Our shorter-term models indicate AUD, NZD are cheap against USD, while CAD is fair. To the extent the market wants to start to price the end of the “QE era”, however, we look today at what these models suggest when we run them over the longer time span since 2000, and find AUD is fair to a little cheap, while CAD and NZD are almost exactly fair (suggesting the period of maximum $-bloc FX weakness may be soon over). It is only by assuming we go entirely back to pre-2008 relationships that we find these models suggest AUD and NZD are still expensive – doing this though CAD is significantly too cheap against USD, with a fair value for USD/CAD in the low 0.90s.
Read the full report: FX Daily
Deutsche Bank