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

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 F
กก 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. ก ก F F ก ก (consensus)
3

4. ... ก F 1 ก: ก
4

5. ...
5

6. ...
6

7. ก F ก ก F ? F F ก (consensus) ?
7

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. ก กF ก F ก: global debt / GDP
85
80
75
70
65
60
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
world debt / GDP IMF projections
9

10. : ก 60% Fก ก ก F กF
GDP mapping of Japan's GDP growth as a function of debt / GDP ratio
16.0%
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. ... F ก ก ก
GDP mapping of US GDP growth as a function of debt / GDP ratio
14.0%
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. กก ก ก F... F กก F ?
12

13. F F F F
%
8 Italy Spain Germany 7% line
7
6
5
4
3
2
1
0
Jul-09 Nov-09 Mar-10 Jul-10 Nov-10 Mar-11 Jul-11 Nov-11
13

14. F ก ก F
14

15. F F F ก กF ก
F ก ก ก F F ก ก ก
ก 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 ก
กF ก
15

16. F Fก ก ก
16

17. ก ก 2008 F F ก ก F กF
400 90
350 88
86
300
84
250 82
200 80
150 78
76
100
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. F ก F F F
F กก ก F
200
180
160
140
120
100
80
60
40
20
0
02 03 04 05 06 07 08 09 10 11
Euro LIBOR OIS (Overnight Index Swap), bps
18

19. F ( ... ?) F ... F Fก F ?
19

20. EUR/USD F F F USD/THB ก / F / ก
USD/THB This equations suggest for
48 every 10 cents move in
46 EUR/USD is about a 1.84
move in USD/THB
44 y = -18.477x + 59.964
42 2
R 0.6718 =
40
38
36
34
32
1.337
30
28
0.80 0.90 1.00 1.10 1.20 1.30 1.40 1.50 1.60 1.70
EUR/USD
20

21. USD/THB ก F ก F Lehman Brothers F
37
36
35
34
33
32
31
Jan-08 Mar-08 May-08 Jul-08 Sep-08 Nov-08 Jan-09 Mar-09
USD/THB
21

22. ... ก ก ก
135 31.0
31.5
130
32.0
125 32.5
120 33.0
33.5
115 34.0
110 34.5
35.0
105
35.5
100 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. F F F ก ก
The current debt limit is USD15.194trn
16 versus actual of USD15.009trn. Each
15 day, debt is rising by an average USD
4.19bn…hence within 44 days, we will
14 be talking about US debt ceiling again
13
12
11
10
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. F ก F Q.E. ก
3,000
ก ก ก F
2,500
2,000
1,500
1,000
500
-
02 03 04 05 06 07 08 09 10
Fed's balance sheet, USD bn ECB balance sheet, EUR bn
24

25. ก F F F ก ก (sterilization)
... กก F ก F (debt monetization?)
Asia FX reserves, USD bn
…when Western
7000 central bank print
money to monetize
6000 their debts
5000 …money will flow to
area with better
4000 growth prospects,
generally Asia
3000 y = 1.407x - 3689.3
2 …this equation says
2000 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. F USD/THB F ก F ก F F ก ก
USD/THB
50
45
y = -0.0041x + 57.243
2
40 R = 0.8893
35
30
25
3000 3500 4000 4500 5000 5500 6000 6500 7000 7500
sum of USD, EUR M1, bn
26

27. KBank USD/THB model
KBank USD/THB model
48
46
44
42
40
38
36
34
32
30
28
01 02 03 04 05 06 07 08 09 10 11 12
actual model
27

28. . F F USD/THB ( F ?)
31.5
F ก F ก
31.3
31.1
30.9
30.7
30.5
30.3
30.1
29.9
29.7
29.5
Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11
USD/THB
28

29. ก กก ... ก F F ?
F
15% 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. F?
14000
13000
12000
11000
10000
9000
8000
7000
6000
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Bhumibol Dam level, million cubic meters
30

31. ก ก ก ก :ก ก
200
180
160
140
120
100
80
00 01 02 03 04 05 06 07 08 09 10 11
production index
31

32. ก ก ก ก : ก Fก ก
80
75
70
65
60
55
50
45
40
00 01 02 03 04 05 06 07 08 09 10 11
capacity utilization
32

33. ก F 5.7% 4 ก F ก กF
8
6
4
2
0
-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. ก ก
Source: NESDB, BOT, MOC, KResearch (As of November 21, 2011)
Internal-used only
34

35. . ก ก 0.25%
%
5.5
5.0
4.5
4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
01 02 03 04 05 06 07 08 09 10 11 12 13
actual model
35

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. 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. ก:
ก:
ก F F F F
... ก ก F
38

39. ก F F F F
... ก ก F
39

40. ก F ก F
40

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. 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. 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. 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