20131029-巴黎银行证券-BNP_Paribas_STEER_12页_598kb

BNP Paribas STEER™ Summary

Core Content

BNP Paribas STEER™ (Short-Term Equilibrium Exchange Rates) is a tool used to estimate short-term fair values of exchange rates based on relationships between interest rates, equity markets, and commodity markets. It helps identify overvalued and undervalued currency pairs, providing insights for trading and investment decisions.

Main Points

• Bearish Signals for EURUSD and GBPUSD:
  EUR and GBP are considered expensive relative to USD, with EURUSD and GBPUSD now vulnerable to a decline. STEER indicates potential for EURUSD to fall to its fair value of 1.3650 and GBPUSD to decline to 1.5930.

• USD Overvalued Against Some Currencies:
  USD is slightly overvalued against CAD, but significantly undervalued against JPY and CHF. USDJPY remains the largest misalignment, trading 2.52 z-scores below its fair value of 104.95.

• EURNOK Overvalued, EURSEK Undervalued:
  EURNOK is overvalued by 1.0 z-score and has entered the top of its ±1.5 z-score corridor, indicating potential for a decline. In contrast, EURSEK is slightly undervalued, but a bullish signal has not yet been triggered.

• AUDUSD and NZDUSD Undervalued:
  AUDUSD and NZDUSD are slightly undervalued, suggesting potential for a rise in the coming weeks.

• USDCLP Overvalued, EURHUF Undervalued:
  USDCLP is significantly overvalued, trading 1.6 z-scores above its fair value of 501.10, and is vulnerable to a decline. EURHUF, on the other hand, is undervalued and has potential to rise to 294.80.

• Asian Currencies:
  USDPHP is overvalued and has room to decline to 42.68, while USDIDR is undervalued and may rise to 11130. Other Asian currencies are trading within the ±1.5 z-score corridor.

• CEEMEA Currencies:
  Most currencies are trading close to their fair values. EURHUF is the only exception, showing potential for a rise. USDZAR, USDTRY, and USDILS are slightly undervalued, while USDRUB is slightly overvalued.

• Latin America Currencies:
  USDCLP is overvalued, while other currencies such as USDBRL, USDMXN, USDPEN, and USDCOP are trading within their ±1.5 z-score corridors.

Key Information

• Z-Score Corridor:
  A z-score deviation greater than 1.5 is considered significant for predicting exchange rate movements over the weeks ahead. Overvaluation indicates a likely decline, while undervaluation suggests a potential rise.

• Drivers of Exchange Rates:
  STEER™ uses the following variables to estimate fair values:

  • Interest-rate differentials
  • Relative yield-curve steepness
  • Relative local-market equity performance
  • Global equity-market performance
  • Oil price

• Trading Strategy:
  A simple strategy of buying undervalued currencies and selling overvalued ones has historically been successful, with a Sharpe ratio of around 0.9 for a portfolio of currencies.

• Important Disclosures:
  This document is classified as non-independent marketing communication and may be subject to conflicts of interest. It is not independent investment research and has not been prepared in accordance with legal requirements for independence. It should not be relied upon as authoritative or taken in substitution for the exercise of judgment by any recipient.

Forecast Bias

Summary Table

Contact Information

• James Hellawell: +44 (0)20 7595 8485
• Michael Sneyd: +44 (0)20 7595 1307

Disclaimer

• This document is non-independent research and is a marketing communication.
• It is not intended for retail clients and should not be passed on to them.
• The information and opinions are based on public sources and are not guaranteed to be accurate or up to date.
• BNP Paribas may have financial interests in the mentioned currencies and may be involved in transactions related to them.
• The report is for the use of intended recipients only and may not be reproduced or transmitted without prior written consent.