20140225-巴黎银行证券-BNP_Paribas_STEER__12页_637kb

BNP Paribas STEER™ Summary

Core Content

BNP Paribas STEER™ (Short-Term Equilibrium Exchange Rates) is a tool used to estimate the short-term fair values of exchange rates based on relationships between interest rates, equity markets, and commodity markets. It helps identify overvalued or undervalued currency pairs and provides insights into potential exchange rate movements.

Main Currency Pairs Analysis

G10 Currencies

• USDCAD appears extremely expensive, trading around 3.5 standard deviations above its STEER of 1.0690. The main driver for this misalignment is the relative steepening of the Canadian yield curve compared to the U.S. yield curve.
• EURUSD is slightly overvalued (0.7 z-score above STEER of 1.3665), but remains within the +/-1.5 z-score corridor and has not triggered a bearish signal.
• GBPUSD has moved closer to its STEER of 1.6610.
• AUDUSD, NZDUSD, EURNOK, and EURSEK are trading close to their STEERs.
• EURCHF is oversold and may be vulnerable to an upward move, though it was previously unable to model the pair effectively when it was near its 1.20 floor.

Emerging Markets (EM) Currencies

• The number of significantly misaligned EM currencies has declined this week.
• EURRON, USDILS, and USDRUB are overbought and may decline towards their STEERs.
• USDKRW is overbought (1.6 z-score) and may decline to 1065.
• USDTHB has scope to rise towards its STEER of 32.83.
• USDMYR has moved from overbought to oversold, but the cointegration filter indicates it is not currently attractive to trade.
• USDBRL has declined, aligning with a drop in Brazil's CDS and a rise in equities.
• USDCLP, USDCOP, and USDPEN are slightly overvalued.
• USDMXN is trading close to its STEER.

Key Information

• STEER™ is based on the relative yield curve steepness, interest rate differentials, equity performance, and commodity prices.
• Deviations from STEER are typically short-lived and can be used for short-term forecasting.
• A z-score deviation greater than 1.5 is considered significant for predicting exchange rate movements.
• Overvaluation suggests the currency is likely to fall, while undervaluation suggests it is likely to rise.
• EURCHF is currently oversold and may move upward, as it has been trading above the 1.20 floor for several months.

Summary Table

Additional Notes

• The report highlights the importance of monitoring deviations from STEER to make informed trading decisions.
• The strategy is based on the idea of buying "cheap" and selling "expensive" currency pairs.
• The report is non-independent research and is a marketing communication. It may be subject to conflicts of interest.
• The document includes disclosures and legal information regarding the use and distribution of the report.