Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

4 . Mercado de Divisas
Juan Mascareas
Universidad Complutense de Madrid
Primera versin: enero 1991 - ltima versin: agosto 2012

Introduccin al tipo de cambio, 1

El tipo de cambio, 6

Operaciones al contado y a plazo, 8

El riesgo de cambio, 10

De qu depende el tipo de cambio?, 12

La teora de la paridad del poder adquisitivo, 14

La teora de la paridad de los tipos de inters, 17

Las hiptesis de Fisher, 22

La teora de las expectativas, 25

- Bibliografa, 26
- Enlaces de inters, 27
- Anexos, 28

Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

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Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

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ISSN: 1988-1878
22. Mercado de Divisas

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Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

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Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

0-2$0!2-#!-18%,-!(%!&'$J+5$3!0$!,3$#&+2+*#!(%!'#!,+)-!(%!2$41+-!$!-,3-UD!]$!+(%$!)%3&%F'+($!%&!
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,+)-!(%!2$41+-!3%60%8%!%0!(+6%3%#2+$0!(%!+#60$2+*#!@!-,3$&!J$3+$10%&!1G&+2$&!$!0$3F-!)0$5-D!
!
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Veraneo escandaloso en la City
elEconomista.es Eva M. Milln 11/08/2012
Standard Chartered y HSBC estn acusados de aplicar prcticas ilegales de blanqueo
de dinero, mientras que Barclays habra manipulado el Libor, el ndice interbancario.
Algo huele a podrido en la industria financiera britnica. El gran centro neurlgico mundial, con permiso de Nueva York y Hong Kong, la City, trata de detener
sin libro de instrucciones una sangra de escndalos de la que no se salvan ni entidades que, hasta ahora, hacan de los "valores" el factor que defina su cultura. El ltimo en sumarse al club de los bandidos es el hasta ahora inmaculado Standard
Chartered, un banco que hasta esta semana no era siquiera masivamente conocido
por el britnico medio.
Pese a contar con su base en Londres, el foco de negocios se dirige a Asia en
la que, en el siglo XIX, se haba plantado la semilla de un banco capaz de aglutinar
6.800 millones de dlares en beneficios anuales, mientras parte de sus rivales sufren
todava el color rojo en sus cuentas. Todo cambi, sin embargo, cuando un regulador
norteamericano, relativamente nuevo, el Departamento de Servicios Financieros (DFS)
del Estado de Nueva York, mand a la compaa que hablaba de principios como su
"primera y ltima lnea de defensa" al mismo rincn de la vergenza al que en poco
ms de un mes han ido a parar gigantes como HSBC o Barclays y al que parece encaminarse inexorablemente RBS, un enfermo prcticamente tutelado por el Gobierno.
La acusacin de "maquinaciones" con Irn para esquivar la normativa de sanciones norteamericana ha noqueado al hasta ahora indemne Standard Chartered y
amenaza con nuevas bajas, puesto que existiran pruebas de prcticas similares con
otros regmenes como Libia, Birmania o Sudn

Standard Chartered asegura que el informe del DFS no recoge un "retrato

fiel", pero, por lo pronto, deber comparecer ante el regulador neoyorquino a final
de agosto para defenderse y, sobre todo, para evitar que se le retire la licencia para operar en Wall Street que obtuvo en 1976. La gravedad de las acusaciones justifica la demanda de una explicacin. Incluso, para demostrar el argumento de la
direccin del banco, que asegura que el 99,9 por ciento de las transacciones cumplan con la normativa norteamericana. Sin embargo, el superintendente del DFS,
Benjamn Lawsky, est convencido de que la entidad escondi 60.000 intercambios
monetarios para instituciones de Tehern que estaban sujetas a las sanciones econmicas de EEUU. El tono, por tanto, es incluso superior al del caso contra HSBC, puesto que la acusacin mantiene que, como consecuencia de acciones "intencionadas", el
sistema financiero norteamericano habra quedado "vulnerable a terroristas, trafiU

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%#!(%6%#&$!(%!&'!4-#%($!@!(%!0$&!+4)0+2$2+-#%&!A'%!)'%(%!,%#%3!(%!2$3$!$!)3-J-2$3!'#$!23+&+&!6+#$#2+%3$!)'%(%!J%3&%!%#!
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Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

cantes de armas, seores de la guerra y regmenes corruptos". El mtodo se habra

desarrollado a partir de un sistema para ocultar la identidad del cliente iran, manipulando el cdigo SWIFT, necesario para los movimientos de dinero internacionales, y
de esta manera evitar la legislacin. La batalla est servida y las investigaciones
continan, pero lo que ha quedado claro en este verano de crisis es que los adjetivos
para proclamar "la semana ms dramtica de la banca britnica" encuentran el
superlativo con cada movimiento del regulador.

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Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

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Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

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Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

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9

Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

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10

Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

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11

Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

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!

