20140114-巴黎银行证券-BNP_Paribas_STEER__12页_1mb

报告摘要

BNP Paribas STEER™ Summary

Core Content

BNP Paribas STEER™ is a short-term equilibrium exchange rate model used to estimate fair values based on a combination of interest rates, equity markets, and commodity prices. The model identifies whether currency pairs are overvalued or undervalued and provides forecast bias signals for potential exchange rate movements. Deviations from STEER are measured in z-scores, with values greater than 1.5 considered significant predictors of exchange rate changes.

Main Currency Pair Insights

G10 Currencies

USD/EUR: The USD is still considered cheap against the EUR, and EUR/USD remains overbought with a fair value of 1.3520. It is overvalued by 1.25 z-scores and vulnerable to a decline.
USD/GBP: GBP/USD remains overbought, with a fair value of 1.6090. It is overvalued by 1.75 z-scores and is vulnerable to further declines. EUR/GBP has moved closer to its STEER, with a deviation of -0.51 z-scores.
USD/AUD: AUD/USD has returned to its STEER of 0.8940, with a deviation of 0.51 z-scores. Australian 2y rates are the main driver.
USD/NZD: NZD/USD has moved back in line with its STEER of 0.8290, with a deviation of 0.69 z-scores.
USD/JPY: USD/JPY is trading close to its STEER of 102.80, with a deviation of 0.27 z-scores.
USD/CAD: USDCAD is vulnerable to a move lower, currently trading 1.47 z-scores above its fair value of 1.0800. The model indicates a possible decline to 1.0800.
EUR/SEK: EUR/SEK remains undervalued and is expected to move higher. It is currently trading 1.15 z-scores below its fair value of 8.9890.

CEEMEA Currencies

EUR/PLN: EURPLN is now within 0.25 z-scores of its STEER of 4.1530.
EUR/CZK: EURCZK is trading 0.45 z-scores above its fair value of 27.1600.
EUR/HUF: EURHUF is significantly overvalued, trading 2.60 z-scores above its fair value of 294.20. STEER suggests a decline to 294.20.
EUR/RON: EURRON is overvalued by 1.76 z-scores, with a forecast bias signal for a decline.
USD/ZAR: USDZAR is overvalued by 1.76 z-scores and vulnerable to a decline.
USD/TRY: USDTRY is overvalued by 1.73 z-scores and has a forecast bias for a decline.
USD/ILS: USDILS is trading 0.37 z-scores above its fair value of 3.4830.
USD/RUB: USDRUB is overvalued by 1.48 z-scores and is vulnerable to a decline.

Asian Currencies

USD/KRW: USDKRW is undervalued, with a deviation of -1.15 z-scores.
USD/MYR: USDMYR is overvalued by 0.71 z-scores, with a forecast bias for a decline.
USD/IDR: USDIDR is overvalued by 0.91 z-scores.
USD/INR: USDINR is undervalued by -0.60 z-scores.
USD/THB: USDTHB is undervalued by -0.19 z-scores.
USD/SGD: USDSGD is overvalued by 1.31 z-scores, with a forecast bias for a decline.
USD/PHP: USDPHP is overvalued by 2.45 z-scores, with a forecast bias for a decline.
USD/TWD: USDTWD is overvalued by 1.61 z-scores, with a forecast bias for a decline.

Latin America Currencies

USD/BRL: USDBRL is undervalued by -1.62 z-scores, with a forecast bias for a rise to around 2.3920.
USD/CLP: USDCLP is undervalued by -1.31 z-scores, but is trading within the +/-1.5 z-score corridor.
USD/MXN: USDMXN is overvalued by 0.64 z-scores.
USD/PEN: USDPEN is overvalued by 0.71 z-scores.
USD/COP: USDCOP is undervalued by -2.21 z-scores, with a forecast bias for a rise to 1956.

Key Insights and Forecast Bias

GBPUSD: Overvalued by 1.75 z-scores, vulnerable to further decline.
EURUSD: Overvalued by 1.25 z-scores, vulnerable to a decline.
AUDUSD: Back in line with its STEER, with fair value at 0.8940.
NZDUSD: Back in line with its STEER, with fair value at 0.8290.
USDCAD: Vulnerable to a decline to 1.0800.
EURSEK: Undervalued, with a forecast bias for an upside move.
EURHUF: Overvalued, vulnerable to a decline to 294.20.
EURPLN: No longer overvalued, back in line with its STEER.
USDZAR: Overvalued, vulnerable to a decline.
USDTRY: Overvalued, vulnerable to a decline.
USDPHP: Overvalued, vulnerable to a decline.
USDSGD: Overvalued, vulnerable to a decline.
USDTWD: Overvalued, vulnerable to a decline.
USDCOP: Undervalued, with a forecast bias for a rise.
USDCLP: Undervalued, but within the +/-1.5 z-score corridor.

Important Notes

Forecast Bias: A deviation greater than 1.5 z-scores is considered a significant predictor of exchange rate movements.
Co-integration Filter: Some signals (e.g., USDMYR and USDTWD) are not reliable due to the model not passing the co-integration filter.
Model Drivers: STEER uses variables such as interest rate differentials, relative yield curve steepness, equity market performance, and commodity prices to estimate fair values.

Contacts

FX Strategy Contacts

Steven Saywell – Global Head of FX Strategy, London
James Hellawell – Quantitative Strategist, London
Kiran Kowshik – FX Strategist, London
Phyllis Papadavid – Senior Global FX Strategist, London
Michael Sneyd – FX Strategist & Lead Quant Strategist, London
Daniel Katzive – Head of FX Strategy North America, New York
Vasilis Koutsaftis – FX Options Strategist, New York
Vassili Serebriakov – FX Strategist, New York

Emerging Markets FX & IR Strategy Contacts

Bartosz Pawlowski – Global Head of EM Strategy, London
Piotr Chwiejczak – FX & IR CEEMEA Strategist, London
Dina Ahmad – FX & IR CEEMEA Strategist, London
Stanislav Petrov – FX & IR CEEMEA Strategist, London
Mirza Baig – Head of FX & IR Asia Strategy, Singapore
Rohit K Garg – FX & IR Asia Strategy, Singapore
Jasmine Poh – FX & IR Asia Strategy, Singapore
Yii Hui Wong – FX & IR Asia Strategy, Singapore
Gabriel Gersztein – Head of FX & IR Latam Strategy, Sao Paulo
Thiago Alday – FX & IR Latam Strategist, Sao Paulo
James Z Hao – FX & IR Latam Strategist, New York

Disclaimer

This document is classified as non-independent research and is a marketing communication. It is not independent investment research and may be subject to conflicts of interest. The information and opinions in this report are based on public sources and are not guaranteed to be accurate or up to date. No liability is accepted for any loss arising from the use of this report.

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