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This report updates the monthly seasonal patterns of 31 major Nominal Effective Exchange Rates (NEERs) going back to January 2010, using over two million daily data points with trade-weights derived from the BIS (April 2019) and national central banks (see “Nominal Effective Exchange Rates: Monthly seasonal patterns”, 10 January 2019). A number of factors can drive currency seasonality, including underlying
Read moreWe concluded in Far more to Renminbi than USD/CNY cross (8th December 2020) that the risk was tilted towards the People’s Bank of China further weakening the Renminbi Nominal Effective Exchange Rate (NEER) in coming weeks given deflationary pressures. So far we have been proven broadly right, with the NEER down about 0.2% in the past fortnight while the month-on-month
Read moreThe prevailing market view, as depicted in a recent Reuters article, is seemingly that Chinese policy makers are happy to allow further Renminbi appreciation versus the Dollar driven by a rising domestic trade surplus and strong capital account inflows. The Renminbi has indeed appreciated 2.2% versus the Dollar since our last report on 22nd October (PBoC likely to keep Renminbi
Read moreMedia coverage of Emerging Market currencies tends to oscillate between the very bearish and very bullish, with little differentiation between low and high-yielding currencies or between regional blocks let alone between the dozens of currencies still referred to, rightly or wrongly, as “emerging”. Price action in 2019 only partially vindicates this approach. News articles about the November EM currency rally
Read moreThis report updates the monthly seasonal patterns of 32 major Nominal Effective Exchange Rates (NEERs) going back to May 2010, using over 90,000 daily data points with trade-weights derived from the BIS (April 2019) and national central banks (see Nominal Effective Exchange Rates: Monthly seasonal patterns, 10 January 2019). A number of factors can drive currency seasonality, including underlying seasonal
Read moreGlobal FX volatility has fallen further in the past month to its lowest level since September 2014 according to our estimate (see Figure 1). Volatility in most major currencies has either fallen or only increased marginally in the past month and is now very low relative to the past 12 months. Sterling, the Brazilian Real and Turkish Lira have recorded
Read moreSince 5th August the Turkish Lira is down about 17% versus the Dollar and 15% in nominal effective exchange rate (NEER) terms and the concern remains that any further Lira depreciation will again spread to other high-yielding emerging market currencies. Conversely, recent precedent suggests that renewed Lira weakness would result in FX flows to traditional safe-haven currencies – the Japanese
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