
OECD lead indicator (left axis) Thai import volume (right axis)
'�($�(�)$�� �������ก�������,�-$� (OECD) *�������ก��$��� <� �����
21
����'B$�<�$:
�D!���$�)���������$ก ก��������'8� 6���$ (currency debasement)
22
����)'���C!� 2011 S&P ��)'��%`.� ��"��!)�!��'����&����0�#'��� &����� ,"����* '+ AAA/A-1o
� �@�C ก0�#'����� ��*�����!)��!;%��$�1���������ก��! ��!&!ก���0���*������0�.0B9"�����&��;����0 ��0&����ก�=�0� ��#X���*���+��1��ก������0��/<' 1�����9'���%'�%��0��'���:���� �กก�%�ก;���0�')*� Y �������"��(%�!��������@���B9��%'�B!�'ก�����@��A�'!%���
� ��)*'����!&���!&ก�&�����@��*��'����&����%�()*'+)'��* 'AAAo��%���� , ���� ,!����&�%��ก�#��;��&����X 1��������#'��� &��90*�#8���$��ก '�ก����1������ก�1ก��c ����%����ก�!��"�%(����� �%�=���������&�;��'���ก������0�'����&����!�!� �ก����+�!�B9"��$%�(0��&
� ���()*'�%��������*!���*=$�ก�����!&!#'����� '���"�%���+&���;#�'�ก���ก�*!�ก�&�0.�ก����ก��&����X��!�ก�� 1����!�!�B!���2 2013 +��ก��ก��"�%"�� 1��#�ก����0���'!%���0���� ���;��'�#'��� (���%���� ,��9)�� ���ก�������'!ก�% �����@')*���*��'����&����%�()*'+)' 'AAA' '!%�����!���
23
+$��;��$�กก����;��������ก�$*�$ก��*ก<�D!�������ก��6��ก�$
24
��$'�� ���$6��(;��Q;�+$ ��������Q(�����$�)�A�<��Q#ก�����'
25
`���'��ก`.� ��"�����&��'����&����%�()*'+)'��!�!�#'��� &������@���� '���0ก ���$%����&'AA +'�ก'AAA'1��!)�!����*����
'����&����0� 'A-1+' ����&ก������0�'����&��!����� ��"��!ก��0ก'����&�(0��&��������!�����1����!�!��ก CreditWatch
� ก����&��'����&����'�����0�#'����% 1=�ก���'��'�����%��B�'��ก�� 1��Mw!&�0����*"���ก��ก����)*'���� Y ��� ���;��'�#'���#�ก���&�;��$1�1������ก�����*!�1���#'�����B��� ����!�ก��
� ก����&������%�()*'+)'����'���������% ����0�.0B9 ��+�!�B9 1��ก���ก�X:"�� #'��+&����ก���)'� 1����!&! "��������(%�������*=%�� �%�ก��������!��ก����� 1�����@�C ก0�'!%��%'��)*'� ������&��*�กก�% ��*����"�� ��)*'��ก����;��'��(0��&�%'ก������0�'����&�������* 18 ��C!� 2011
� ����1�%����� ��"������*!�1����;��'�#'��� �ก���!;%�!ก��ก��()*'��!�����%�9���ก���)'��%�Y �����!&!ก����� 78*��������'���1�%�&+8�������+#'��� �B 1��Mw!&�0�� ��������+&���;#�'�ก���%��ก��"���������:��� �9)*'1ก��c �����#'��� "�����������
� 1������ก������0�'����&����!�!���A��(0��& �����+��*����'����&ก������0�����!�!����*���$%����&'AA'B!���'��2+��"�"�� +��ก�������%ก�����&����Xก��(��%!��'!ก�%��*�ก��"�� '����'ก�&��!��*�$�#8�� 1��ก������ก��������%�=��%'1������������!�!� ��*�กก�%��*����"��
26
��ก�$���ก��$'�����%...����������;�ก�;�$��;���6 ?
