20140128-法国巴黎银行-BNP_Paribas_STEER_12页_633kb

BNP Paribas STEER™ Summary

Core Content

BNP Paribas STEER™ is a short-term equilibrium exchange rate model that estimates fair values of currency pairs based on relationships with interest rates, equities, and commodities. It provides insights into overvaluation or undervaluation of currencies and suggests trading opportunities accordingly. The report highlights the current market conditions and key signals for various currency pairs.

Main Currency Signals

G10 Currencies

• EURUSD: Overbought, fair value at 1.3415, overvalued by 2.5 z-scores. Expected to decline.
• GBPUSD: Overbought, fair value at 1.6225, overvalued by 2.46 z-scores. Expected to decline.
• USDCAD: Overbought, fair value at 1.0775, overvalued by 2.88 z-scores. Expected to decline.
• AUDUSD: Undervalued, fair value at 0.9000, undervalued by 1.3 z-scores. Expected to rise.
• NZDUSD: Trading in line with fair value, no significant bias.
• USDJPY: Fair value at 101.45, slightly overvalued by 0.56 z-scores.
• EURSEK and EURNOK: Trading in line with fair value.
• EURGBP and EURCHF: Trading in line with fair value.

Emerging Market (EM) Currencies

• USDTRY, USDZAR, USDRUB, EURHUF, USDPHP, USDTWD, USDMYR: Overvalued, but not recommended for shorting due to co-integration filter.
• USDIDR (1m NDF): Overvalued, fair value at 11824, expected to decline.
• EURPLN: Fair value at 4.1910, trading slightly above with no significant bias.
• EURRON: Overvalued, fair value at 4.4850, expected to decline.
• USDZAR: Overvalued by 3.18 z-scores.
• USDTRY: Overvalued by 3.17 z-scores.
• USDRUB: Overvalued by 3.59 z-scores.
• USDMYR: Overvalued by 1.79 z-scores.
• USDPHP: Overvalued by 3.08 z-scores.
• USDTWD: Overvalued by 3.00 z-scores.
• USDBRL, USDCLP, USDMXN, USDPEN, USDCOP: Trading in line with fair value.

Key Information

• The main driver of currency moves over the past week has been the decline in risk appetite.
• EURUSD, GBPUSD, and USDCAD are overbought, suggesting a bearish outlook.
• AUDUSD is undervalued, indicating a bullish outlook.
• The co-integration filter suggests that some overvalued EM currencies may not revert to fair value in the short term.
• EURGBP, EURCHF, and USDJPY are broadly trading in line with their STEERs.
• The report is non-independent research and is a marketing communication.

Trading Opportunities

• Bullish Opportunities: AUDUSD is undervalued and may rise.
• Bearish Opportunities: EURUSD, GBPUSD, and USDCAD are overbought and may decline.
• Caution: EM currencies like USDTRY, USDZAR, USDRUB, and EURHUF are overvalued, but shorting is not recommended at this time.

Methodology

• STEER™ uses variables such as interest-rate differentials, relative yield-curve steepness, local and global equity performance, and oil price to estimate fair values.
• Deviations from STEER are measured in z-scores, with a misvaluation greater than 1.5 considered a significant predictor of exchange-rate movements.
• The co-integration filter helps determine the likelihood of a currency reverting to its fair value.

Disclaimer

• This document is a marketing communication and not independent investment research.
• It is not intended for retail clients and is prepared for professional clients only.
• The information and opinions are based on public sources and should not be relied upon as accurate or complete.
• BNP Paribas may have financial interests in the currencies discussed and may have acted on the information before its publication.

Contacts

• G10 Strategy Team: James Hellawell, Michael Sneyd
• EM Strategy Team: Bartosz Pawlowski, Piotr Chwiejczak, Dina Ahmad, Stanislav Petrov, Mirza Baig, Rohit K Garg, Jasmine Poh, Yii Hui Wong, Gabriel Gersztein, Thiago Alday, James Z Hao

Summary Table

Forecast Bias

• A forecast bias of ↓ indicates the currency is overvalued and may decline.
• A forecast bias of ↑ indicates the currency is undervalued and may rise.
• A forecast bias of - indicates no significant bias.
• ↓* indicates the signal is from a model that does not pass the co-integration filter, implying lower forecasting power.