- Compared with the level one week ago, the ARPI² was almost unchanged. That said, risk perception rose significantly last Wednesday. However, this was only to a minor extent due to the euro-area debt crisis.
- Rising yield-curve risks were the main factor behind the increase of the ARPI² last Wednesday. Immediately after new data about US core inflation had been published which surprised on the upside, the implied volatility of US short-term interest rate futures picked up markedly.
- In addition, higher FX and commodity risks contributed to the increase of the ARPI². The oil price slumped on Wednesday which was probably a mere correction of an exaggerated level of prices before. Only the increase of FX risks was probably due to the euro-area debt crisis.
- Compared with the level three months ago, the ARPI² rose 0.6 index points, with yield-curve risks contributing the most to the increase. Yield-curve risks rose in particular during the last few days.
Please find enclosed updated charts containing our Commerzbank index of global risk perception ARPI².
http://www.easyforexnews.net/wp-content/uploads/2011/06/arpi_update_110622.pdf
Commerzbank Corporates & Markets
Foreign Exchange