20140121-巴黎银行证券-BNP_Paribas_STEER__12页_622kb

BNP Paribas STEER™ Summary

Core Content

BNP Paribas STEER™ is a short-term equilibrium exchange rate model used to assess the fair value of currency pairs based on financial variables such as interest rates, equity markets, and commodity prices. The model highlights currency pairs that are overvalued or undervalued relative to their fair values, measured in z-scores, and provides trading signals accordingly.

Main Views and Key Information

EUR Crosses

• EURUSD: The EURUSD is expected to decline further towards its STEER of 1.3450. The decline is linked to the relative interest rate differentials between the US and the Eurozone, with the Eurozone 2y swap rate falling to 0.48% and the US 2y swap rate rising to 0.52%.
• EURSEK: EURSEK is significantly oversold, with a z-score of -1.55. The model suggests a buy signal for EURSEK.
• EURGBP: EURGBP is currently in line with its STEER of 0.8290, following a recent correction in EURGBP.
• EURNOK: EURNOK is trading in line with its fair value, with a z-score of -0.18.
• EURCHF: EURCHF is slightly overvalued, with a z-score of 1.01.

GBPUSD

• GBPUSD remains overvalued by 1.35 z-scores and is vulnerable to a retracement lower. The main drivers are UK-US relative 10y and 2y government bond yields, which are in favor of the UK.

CAD and Commodity Currencies

• USDCAD: USDCAD is trading significantly above its STEER of 1.0775, with a z-score of 2.28. The CAD has not participated in the rebound of other commodity currencies, suggesting it is overbought.
• NZDCAD: NZDCAD is moderately overvalued with a z-score of 1.0. The short NZDCAD quant trade recommendation remains valid.
• AUDUSD and NZDUSD: Both are trading in line with their fair values, indicating they are not misaligned with short-term fundamentals.

Asia

• USDKRW: USDKRW is trading in line with its STEER of 1067.
• USDMYR: USDMYR is slightly overvalued with a z-score of 0.96.
• USDIDR: USDIDR is slightly overvalued with a z-score of 0.89.
• USDTHB: USDTHB is undervalued with a z-score of -1.08 and is expected to rise.
• USDSGD: USDSGD is slightly overvalued with a z-score of 1.39 and is vulnerable to a decline.
• USDPHP: USDPHP is overvalued by more than three z-scores, but the 'cointegration filter' suggests the signal should not be traded.
• USDTWD: USDTWD is slightly overvalued with a z-score of 1.54 and is expected to decline.

Latin America

• USDBRL: USDBRL is undervalued with a z-score of -1.73 and is expected to rise to its STEER of 2.3800.
• USDCLP: USDCLP is overvalued with a z-score of 1.77 and is vulnerable to a decline.
• USDPEN: USDPEN is overvalued with a z-score of 1.98 and is vulnerable to a decline.
• USDCOP: USDCOP is slightly overvalued with a z-score of 0.82.
• USDMXN: USDMXN is slightly overvalued with a z-score of 0.75, and its STEER has moved higher due to weak Mexican equity performance.

CEEMEA

• USDTRY: USDTRY is overvalued with a z-score of 1.70 and is expected to decline to its STEER of 2.1950.
• USDRUB: USDRUB is overvalued with a z-score of 2.27 and is expected to decline to its STEER of 33.3290.
• EURRON: EURRON is overvalued with a z-score of 1.81 and is expected to decline.
• EURHUF: EURHUF is overvalued with a z-score of 2.55, but the signal is not reliable due to the 'cointegration filter'.
• USDZAR and USDILS: USDZAR and USDILS are slightly overvalued, with z-scores of 0.79 and 0.62, respectively.

Summary Table

Additional Notes

• A deviation of more than 1.5 z-scores is considered a significant predictor of exchange-rate movements.
• The 'cointegration filter' is used to determine the reliability of signals. If a currency pair does not cointegrate with its STEER, the signal is less reliable.
• The report is a marketing communication and not independent investment research.
• The information is based on public sources and may not be accurate, complete, or up to date.
• The report is intended for professional clients and not for retail clients.