0
2,000
4,000
6,000
8,000
10,000
12,000
14,000
16,000United
States
China
Japa
n
German
y
Franc
e
United
Kingd
om
Brazil
Italy
Can
ada
India
GDP, USD bn
27
�����ก������������ $�'+�!6��$'�� 1 ����ก
28
0
5
10
15
20
25
30
US CH JP UK HK CA FR BR IN GR AU SW SK TW
share of world market equity cap, %
�#� 6���'�8<$�������� $�'+�!6��$'�� 1 �(6$�'���ก�$
29
��',�$7����� $�'+�!6��T$��$'�� 2 �����ก!���89$*����'<������
30
������+$:#�:� ���(����� ��$���+�<������ก#<��$6�
300
400
500
600
700
800
900
1000
00 01 02 03 04 05 06 07 08 09 10 11
-900
-800
-700
-600
-500
-400
-300
-200
-100
0
JP UST holdings, left, USD bn cumulative trade deficit, right, inverted, USD bn
31
If we start from Jan 2000, the US has a
cumulative trade deficit with Japan of nearly
USD 800 bn
…and Japan holds about USD 912bn in
USTs
!���89$$����$��กก���ก$'8�ก�� <�ก���������6�$+�!6���8$+$,�$7���������������6�
0
200
400
600
800
1000
1200
1400
00 01 02 03 04 05 06 07 08 09 10 11
-2400-2200-2000-1800-1600-1400-1200-1000-800-600-400-2000
CH UST holdings, left, USD bn cumulative trade deficit, right, inverted, USD bn
32
If we start from Jan 2000, the US has a
cumulative trade deficit with China of nearly
USD 2.1 trn
…and China holds about USD 1.159 trn in
USTs
��$$����$��กก���ก$'8�ก�� <�ก�������������� �A���$A�� ���8$+$,�$7����������������(6$ก�$
33
Japan
20.2%
Others
35.2%
UK
7.7%
China
25.7%
Taiwan
3.4%
Germany
1.4%
OPEC
5.1%
Thailand
1.3%
UST holdings
��������<��$�) �����������Q;�,�$7�����������<��ก
34
ก����Aก�� V !���89$���� S&P �����'��$ ���$6��(;��Q;���
35
0.00
0.20
0.40
0.60
0.80
1.00
1.20
1.40
1.60
1.80
Jan-
01
Feb-
01
Mar-
01
Apr-
01
May-
01
Jun-
01
Jul-
01
Aug-
01
Sep-
01
Oct-
01
Nov-
01
Dec-
01
BOJ policy rate, % 3mth JGBs, % 10yr JGB, %
S&P downgrades Japan's AAA to AA+ on Feb 2001
…but yields goes down…..
'<����8+' ����Z���*�$,�$7���������!���89$�A��'������ก�� downgrade?
36
230
240
250
260
270
280
290
Jan-
01
Feb-
01
Mar-
01
Apr-
01
May-
01
Jun-
01
Jul-01 Aug-
01
Sep-
01
Oct-
01
Nov-
01
Dec-
01
Japan M1 money supply, JPY trn
BOJ pumps more JPY into the system, post downgrade
7$� ��ก���!���89$ก��8<$�����ก��'�ก��� <� ;̂)�,�$7���������+$��'
37
Japan M1 money supply, JPY trn
0
100
200
300
400
500
600
57 60 63 66 69 72 75 78 81 84 87 90 93 96 99 02 05 08 11
Japan M1 money supply, JPY trn
...*����� �'���$$ก��6��$;���
38
Debt monetization V �':����$�)����'���6<���'�������� ...*����$:���:��� �����������$ก���#6���(��
39
�8�*^�ก�������<$��ก
y = 0.0808x + 695.84
R2 = 0.9522
1000
1200
1400
1600
1800
2000
2200
4000 6000 8000 10000 12000 14000 16000
USD M1, USD bn
US national debt, USD bn
40
This is evidence of debt monetization (converting it to money). The more
the US government borrows, the more the Fed has to print money
y = f(x), ��;�����������$�)��ก A)$ กB�,���������$ (M1) �,;��+(<�$�)��ก A)$
y = 0.106x + 44.462
R2 = 0.9397
50
100
150
200
250
300
400 600 800 1000 1200 1400 1600 1800 2000 2200
US CPI index
US M1, USD bn
41
y = f(x), ��;�����������$'�����%��ก A)$ (M1) <�� ��กB*,� A)$
42
bZ�,����กก��� <� ;̂)�,�$7��������� ���c'*��������$�cd�����#� A)$ = ����Z���*�$'�� Z#<ก#<�'<�����($% Z#<���/$�ก���8$���������($%