12

Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

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12

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(%&2+%#(%!A'%!%00$!&%!$)3%2+$D

13

Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

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14

Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

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15

Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

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16

Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

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17

Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

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Recibir intereses y principal en $
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Pagar los intereses (5%) y principal en !
Beneficio neto

+820.000 !
-820.000 !

+877.400 !
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+1.000.000 $
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18

Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

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19

Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

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20

Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

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,+)-!bZ<!@!%0!(%!2-#,$(-!$0!A'%!&%!4'0,+)0+2$3G!0$!2$#,+($(!,%*3+2$!(%0!)3C&,$4-!-!(%)*&+,-D!
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%0!A'%!&%!6+8$!%#!0$!$2,'$0+($(!%0!,+)-!(%!+#,%3C&!(%!'#!)3C&,$4-!$!3%$0+5$3!(%#,3-!(%!&%+&!4%N
&%&D!<&E/!)-3!%8%4)0-/!&')-#F$4-&!A'%!%0!,+)-!(%!+#,%3C&!$!)0$5-!)$3$!%0!)3*H+4-!&%4%&,3%!
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)$2,$(-D!
21

Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

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(%4$#($!)-3!0-&!+#J%3&-3%&!79?!@!0$!,$&$!%&)%3$($!(%!+#60$2+*#!7_?/!$!,3$JC&!(%!0$!(%#-4+#$($!
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(%!'#!)$E&!(%,%34+#$(-!3%60%8$#!$#,+2+)$($4%#,%!0-&!3%#(+4+%#,-&!3%$0%&!$8'&,$(-&!)-3!0$&!
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%0!(%0!(*0$3!%&!(%0!fg!76O?a!0$!,$&$!(%!+#60$2+*#!%&)%3$($!)$3$!0$!O'3-5-#$!@!)$3$!0-&!O&,$(-&!

17

b_:cOZ/!_3J+#F!7.YeX?R!>/*)>/*(.8)(9)<1&*.*$&D!>$24+00$#D!I'%J$!K-3LD

22

Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

"#+(-&! &%3G#/! 3%&)%2,+J$4%#,%/! _N! @! _OD! V-#! %&,-&! ($,-&! )-(%4-&! 2$02'0$3! 0$! 3%#,$1+0+($(!
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1 + i! = (1 + r!) x (1 + g!) y 1 + i$ = (1 + r$) x (1 + g$)
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2+3/!A'%!3w!q!3t!q!3/!-1,%#(3%4-&R!
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)-3! 7.! r! 3?! -1,%#(3%4-&! 7.! r! +t?! )-(3%4-&! -1,%#%3! 0$! %H)3%&+*#! A'%! 4'%&,3$! %0! %6%2,-! b+N
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($(-!A'%/!&%FM#!%0!%6%2,-!b+&B%3/!3w!q!3t!q!3a!+F'$0$#(-!$41$&!%H)3%&+-#%&!)-(3%4-&!2-#20'+3!
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(-&!A'%!B$2%#!)-&+10%!%&$!+F'$0($(D!<&E/!&+!%0!(+6%3%#2+$0!(%!+#60$2+*#!(%!0-&!O&,$(-&!"#+(-&!
2-#!3%&)%2,-!$!0$!O'3-5-#$!%&!(%0!Wg/!%0!(+6%3%#2+$0!(%!0-&!J%#(+4+%#,-&!#-4+#$0%&!,$41+C#!
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+#2-3)-3$3&%! )$3$! ($3! 0'F$3! $0! *9*+&() ="$/*.) "1&*.1%+"(1%2! -! B+)*,%&+&! $1+%3,$/! A'%! +4)0+2$!
A'%!0$!3%#,$1+0+($(!(%0!+#J%3&-3!+#,%3#$2+-#$0!%&,$3G!6-34$($!)-3!(-&!2-4)-#%#,%&R!%0!,+)-!
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,3%!0-&!(+6%3%#,%&!)$E&%&D!P$41+C#!$!0$3F-!)0$5-/!(%1%3G!-2'33+3!A'%!$A'%0!)$E&!A'%!-63%52$!
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+#J%3&-3! '#! 1%#%6+2+-! A'%! 0%! 2-4)%#&%! (%0! 4%#-3! ,+)-! (%! +#,%3C&D! ;-3! %0! 2-#,3$3+-/! $A'%0!
23

Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

)$E&!2-#!'#!4$@-3!,+)-!(%!+#,%3C&!#-4+#$0!J%3G!(+&4+#'+3!%0!J$0-3!(%!&'!4-#%($/!2-#!0-!A'%!
&%!+F'$0$3G!0$!3%#,$1+0+($(!,-,$0!(%0!+#J%3&-3!%#,3%!%&,-&!(-&!)$E&%&D!<&E/!&+!%0!(+6%3%#2+$0!(%!
,+)-&!(%!+#,%3C&!7+t!N!+w?!%#,3%!O&,$(-&!"#+(-&!@!0$!O'3-5-#$!%&!(%0!Wg/!%0!(*0$3!(%1%3E$!(%)3%N
2+$3&%!%#!'#!WgD!
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!
(i! - i$) / (1 + i$) = (g! - g$) / (1 + g$)
t!/$ = (g! - g$) / (1 + g$)

