20180719-法国巴黎银行-CEEMEA__Still_undervalued,_it_s_CLEERTM_11页_719kb

CEEMEA: Still Undervalued - CLEER™ Summary

Core Content Overview

This document presents the updated BNP Paribas CLEER™ model for CEEMEA (Central and Eastern Europe, the Middle East, and Eastern Europe) currencies, highlighting the fair value estimates and the deviation of current forward rates from these estimates. The analysis is conducted by the FX & IR CEEMEA team at BNP Paribas London Branch, including Shaun Daly (Graduate) and Michael Sneyd (Global Head of FX Strategy & Cross-Asset Strategist).

Key Findings

CLEER™ Model Description

• The CLEER™ model estimates the fair value of exchange rates based on macroeconomic fundamentals.
• It is used to project exchange rates over a 6-24 month horizon and is not the overall view of the CEEMEA Strategy team, but rather signals from the model.
• The model incorporates the latest macroeconomic forecasts and reflects structural consequences of EM re-pricing, such as higher inflation and trade tensions.

Currency Analysis

TRY (Turkish Lira)

• USDTRY: Spot rate at 4.84, current at 3.90, CLEER™ end-2018 at 4.09, end-2019 at 4.70.
• Status: TRY end-2018 forwards are undervalued compared to fair value.
• Reasons: High inflation, weak fiscal policy, and external balances continue to pressure the lira. FX volatility hinders private demand, which is a major component of Turkey's economy.
• Expectation: CLEER™ signals that future macroeconomic deterioration could lead to higher USDTRY fair value.

CZK (Czech Koruna)

• EURCZK: Spot rate at 25.9, current at 24.5, CLEER™ end-2018 at 24.2, end-2019 at 23.6.
• Status: CZK end-2018 forwards are undervalued.
• Reasons: The Czech National Bank (CNB) has been tightening policy, but this has not anchored the currency. A strong productivity differential supports a stronger fair value path for the CZK.

PLN (Polish Zloty)

• EURPLN: Spot rate at 4.30, current at 4.03, CLEER™ end-2018 at 4.06, end-2019 at 4.12.
• Status: PLN end-2018 forwards are undervalued.
• Reasons: Revised down 2018 inflation forecasts have led to a stronger PLN fair value path. The Polish central bank is expected to remain dovish.

HUF (Hungarian Forint)

• EURHUF: Spot rate at 323, current at 305, CLEER™ end-2018 at 304, end-2019 at 303.
• Status: HUF end-2018 forwards are undervalued.
• Reasons: Despite EM re-pricing, HUF remains undervalued. The Hungarian central bank is expected to remain dovish.

RUB (Russian Ruble)

• USDRUB: Spot rate at 62.4, current at 61.5, CLEER™ end-2018 at 61.9, end-2019 at 64.0.
• Status: RUB is neutral.
• Reasons: Russia's macroeconomic fundamentals are consistent with RUB strengthening through 2019. High oil prices and strong GDP growth are expected to support this trend.

ZAR (South African Rand)

• USDZAR: Spot rate at 13.3, current at 14.2, CLEER™ end-2018 at 14.4, end-2019 at 15.2.
• Status: ZAR end-2018 forwards are overvalued.
• Reasons: Upward revisions to South African CPI forecasts have led to a steeper fair value path for USDZAR. Reliance on portfolio flows and the high positioning in South African assets make ZAR vulnerable to external shocks. Expectation is for USDZAR to appreciate towards fair value.

Deviation Analysis

• CLEER™ model compares current spot rates with fair value estimates.
• The shaded region in the charts represents 1 standard deviation of the residual between spot and fair value.
• Forward rates are either expensive or cheap relative to fair value, depending on the currency.

Contacts

Emerging Markets Strategy

Production & Editorial

Legal Notice

• This document is a marketing communication and not investment research.
• It may include "Research" as defined under MiFID II unbundling rules, intended for firms in scope of the rules who have signed up to a BNPP Global Markets Research package.
• BNP Paribas may have conflicts of interest, including acting as an advisor, manager, or market maker in the discussed instruments.
• The information is not guaranteed to be accurate or complete, and is for informational purposes only.
• Indicative prices are based on internal models and may differ from other sources.
• This document may contain performance data based on back-testing, which is for illustrative purposes only.
• No liability is accepted for any loss arising from reliance on the document.

United States Disclosures

• Options: Complex instruments suitable only for sophisticated investors. Risk disclosures are required.
• ETFs: May involve tracking error, currency, and geopolitical risks. BNPP may have conflicts of interest, including acting as an Authorized Participant or market maker.
• Restricted Securities: Some securities discussed may not be registered under U.S. law and are only available to Qualified Institutional Buyers (QIBs) or non-U.S. persons under Regulation S.

Online Resources

• BNP Paribas Global Markets Website: www.globalmarkets.bnpparibas.com
• Bloomberg Codes:
  • Fixed Income Research: BPFR
  • Emerging Markets Research: BPFR
  • G10 Interest Rate Research: BPBS
  • Market Economics: BPEC