-3
-2
-1
0
1
2
3
4
5
6
7
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
-12
-10
-8
-6
-4
-2
0
2
4
6
8
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
����Z���*�$'�� + ก��������$*��� 6���$ = ก�����������$ Z#<ก#<�'<�����($% (�����) $�ก���8$���������($% (��$)
44
�กh����ก����$�8���
0
200
400
600
800
1,000
Portugal Ireland Italy Greece Spain
France Germany UK US Other
USD bn
45
PIIGS’ debt held by banks in other countries
�Q���$ก����$+$�8�����ก��Q;� ���,�$7��� ��������+$ EU ��ก
46
��'����6��Q���$ก����$+$�8����� ����������,�� A)$��;���j
47
Price to book ratio: SET Bank index, TH
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
96 97 98 99 00
Thai SET Bank index, price to book ratio
48
Price to book ratio: KBW Bank index, US
0.00
0.50
1.00
1.50
2.00
2.50
07 08 09 10 11
KBW Bank index, price to book ratio
49
Price to book ratio: Euro Stoxx Bank Index
0.00
0.50
1.00
1.50
2.00
2.50
98 99 00 01 02 03 04 05 06 07 08 09 10
Euro Stoxx Bank index, price to book ratio
0
1
2
3
4
5
6
7
8
Jul-09 Jan-10 Jul-10 Jan-11 Jul-11
Italy Spain Germany 7% line%
50
The ECB is lending money to Italy and Spain by buying its
bonds…or…it is recapitalizing the EU banks
7$� ��ก����8���(6����6+�<<$�8$ก��ก#<�;� �����$*�������#��ก$ 7 %
-
500
1,000
1,500
2,000
2,500
3,000
02 03 04 05 06 07 08 09 10
Fed's balance sheet, USD bn ECB balance sheet, EUR bn
51
QE 1
QE 2
��'8� ���c'*��7$� ��ก����8������,�� A)$��;���j��กก��� <� ;̂)�,�$7���������*��ก��,�,%��$��ก��
52
Currency mismatch is the main culprit…FCY
asset….LCY liabilities
This is reflects the transfer of burden from the tax
payer in the US / EU to us
�����*ก<�D!�� ���8$'����6����?
53
Z#<���� ��B$ ����%$�$�ก<b���������ก�ก����$��ก��;���6?
54
QE3 ��;��<$*�<� �,���*6�����6�#<��6�$�)$���� QE1 ��A�ก�(%�!���ก���%'!ก$�����%�.������0�ก�"�� ��*��)'ก�!;�.0xก�=��ก��� ����B9��%'��ก.���
ก�� �$%.���9X0(!: 1���+&��ก���0�
� QE2 ��A����9!!���*�������B9��%'��ก�+&��ก���0��$%B��@�C ก0���*1����0� ��*��)'ก�!;�.0xก�=��ก���'�ก����B� ��*��ก�B9��%'��ก.���ก�� �$%.���9X0(!: 1���+&��ก���0�
� ��)*'��ก.���"�%!'���%'!ก$� �ก��*����"���%����0�����'��$��ก �8������%ก�!;�.0x���"�%�%�=���Y
� ������� ก�ก���'����'ก�&��!������&�*"�'�ก +8��2 2013 �)' QE3 ��)' ก�!;�.0xก��8��$� �กก���*��������;�ก�ก$�!)���0���*+$ก"�'�ก 2 �2
� �(�"�%����*��0���*+$ก90�9:''ก����� "�%"��'!$%������ ,
� ������������&ก�X:���!�2 2009 �กก����%#'���0��'���:���� , ������%��0� ก���&�;�ก�"�����!�#'���0� ��0��/<'�������@�����''ก/��0�MN'�������@������ก
55
-
200,000
400,000
600,000
800,000
1,000,000
1,200,000
1,400,000
1,600,000
1,800,000
00 01 02 03 04 05 06 07 08 09 10 11
US excess reserves, USD mn
�8$�������6�$�ก$ ���Q���$ก����$+$������
56
9.2
y = -0.0494x3 + 1.3823x
2 - 12.661x + 38.166
R2 = 0.9348
0.00
0.25
0.50
0.75
1.00
1.25
1.50
1.75
2.00
2.25
2.50
2.75
3.00
4.00 4.50 5.00 5.50 6.00 6.50 7.00 7.50 8.00 8.50 9.00 9.50 10.00
unemployment rate,%
Fed Funds rate, %
The reverse path Fed Funds as a
function of unemployment rate
7% looks to be
the thresehold
before a
credible
reversal of
rising Fed
Funds
0.25
7.00
�c'�����6���� A)$����'�ก���)���ก����ก���6����$����#��ก$ 7 %
