20161205-法国巴黎银行-FX_QUANT_DAILY_14页_779kb

报告摘要

BNP Paribas发布的FX Strategy文档提供了其STEER™模型在不同地区货币对的交易信号和短期价值分析。文档分为多个部分，包括欧洲、新兴市场（CEEMEA）、亚洲和拉丁美洲的货币对分析，以及全球策略联系人信息和免责声明。

EURCHF：自10月以来，EURCHF的公平价值保持稳定，但近期有所回升，而CHF走强，提供了入场机会。
GBPUSD：尽管GBPUSD已接近STEER目标，但仍低于其公平价值2.55个标准差，显示其仍被低估。
USDJPY：目前高于STEER目标110.14，且超过2个标准差，但交易策略已暂停，因上周已触发止损。
USDSGD 和 USDPEN：在EM地区，USDSGD和USDPEN的空头信号已触发，且USDSGD已通过STEER的协整过滤器，表明模型对信号更有信心。USDPEN的公平价值因秘鲁2年期收益率上升而下降。

货币对	STEER值	当前价	z-score	上界	下界
EURUSD	1.0986	1.0600	-2.08	1.1265	1.0707
EURCHF	1.0900	1.0740	-1.94	1.1025	1.0775
EURNOK	9.1033	8.9730	-1.30	9.2541	8.9525
GBPUSD	1.3019	1.2700	-0.66	1.3504	1.2534
EURGBP	0.8438	0.8350	-0.52	0.8692	0.8184
AUDUSD	0.7443	0.7440	-0.06	0.7568	0.7318
NZDUSD	0.7090	0.7100	0.13	0.7253	0.6927
USDCAD	1.3310	1.3330	0.15	1.3490	1.3129
EURSEK	9.4745	9.7880	1.90	9.7210	9.2280
USDJPY	110.14	113.80	2.00	112.9233	107.3527

货币对	STEER值	当前价	z-score	上界	下界
EURRON	4.5249	4.5100	-1.13	4.5442	4.5056
EURCZK	27.0400	27.0330	-0.45	27.0630	27.0169
USDZAR	13.9338	13.8910	-0.17	14.3148	13.5527
USDILS	3.7928	3.8290	0.91	3.8528	3.7329
EURPLN	4.4156	4.4920	1.91	4.4759	4.3553
USDTRY	3.3805	3.5430	2.44	3.4803	3.2808
EURHUF	309.04	313.50	2.55	311.6579	306.4282
USDRUB	62.0973	63.9430	2.87	63.0617	61.1330

货币对	STEER值	当前价	z-score	上界	下界
USDMYR	4.4526	4.4480	-0.11	4.5146	4.3906
USDPHP	49.5872	49.6900	0.22	50.2730	48.9014
USDIDR	13487	13547	0.55	13651.6640	13322.4140
USDINR	68.0029	68.2260	0.75	68.4489	67.5569
USDKRW	1163	1174	0.93	1181.6045	1144.0755
USDTHB	35.4365	35.6160	1.29	35.6448	35.2282
USDTWD	31.7423	31.9790	1.37	32.0016	31.4829

货币对	STEER值	当前价	z-score	上界	下界
USDMXN	20.7566	20.6850	-0.45	20.9954	20.5177
USDCLP	670.76	671.00	0.04	677.9074	663.6107
USDCOP	3066	3089	0.76	3111.4952	3020.9362
USDBRL	3.4475	3.4770	1.05	3.4892	3.4058
USDPEN	3.3845	3.4180	1.59	3.4161	3.3529

Michael Sneyd, CFA - Macro Quantitative Strategist, London, 44 20 7595 1307, michael.sneyd@uk.bnpparibas.com
Steven Saywell - Global Head of FX Strategy, London, 44 20 7595 8487, steven.saywell@uk.bnpparibas.com
Sam Lynton-Brown - FX Strategist, London, 44 20 7595 8467, sam.lynton-brown@uk.bnpparibas.com
Clara Leonard - FX Strategist, London, 44 20 7595 1424, clara.leonard@uk.bnpparibas.com
Daniel Katzive, CFA - Head of FX Strategy North America, New York, 1 212 841 2408, daniel.katzive@us.bnpparibas.com
Vasilis Koutsaftis - FX Options Strategist, New York, 1 212 471 7973, vasilis.koutsaftis@americas.bnpparibas.com

Wike Groenenberg - Global Head of EM Strategy, London, 44 20 7595 8746, wike.groenenberg@uk.bnpparibas.com
Piotr Chwieczak - FX & IR CEEMEA Strategist, London, 44 20 7595 8715, piotr.chwieczak@uk.bnpparibas.com
Erkin Isik, CFA - FX & IR CEEMEA Strategist, Istanbul, 90 216 635 2987, erkin.isik@teb.com.tr

Mirza Baig - Head of FX & IR Asia Strategy, Singapore, 65 6210 3262, mirza.s.baig@asia.bnpparibas.com
Jennifer Kusuma - FX & IR Asia Strategist, Singapore, 65 6210 3263, jennifer.kusuma@asia.bnpparibas.com
Altaz Daga - AU/NZ IR Strategist, Singapore, 65 6210 4994, altaz.dagha@asia.bnpparibas.com
Kun Shan - China Strategist, Shanghai, 86 21 2896 2773, kun.shan@asia.bnpparibas.com
Tianhe Ji - China Strategist, Shanghai, 86 21 2896 2785, tianhe.ji@asia.bnpparibas.com

Gabriel Gersztein - Head FX & IR Latam Strategy, Sao Paulo, 55 11 3841 3421, gabriel.gersztein@br.bnpparibas.com
Samuel Castro - FX & IR Latam Strategist, Sao Paulo, 55 11 3841 3492, samuel.castro@br.bnpparibas.com
Gustavo Mendonca - FX & IR Latam Strategist, Sao Paulo, 55 11 3841 3445, gustavo.mendonca@br.bnpparibas.com