2026-02-02-德意志银行-FX_Blog_What_is_driving_high-frequency_FX-119703944_16页_1mb

Summary of "What is driving high-frequency FX?"

Core Content

This document provides an analysis of the factors driving high-frequency foreign exchange (FX) movements, focusing on the interplay between FX pairs and other asset classes such as equities, rates, commodities, and volatility indices. It highlights the increasing influence of certain asset classes on FX over the past few months, particularly in the context of geopolitical events and market dynamics.

Main Highlights

• US Equities as a Key Driver: US equities have been the primary driver of high-frequency FX movements, especially for USD/ZAR and USD/CHF, influencing over 80% of days in the past three months.
• US Rates Influence: US rates have shown a strong influence on USD/CHF, affecting more than 50% of days, and also on USD/JPY, USD/CHF, and others with both positive and negative correlations.
• EM Equities and FX Correlations: Emerging market (EM) equities have emerged as a significant driver, particularly for EUR/PLN, where they have influenced about 50% of days. They also show a strong negative correlation with USD/ZAR and USD/MXN.
• Copper and FX: Copper has shown a notable influence on USD/ZAR and USD/MXN, with USD/ZAR being driven by copper on approximately 15% of days.
• Volatility (VIX): VIX has shown influence on multiple FX pairs, especially USD/CHF and USD/MXN, with a strong negative correlation in some cases.
• Asset Class Influence on FX Pairs:
  • AUD/JPY: Driven by AU, EM, US equities, US rates, Oil, and VIX.
  • GBP/USD, NZD/USD, USD/CHF, USD/SGD: Primarily influenced by US equities and US rates.
  • XAU/USD: Mainly driven by US equities.
  • XBT/USD: Strongly influenced by US equities.
• Contemporaneous Correlations:
  • US equities have strong positive correlations with XAU/USD, XBT/USD, and AUD/JPY.
  • US rates have strong positive correlations with USD/JPY and USD/CHF, and negative with GBP/USD, EUR/USD, and XAU/USD.
  • EM equities have strong negative correlations with USD/ZAR and USD/MXN, and positive with EUR/PLN.

Key Information

• Correlation Analysis: The document uses 5-minute frequency log price changes and averages daily correlations over the past five days to determine the 5-day correlation numbers.
• Causality and Connectivity: Figures and tables illustrate the causality and connectivity between FX pairs and other asset classes, with some pairs showing strong connections from multiple drivers.
• Methodology: The analysis is based on a combination of Granger causality tests and correlation-based Minimum Spanning Trees, which help identify the dominant drivers of FX movements.
• Timeframe: The analysis is based on the past three months and 4-week rolling averages.
• Important Disclosures:
  • The report contains the personal views of the lead analysts.
  • Information is sourced from public data and may not be accurate or complete.
  • Deutsche Bank may have conflicts of interest and may act in different capacities, such as principal or agent.
  • The report is for informational purposes only and does not consider individual client needs or objectives.
  • AI tools may be used in the preparation of this report.

Structure of Analysis

• Figure 1: Highlights significant connections from assets to currencies.
• Figure 3: Shows the number of currencies driven by each asset.
• Figure 13: Indicates the percentage of days each currency is driven by different asset classes.
• Figure 11: Examines cross-asset correlations, showing changes in correlation strength over time.
• Figure 12: Analyzes intra-FX correlations using Granger causality tests.

Conclusion

The document underscores the dynamic nature of high-frequency FX movements, driven by a combination of US equities, US rates, EM equities, and other asset classes. While FX volatility remains low, the connections to other asset classes have strengthened, with EM equities showing consistent dominance in driving FX movements. The analysis provides valuable insights into the interdependencies between FX and broader financial markets, aiding in the understanding of short-term market behavior.