57
0.0
1.0
2.0
3.0
4.0
5.0
6.0
7.0
8.0
9.0
10.0
2011 2012 2013
Unemployment - Fed Unemployment - Consensus
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
2011 2012 2013
Real GDP - Fed Real GDP - Consensus
ก�� �'ก���% ����'�ก����ก��ก������ A)$����'�ก���)� ���c'
58
y = -0.0193x + 66.055
R2 = 0.9464
28
30
32
34
36
38
40
42
44
46
48
1000 1100 1200 1300 1400 1500 1600 1700 1800 1900 2000 2100
without Sept 2006 to Dec 2008 period
USD/THB
USD M1, bn
y = f(x), ��;�����������$'�����%��ก A)$ (M1) 6���$���กB* B� 6� A)$
59
y = 1.5239x - 1477.7
R2 = 0.9022
0
200
400
600
800
1000
1200
1400
1600
1800
2000
1000 1100 1200 1300 1400 1500 1600 1700 1800 1900 2000 2100
USD M1 money supply, bn
USD / troy oz
y = f(x), ��;�����������$'�����%��ก A)$ (M1) �� ���� ��กB�#� A)$
60
0
1000
2000
3000
4000
5000
6000
7000
8000
59 61 63 65 67 69 71 73 75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11
0
200
400
600
800
1000
1200
1400
1600
1800
US M1 / US gold holding, USD per troy oz, left actual gold price, right
�� ���� ������#6�����6�+' ��ก���ก������#6ก��Z#ก 6���$(6�� Gold standard
28
30
32
34
36
38
40
42
44
46
48
01 02 03 04 05 06 07 08 09 10 11 12
actual model
KBank USD/THB model
61
KBank USD/THB model
We still hold onto our YE
target of 29.00
62
������'<��B$��$'�����%�86$+��6��;���6 ?
63
y = 0.0375x + 41.396
R2 = 0.9496
80
85
90
95
100
105
110
115
120
1000 1100 1200 1300 1400 1500 1600 1700 1800 1900 2000
TH CPI index
USD M1, bn
without Sept 2006 to Dec 2008 period
y = f(x), ��;�����������$'�����%��ก A)$ (M1) ��'���� �+$���������กB�#� A)$
y = 0.0004x + 76.46
R2 = 0.9437
80
85
90
95
100
105
110
115
120
20000 30000 40000 50000 60000 70000 80000 90000 100000 110000
CH nominal GDP, CNY bn
TH CPI index
64
More exports to China � more money in Thailand � higher inflation
Or less supply in Thailand � higher inflation
��$�cd� ����� Z#กก��ก�� ����� �������ก���$��ก A)$
65
�#$�%����ก�ก��������6�������$,;)$��$����ก���#� A)$�ก$ 3.0%
66
Ranges: % 3Q11 4Q11 1Q12 2Q12 3Q12 4Q12 1Q13 2Q13
>3 45.0 60.0 63.0 29.0 32.0 24.0 16.0 22.0
2.5 3.0 35.0 22.0 20.0 19.0 19.0 17.0 13.0 14.0
2 2.5 18.0 13.0 12.0 22.0 21.0 21.0 17.0 17.0
1.5 2.0 2.0 4.0 4.0 19.0 17.0 20.0 20.0 18.0
1 1.5 - 1.0 1.0 9.0 8.0 12.0 18.0 15.0
0.5 1.0 - - - 3.0 2.0 4.0 11.0 9.0
0 <0.5 - - - - - 1.0 6.0 5.0
����0 ��%���#����*#'� .��.!��'!$%��*215 &�+8��0���2���
1���y��*! 240 &��2���
7��.������ก���6���$,;)$��$����ก$ก�����d�������� 3.0%+$����� 4/54*��1/55
67
�����6�'<+(<�� � WTI ��;� Brent *6���+(< Dubai
60
70
80
90
100
110
120
130
140
Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11
WTI Brent Dubai
68
�� ��<����$)����$����� ���%����#���#6
10
30
50
70
90
110
130
150
170
190
00 01 02 03 04 05 06 07 08 09 10 11
10
15
20
25
30
35
40
45
50
Sing Gasoil, left Thai diesel, right
intervention, subsidies
69
�� �������#� A)$ �6�Z�+�<��$�cd���6� A)$
-40
-20
0
20
40
60
80
02 03 04 05 06 07 08 09 10 11
-6
-4
-2
0
2
4
6
8
10UN FAO food index, left axis
TH CPI index, right axis (pushed back 4mths)
% YoY % YoY
70
7��. ��*$��$<������ A)$���� ;̂)� ;$Z���*�$,�$7��� 3.50% ... *����*$��$<�����#� A)$ ...
