– We find the MXN and NZD to have the highest ‘betas’ amongst the major currencies.
– While the USD has become ‘risk neutral’, the JPY still has strong safe-haven characteristics.
– The fact the NZD now has a higher beta than the AUD reflects the elimination of the AUD’s yield advantage.
– The implication is that NZD/AUD is once again positively correlated with risk appetite and global growth.
– So the prospect of the global equity market rally continuing is supportive of our forecast for ongoing NZD/AUD appreciation this year.
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BNZ