20140304-巴黎银行证券-BNP_Paribas_STEER_12页_615kb

BNP Paribas STEER™ Summary

Core Content

BNP Paribas STEER™ is a tool used to estimate short-term fair values of exchange rates based on relationships between interest rates, equity markets, and commodity markets. It provides insights into potential exchange rate movements and helps identify overbought or oversold currency pairs. The report highlights the current state of various currency pairs and their deviations from STEER™, indicating possible trading signals.

Main Viewpoints

• Most G10 currencies are trading in line with their STEER™, suggesting a lack of strong directional bias.
• EURCHF has broken below its corridor and is trading at an oversold level, triggering a long signal.
• USDCAD is overbought and vulnerable to a decline, with the CAD significantly undervalued.
• CAD has extreme short positioning, indicating potential for further weakness.
• EURUSD is slightly overvalued but within its z-score corridor.
• EURSEK, EURNOK, and EURGBP are trading within their STEER™ corridors, with no significant signals.
• USDJPY is trading in line with its STEER™.

Key Information

G10 Currency Analysis

• EURCHF: Oversold, long signal. Previously cautious due to proximity to the 1.20 floor, but now shows a clear signal.
• USDCAD: Overbought by more than 3.5 standard deviations, vulnerable to a decline.
• CAD: Significantly undervalued, with extreme short positioning.
• GBP, AUD, NZD: Trading close to their STEER™.
• EURSEK, EURNOK, EURGBP: Trading within their z-score corridors, no significant signals.
• USDJPY: Trading in line with its STEER™.
• EURUSD: Slightly overvalued, with potential to rise to 1.3800 before being overvalued.

EM STEER™ Analysis

• Geo-political tensions have driven several currencies away from their STEER™.
• EURPLN: Converged back to its STEER™, previously overbought.
• EURRON: Overbought, with a forecast bias indicating a potential decline.
• USDKRW: Overbought, with a forecast bias suggesting a decline.
• USDCLP: Overbought, with a forecast bias indicating a decline.
• USDRUB: Undervalued, with a significant increase in fair value due to Russian equity sell-off.
• USDZAR, USDTRY, USDILS: Trading in line with their STEER™.
• USDMYR, USDIDR, USDINR, USDTHB, USDPHP, USDTWD: Some show minor overvaluation or undervaluation, but not significant enough to trigger a forecast bias.

Trading Signals

• EURCHF: Long signal due to oversold conditions.
• USDCAD: Short signal, vulnerable to a decline.
• USDKRW: Decline signal.
• USDCLP: Decline signal.
• EURRON: Decline signal.
• USDRUB: Rise signal, fair value has increased significantly.

Methodology

• STEER™ uses interest-rate differentials, relative yield-curve steepness, local-market equity performance, global equity performance, and oil price as main drivers.
• A simple trading rule of buying "cheap" and selling "expensive" currencies has historically been a successful strategy.
• Deviations from STEER™ are typically short-lived and useful for short-term forecasting.

Key Figures

EM STEER™ Currency Analysis

Important Notes

• Non-independent research: The document is classified as marketing communication and not independent investment research.
• Disclaimer: The report is not an exhaustive analysis and may be subject to conflicts of interest.
• Forecast Bias: A deviation greater than 1.5 z-scores is considered a significant predictor of exchange rate movements.
• Co-integration filter: Some models do not pass this filter, indicating lower forecasting power.

Conclusion

The report suggests that the majority of G10 currencies are trading in line with their STEER™, indicating a balanced market. However, EURCHF and USDCAD show significant deviations, with EURCHF being oversold and USDCAD overbought. The EM STEER™ analysis indicates potential for decline in USDKRW, USDCLP, and EURRON, while USDRUB is undervalued. These signals can be used as inputs for short-term trading strategies.