0.00.51.01.52.02.53.03.54.04.55.05.5
01 02 03 04 05 06 07 08 09 10 11 12 13
actual model
%
71
����'B$���@�ก��<+$��$$�)� S&P ก���������ก��������� ����!�ก�� �����ก"��#$%���&��'����&����%�()*'+)'#'����� , �ก����& AAA �� .���ก��
���� , ��)'�/� "���(��0.�1��ก1�����%'�ก����� ���!ก����'�����'����'ก�&��!��!&!"����ก���2 2013 78*���!����% ��!������ก�90�9:��0��%'"�
� .���ก��!;���ก�"���'��0.�ก����%���!ก��#�7)�'9��.&���'0���1������ 78*�ก��)'ก���%'!�0��()*'���ก�&�� &����%��� �9)*'�<'�ก��"�%���'���=��'&1��#'�9��.&���#!�&�ก�� 7 % 1��#'��&���(%�!���)'��ก���0��กก'��;�ก���0�����%������@ 1�� �!'���� '�ก������ก������+��%'!;��� +8������A�"�"����*����ก����@$�!:��ก����� ��*"�%�(%�9�!�ก����@$�!:��ก���0�
� ����!��*�;� �� &�������ก����ก����&������������#'�����!ก� 90�9:��0�''ก��9)*'���$��%����#'��� 78*���!����%B����ก��%!BC�������ก +$ก�%�"�!��=$�(��BC����'�(�! 1�%�#�"��'!%�"� �� &�������ก90�9:��0�''ก� � �ก;���0���������ก��'!�$��%�� � .���ก����B$�0B��'�(�!#��;��กก�����*!�9��.&�����*+)'�����A��ก;���0�#'��� (�0����9!:�� FCY 1�������0��� LCY)� .���ก����B$�0B��'�(�!�$ ���!��0��;� � ��!�;� �����!BC�(��'�(�!�����A���'�(%�!�90*��;����1ก%.���ก��#'�9�ก�#
� ���ก���#'�B���@�C ก0�+�+'!"��ก��&�'�ก����� '���=��'&1��9��.&���#'�"�! "����ก����&'���ก�=��'&1������&�%����*���)'#'��2 �(%�.;�ก���7)�'�)���* 3.25% 1�%��)*'�;ก'!%�(�����#8�� ��0����0*�"��=��'&1���$� 1�������=(0 ���ก�&������! ��*���!ก��ก�&�2 2009 '�ก����� ��*��)'B����0�MN��������*9�O�1��� 1��'�����0��/<'������ก0����% ��)*' Fed / ECB 90�9:��0�''ก��ก#8��
72
����'B$���@�ก��<+$��$$�)� '����*��0� QE3 "���ก0�#8���1��� QE1 1�� QE2 �)'��0���*��A�ก�!;�.: Vก�=��ก���W �(%�ก�=��ก�����0��ก.���ก��"��$%.���9X0(!:
QE3 ��A�ก�!;�.: Vก��8��$�W ����1�%�/�"����&���ก���%'���=��'&1����!����� ��"�%��ก�����*!�1���'!%���'!ก���ก����*��2 2013 78*���!����%.���9X0(!:���+ก$�!)���0�/�� ��)'����)*'�"#��'! ����&�� 2 �2#�����
� ��)*'��ก��0��'���:���� ��"�%"��'!$%������ '���0ก 1����"��"�!���0����9!:')*� Y 1�����%������@ ��!����������<��! USD / THB #'�����* 29.00 ����&�0���2 2011 1�� 28.00 ����&�0���2 2012 ก��90*�#8��#'����'�� ���ก;���0� USD ��A���*��&�'��%ก����������%��0�#'����� ,��!�������0��%'"�
� ��)*'��ก�����@"�!1�������@�ก0����%')*� Y ��1��������*���=(0 ก�&B����0��/<'�กก�%��0�MN� 1�������A���)*'��&ก��*��"��ก����0 ��0&�����@�C ก0���*��#8�� ��������8�����;%�����ก��%'�$�ก�&B����0��/<'�9)*'���&��;�ก���0&���@�C ก0� ... ��)*'��ก:
� `. GDP ��*1����0� = GDP ���c��;&��d '�����0��/<'
� +���!&!���������*������ GDP ���c��;&�� �90*�#8��"������#8�� 9��'�ก�&(%�!ก�ก���!�!"�� ��)*'���!&ก�&'�����0��/<' ����������*!��%'���"�%��&��������(%� �������''กก�� �����@ '�!0��: �$�0�7�! 7����!1�� �0�&�! GDP ���c��;&�� ��ก�()*'��!�ก�&����! ��#X���*'�����0��/<'��A��0*��*ก���&��!ก��
� �����% .��. ���90*�'���7)�'�)�9��.&����$��;�+8� 4% ��!�0���2��� �9)*'�<'�ก��ก���ก�X:��0��/<'��*'��0*�#8���%'"�'�ก
73
74
Supply & Demand 101, Supply & Demand 101,
our FX forecasting methodologyour FX forecasting methodology
