How Would a Greek Default Effect EUR Exchange Rates. A Greek default rating becomes more likely. Does this imply negative consequences for EUR exchange rates? In the short run, the answer probably is: yes. But especially if the ECB will nevertheless hike rates on July 7th, the euro would have recovery potential afterwards.
Japanese Intervention History: Not a success story. On 18th March 2011 the G7 central banks intervened in an effort to dampen the strength of the yen. It is becoming clear now that the recovery in USD-JPY that was ensued was not sustainable. We analyze the intervention history of BoJ and MoF. While this is not a success story some important conclusions should be drawn.
FX Compass: The FX market from a corporate perspective. The German economy recov-ered remarkably quickly following the deepest post-war crisis. Exports and imports almost achieved pre-crisis levels, reaching nearly EUR 952bn and just under EUR 800bn in 2010. What further FX developments do corporates of the world’s third largest trading nation expect? The new Commerzbank FX survey “FX Compass“ is having a closer look.
Asia Outlook: Tackling inflation remains the focus. The primary focus of Asian central banks remains to tackle inflation and prevent overheating. The pullback in commodity and oil prices from the early May peak has helped to some extent but underlying price pressures re-main strong. USD-Asia has been relatively subdued. However, a further sell-off in Asian equi-ties could trigger a sharper move higher. We look for a supportive tone for USD-Asia near term.
EMEA Outlook: Local drivers in the back seat – for now. Over the last month EMEA currencies were at the mercy of global risk sentiment with local drivers taking a back seat. The euro zone debt crisis in particular has been a dominant driver recently. With the end of the Greek saga drawing nearer though this is likely to change. As the focus turns back to the domestic agenda central banks are likely to move into the spotlight.
LatAm Outlook: Currency strength likely to continue. Most of the currencies of the Latin American region were able to retrace their losses recorded in May. A number of central banks have continued to tighten monetary policy while confirming that the rate hike cycle is far from over. On the other hand it is becoming increasingly obvious that the Fed is likely to stick to its zero interest rate policy. The strength of the Latin American currencies is likely to continue.
Technical Analysis. Our fundamental view is being supported by a technical analysis of the exchange rates. We provide a trade idea on US Dollar index and EUR-TRY.
Optimized Carry Trades. This section provides one possible use of correlation forecasts: We use correlation forecasts to construct optimized carry trades – with exceptionally good back test performance.
Trade Idea Carry Trade. We outline a trade idea on carry trades.
Commerzbank G10 Currency Indices. These indices are estimates of the “idiosyncratic” components of each currency. They help to isolate the currency-specific drivers and enable the FX manager to implement views on currencies with minimal exposure to other factors.
Econometric Models. We present our econometric models that we use for multi-quarter fore-casts.
ARPI2 – Measuring Risk Perception. Our aggregate index of global risk perception is a useful measure to assess risk aversion in global financial markets.
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Commerzbank Corporates & Markets
Foreign Exchange