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24

Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

A'%!0-&!+#J%3&-3%&!$(A'+3+3G#!(+2B$!(+J+&$!2-#!-18%,-!(%!&$2$3!'#!1%#%6+2+-!(%!&'!4$@-3!3%#N
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25

Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

V-4-!&%!-1&%3J$/!$0!&%3!,-($&!+F'$0($(%&/!,+%#%!A'%!2'4)0+3&%!A'%!0$!J$3+$2+*#!%&)%3$($!(%!
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26

Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

PKn_OZ/!V0$'(%!7.Yss?R!V%$"+)W%1!-((4)(9)=(.*"61)JG+/%16*D!O'3-4-#%@D!]-#(3%&D!
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!
!
!

27

Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

Anexo I
Nomenclatura de las principales divisas
ARS pesos argentinos
AUD dlares australianos
BOB bolvares bolivianos
BRL reales brasileos
CAD dlares canadienses
CHF francos suizos
CLP pesos chilenos
CNY yuanes chinos
COP pesos colombianos
CZK coronas checas
DKK coronas danesas
EUR euros
GBP libras esterlinas
GTQ quetzales guatemaltecos
HKD dlares de Hong Kong
HUF florines hngaros
ILS shquels israeles
INR rupias indias
JPY yenes japoneses
MXN pesos mexicanos (nuevos pesos)
NOK coronas noruegas
NZD dlares neozelandeses
PEN soles peruanos
PLN zlotys polacos
PYG guaranes paraguayos
RUB rublos rusos
SEK coronas suecas
SGD dlares de Singapur
TRY liras turcas
USD dlares de los Estados Unidos
UYP pesos uruguayos
VEB bolvares venezolanos
ZAR rands sudafricanos

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Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
22. Mercado de Divisas

Anexo II
Amas de casa desesperadas (en el mercado de divisas)
El Mundo. Pablo Pardo. 12-Abril-2012

Watanabe es, segn Wikipedia (dnde si no), el quinto apellido ms comn en Japn. Tambin es el nombre coloquial de las amas de casa niponas que invierten en
mercados financieros fuera del pas. Puede parecer extico eso de que un ama de
casa invierta en divisa extranjera. Y lo es. Pero no en Japn. El mercado de divisas de particulares en Japn es mayor que el de todos los dems pases del mundo juntos.
La seora Watanabe se endeuda en Japn a tipos cercanos al 0%, y compra deuda brasilea que da ms del
10%. Otras veces compra derivados (activos cuyo precio depende de otros activos) en Brasil que utilizan como subyacente (es decir, los activos de los que dependen su precio e
inters) deuda de alto riesgo de Estados Unidos. Eso es lo
que se llama 'carry trade': endeudarse en una divisa barata y encima con intereses bajos (el yen) y comprar con
intereses altos (el real). No es algo nuevo. En los noventa,
mi amigo Manolo P. se compr su piso en Barcelona contratando una hipoteca en yenes.
Si encima el real se aprecia, como pasa a menudo, la ganancia es an mayor para
Watanabe. Aunque si sucede lo contrario, como pas hace tres aos, el ama de
casa se estrella. No es de extraar que ahora el ministro de Finanzas brasileo,
Guido Mantega, y la presidenta de ese pas, Dilma Rousseff estn neuras perdidos con Watanabe, que les sube y les sube el precio del real. Porque esta actividad es adems una profeca que se autocumple: al invertir fuera de Japn,
Watanabe y sus amigas devalan el yen, y al comprar reales aprecian esa divisa.
Watanabe no slo invierte en Brasil, obviamente. Tambin lo hace en EEUU, en la
eurozona y, ltimamente, en algunos otros mercados emergentes, como Turqua.
En esas operaciones, tiene alrededor de un cuarto de billn de euros en divisas.
Ahora, Dilma Rousseff ha venido a Estados Unidos a quejarse entre otras cosas de la poltica monetaria de EEUU y de la UE que es, en su opinin, demasiado laxa e inunda al mundo de dlares y euros y empuja al alza al real. Es cierto, pero no lo es menos que el 'carry trade' es sobre todo un invento japons. Y
no lo es menos que Brasil, con sus tipos de alto exageradamente altos, con su
peculiarsimo banco de desarrollo (el BNDES), que es casi 'un Estado dentro
del Estado' para financiar a grandes empresas a tipos preferentes, o su sistema financiero que todava sigue sin desarrollarse plenamente, tiene que resolver sus propios problemas antes de echarle la culpa de sus problemas a las
amas de casa de Japn, a Ben Bernanke o a Mario Draghi.
29