德银-新兴市场-外汇市场-新兴市场的外汇驱动是什么？-20171117-Deutsche_Bank-EM_FX：What_is_driving_EM_FX？_11页_581kb

EM FX Summary

Core Content

This report from Deutsche Bank provides an analysis of Emerging Market (EM) Foreign Exchange (FX) dynamics as of 17 November 2017. It examines the factors influencing EM FX, evaluates its valuation, and highlights currencies that may be undervalued based on PCA (Principal Component Analysis) metrics.

Main Points

1. What is driving EM FX?

• PCA Analysis: The first principal component (PC1) is strongly correlated with crude oil prices, explaining 55% of global market dynamics over the past 6 months.
• Second PCA Factor: US 10Y yields explain 20% of the variance, reflecting Fed policy and tax reform expectations.
• Third PCA Factor: EM equities explain 10% of the variance, capturing broader risk sentiment.
• Conclusion: Crude oil, US rates, and EM equities are the main drivers of global market dynamics, and thus of EM FX.

2. Is EM FX fairly valued?

• Valuation Metric: A short-term valuation metric derived from PCA analysis is used to assess EM FX fair value.
• Current Status: EM FX is currently cheap compared to its PCA-implied fair value.
• Reason: Despite falling US yields since late October, EM FX has remained weak.
• Misaligned Currencies:
  • RUB is 4.5% undervalued.
  • BRL is 3.5% undervalued.
• Recommendation: Both RUB and BRL may appreciate in the near term, consistent with previous EM Monthly recommendations.

3. What is driving EM FX as an asset class?

• Augmented Beta Analysis: Used to identify the contribution of different factors to EM FX movements.
• Key Drivers:
  • Broad USD and US yields are the main external drivers.
  • Crude oil and S&P volatility are still important, but their marginal impact on EM FX has decreased.
  • Gold has become a more significant driver in the past three months, reflecting increased risk aversion.
• External Beta Decline: The overall external beta of EM FX has declined sharply and is well below the long-term average, indicating that EM FX is now more influenced by idiosyncratic factors.
• Local Risks: Increased local risks in major EMs such as Mexico (NAFTA), Turkey (geopolitics), and South Africa (fiscal/politics) are contributing to this shift.

Key Information

• PCA Methodology: Applied to 11 key market variables to identify the main drivers of global market dynamics.
• Valuation Model: Linear regression based on PCA factors is used to estimate fair value of EM FX and individual currencies.
• Currencies Identified: RUB and BRL are identified as significantly undervalued.
• Beta Analysis: Highlights the changing importance of external and internal factors in influencing EM FX.

Appendix Highlights

• Important Disclosures: The report includes detailed disclosures regarding conflicts of interest, compensation, and the independence of the research department.
• Legal and Regulatory Information: Information is provided for various jurisdictions, including the US, Germany, UK, Hong Kong, India, Japan, Singapore, Korea, Qatar, Saudi Arabia, UAE, and Australia.
• Risk Warnings: The report includes warnings about the risks associated with FX and derivative transactions, such as market volatility, FX risk, and leverage.

Analysts and Contact Details

• Lead Analysts: Gautam Kalani, PhD (Strategist) and Ankit Jain (Research Associate)
• Contact Information:
  • Gautam Kalani: (+44) 20754-57066
  • Ankit Jain: (+91) 226181-1634
  • Emails: gautam.kalani@db.com, ankit.jain@db.com

Summary of Key Findings

• Global Drivers: Crude oil, US rates, and EM equities are the main factors influencing global market dynamics.
• EM FX Valuation: EM FX is currently undervalued relative to its PCA-based fair value.
• Currency Misalignment: RUB and BRL are notably undervalued and may experience near-term appreciation.
• Asset Class Drivers: Broad USD and US yields are now the main external drivers of EM FX, while idiosyncratic factors have become more influential.
• Risk Factors: The report emphasizes the importance of understanding macroeconomic, political, and regulatory risks in FX and derivative markets.

Conclusion

The report concludes that EM FX is currently undervalued, with RUB and BRL being particularly cheap. The shift in driver importance reflects a broader trend where local risks are playing a more significant role than global factors, suggesting a potential for currency appreciation in the short term.