22 Jan 2015
FX uniformity declines – DB
FXStreet (Barcelona) - Analysts at Deutsche Bank observe that the FX uniformity has declined sharply, with currencies no longer driven only by USD theme.
Key Quotes
“Uniformity in the G10 FX universe has sharply decreased. Exchange rates are no longer driven by the broad strong dollar theme alone. Trendiness continues to increase, while last week’s events are not (yet) reflected by 1-month realized vols across G10, which have slightly declined since the beginning of the year.”
“The relationship of G10 FX with broad macro and market variables has weakened lately. Japanese currency valuation and equity flows account for much of the correlation.”
Key Quotes
“Uniformity in the G10 FX universe has sharply decreased. Exchange rates are no longer driven by the broad strong dollar theme alone. Trendiness continues to increase, while last week’s events are not (yet) reflected by 1-month realized vols across G10, which have slightly declined since the beginning of the year.”
“The relationship of G10 FX with broad macro and market variables has weakened lately. Japanese currency valuation and equity flows account for much of the correlation.”