20131015-巴黎银行证券-BNP_Paribas_STEER_12页_618kb

报告摘要

BNP Paribas STEER™ Summary (15 October 2013)

Core Content Overview

The BNP Paribas STEER™ report provides a short-term equilibrium exchange rate analysis for various currency pairs, based on the relationships between exchange rates, interest rates, equity markets, and commodity prices. It identifies misalignments and potential movements in exchange rates over the coming weeks.

Main Currency Pair Insights

G10 Currencies

AUDUSD:
- Spot: 0.9533
- Fair Value: 0.9340
- Deviation: +1.14 z-score
- Forecast Bias: ↓
- Key Insight: AUDUSD is overvalued and has scope to move lower. The decline in relative equity performance in Australia and New Zealand is a major driver.
NZDUSD:
- Spot: 0.8387
- Fair Value: 0.8250
- Deviation: +1.23 z-score
- Forecast Bias: ↓
- Key Insight: NZDUSD is overvalued and vulnerable to a decline. The relative equity component of STEER has weakened.
USDJPY:
- Spot: 98.4200
- Fair Value: 104.3000
- Deviation: -2.17 z-score
- Forecast Bias: ↑
- Key Insight: USDJPY is undervalued and likely to rise, supported by strong global equity markets.
EURCHF:
- Spot: 1.2346
- Fair Value: 1.2435
- Deviation: -1.10 z-score
- Forecast Bias: ↑
- Key Insight: EURCHF is undervalued and has potential for upward movement.
EURNOK:
- Spot: 8.1112
- Fair Value: 7.9340
- Deviation: +1.36 z-score
- Forecast Bias: ↓
- Key Insight: EURNOK remains overvalued and is expected to move lower, though it has edged closer to fair value.
GBPUSD:
- Spot: 1.5984
- Fair Value: 1.5960
- Deviation: +0.14 z-score
- Forecast Bias: -
- Key Insight: GBPUSD has moved back in line with its STEER, indicating no strong downward signal.
EURGBP:
- Spot: 0.8487
- Fair Value: 0.8450
- Deviation: +0.26 z-score
- Forecast Bias: -
- Key Insight: EURGBP is slightly overvalued, but not significantly.
EURSEK:
- Spot: 8.7724
- Fair Value: 8.7945
- Deviation: -0.28 z-score
- Forecast Bias: -
- Key Insight: EURSEK is trading in line with its STEER.

Emerging Markets (EM) Insights

Asia

USDKRW:
- Spot: 1067
- Fair Value: 1076
- Deviation: -1.01 z-score
- Forecast Bias: -
- Key Insight: USDKRW is within its +/-1.5 z-score corridor, though its fair value has declined due to improved Korean equity and CDS performance.
USDMYR:
- Spot: 3.1640
- Fair Value: 3.2050
- Deviation: -1.59 z-score
- Forecast Bias: ↑
- Key Insight: USDMYR is undervalued and has potential to rise. The decline in CDS has driven the fair value down, though equity performance has been stronger than expected.
USDTWD:
- Spot: 29.3630
- Fair Value: 29.6440
- Deviation: -1.92 z-score
- Forecast Bias: ↑***
- Key Insight: USDTWD is the most undervalued Asian currency, but its model fails the co-integration filter, reducing its forecasting power.
USDIDR:
- Spot: 10993
- Fair Value: 11180
- Deviation: -1.00 z-score
- Forecast Bias: -
- Key Insight: USDIDR is undervalued, but the deviation is not significant enough to trigger a strong forecast.
USDINR:
- Spot: 61.6450
- Fair Value: 60.7830
- Deviation: +1.15 z-score
- Forecast Bias: -
- Key Insight: USDINR is overvalued, though not significantly.
USDTHB:
- Spot: 31.2700
- Fair Value: 31.3310
- Deviation: -0.42 z-score
- Forecast Bias: -
- Key Insight: USDTHB is slightly undervalued.
USDSGD:
- Spot: 1.2430
- Fair Value: 1.2500
- Deviation: -0.81 z-score
- Forecast Bias: -
- Key Insight: USDSGD is slightly undervalued.
USDPHP:
- Spot: 43.1500
- Fair Value: 43.0110
- Deviation: +0.38 z-score
- Forecast Bias: -
- Key Insight: USDPHP is slightly overvalued.