75
Money is the most basic commodity� What is interest rates? It is the price (appreciation rate) of local money versus time
� What is exchange rates? It is the price of local money versus foreign money
� What is inflation? It is the depreciation rate of money…opposite of interest rates
� What determines the price of commodities…..local / foreign money?
� What determines the supply of local / foreign money
� What determines the demand of local / foreign money?
� How do we estimate the target of the exchange rate?
Supply and Demand: Basics of Economics
Quantity of USD
Price of USD
Demand curve
Supply curve
P1
Q1
�This is the basics of the pricing of any commodity
�It is based on supply and demand
�If you have the given supply and demand, the price of USD will be priced at P1 for a quantity of Q1
76
Supply and Demand: Basics of Economics
Quantity of USD
Price of USD
Demand curve
Supply curve
P1
Q1
�If the supply curve shifts…what happens?
P2
Q2
�The price is changed from P1 to P2 but the quantity increases from Q1 to Q2
�This is the case for the USD
�If the Fed cuts interest rates / trying to keep rates low, it is trying to increase the USD money supply
�…But why would the US Fed want to cut interest rates or keep interest rates low?
77
Supply and Demand: Basics of Economics
Quantity of USD
Price of USD
Demand curve
Supply curve
P1
Q1
�Not only that, demand for USD is weaker and the demand curve is to shift to the left
P2
Q2
�The USD will then be re-priced at P3 and Q3
�Why is the demand for USD dollar falling?
�US import more than it exports…
�…therefore the US will demand more foreign currency to pay for its imports
�…and other countries demand for USD is less since US import more than it exports
P3
Q3
78
79
Trade Balance+
Service Account=
Current account balance
Balance of Payments Company CashflowsCashflow from Operations
+Cashflow from Investing
=Free cashflow
Private capital flows+
Public capital flows=
Capital inflows / outflows
Change in debt +
Dividends / new equity=
Cashflow from Financing
Balance of Payments Net cash flow
Forex reserves Cash equivalents
80
Our methodology for USD/THB forecasting
y = -7.6484Ln(x) + 69.957
R2 = 0.8665
26
28
30
32
34
36
38
40
42
44
46
48
25 75 125 175 225
FX reserves to USD/THB mapping
current
2011 forecast
USD/THB
FX reserv es,
USD bn
y = 27.698Ln(x) - 86.288
R2 = 0.7563
25
30
35
40
45
50
70 80 90 100 110 120 130
DXY to USD/THB mapping current
USD/THB
DXY
since
2001
81
Cumulative current account & USD/THB
-30000
-20000
-10000
0
10000
20000
30000
40000
01 02 03 04 05 06 07 08 09 10
29
31
33
35
37
39
41
43
45
TH current account cumulative, Jan 91 = base, USD mn, left
axis
USD/THB, right axis, inverted
y = -0.0003x + 37.314
R2 = 0.7087
28
30
32
34
36
38
40
42
44
46
48
-40000 -20000 0 20000 40000
latest data point
USD/THB
cumulativ e current account balance, Jan 91 = base, USD mn
82