CEEMEA

EURPLN:
- Spot: 4.1820
- Fair Value: 4.1990
- Deviation: -0.53
- Forecast Bias: -
- Key Insight: EURPLN is slightly undervalued.
EURCZK:
- Spot: 25.5590
- Fair Value: 25.6800
- Deviation: -1.11
- Forecast Bias: ↑
- Key Insight: EURCZK is undervalued and has potential to rise.
EURHUF:
- Spot: 296.40
- Fair Value: 296.70
- Deviation: -0.16
- Forecast Bias: -
- Key Insight: EURHUF is slightly undervalued.
EURRON:
- Spot: 4.4640
- Fair Value: 4.4580
- Deviation: +0.16
- Forecast Bias: -
- Key Insight: EURRON is slightly overvalued.
USDZAR:
- Spot: 9.9180
- Fair Value: 9.7240
- Deviation: +1.09
- Forecast Bias: ↓
- Key Insight: USDZAR is overvalued and may decline to its fair value.
USDTRY:
- Spot: 1.9840
- Fair Value: 1.9680
- Deviation: +0.66
- Forecast Bias: -
- Key Insight: USDTRY is slightly overvalued.
USDILS:
- Spot: 3.5340
- Fair Value: 3.5490
- Deviation: -0.41
- Forecast Bias: -
- Key Insight: USDILS is slightly undervalued.
USDRUB:
- Spot: 32.2760
- Fair Value: 32.1080
- Deviation: +0.87
- Forecast Bias: ↓
- Key Insight: USDRUB is slightly overvalued and may decline.

Latin America

USDBRL:
- Spot: 2.1830
- Fair Value: 2.1810
- Deviation: +0.08
- Forecast Bias: -
- Key Insight: USDBRL is slightly overvalued.
USDCLP:
- Spot: 499.30
- Fair Value: 499.90
- Deviation: -0.17
- Forecast Bias: -
- Key Insight: USDCLP is slightly undervalued.
USDMXN:
- Spot: 12.9740
- Fair Value: 13.0180
- Deviation: -0.41
- Forecast Bias: -
- Key Insight: USDMXN is slightly undervalued.
USDPEN:
- Spot: 2.7700
- Fair Value: 2.7660
- Deviation: +0.22
- Forecast Bias: -
- Key Insight: USDPEN is slightly overvalued.
USDCOP:
- Spot: 1881
- Fair Value: 1891
- Deviation: -0.92
- Forecast Bias: -
- Key Insight: USDCOP is slightly undervalued.

Key Points

AUDUSD and NZDUSD are overvalued and vulnerable to declines, driven by weaker local equity performance.
USDJPY and EURCHF are undervalued and have potential for upward movement, supported by global equity gains.
EURNOK remains overvalued, though it has corrected slightly, still trading above its fair value.
GBPUSD has returned to line with its STEER, indicating reduced downward pressure.
USDTWD is the most undervalued Asian currency, but its model fails the co-integration filter, reducing its reliability.
EM currencies in Asia and CEEMEA are largely within the +/-1.5 z-score corridor, with some showing potential for movement.
The STEER model uses variables such as interest rate differentials, equity performance, and commodity prices to estimate fair values.
Forecast Bias indicates the direction of potential exchange rate movements, with a deviation greater than 1.5 being a significant signal.
The report is non-independent and is a marketing communication, not investment research.

Disclaimer

This document is classified as non-independent marketing communication.
It is not intended to be an exhaustive analysis and may be subject to conflicts of interest.
The information is based on public sources and is not guaranteed to be accurate or up to date.
BNP Paribas may have financial interests in the mentioned currencies and may act as a market maker or have previously provided services to the entities mentioned.
The report is subject to legal restrictions in various jurisdictions and is intended for professional clients only.

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