March-2017

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1 Australian dollar (AUD)

Australian dollar: macro trend indicators as of 2017-02-28
AUD versus USD   for comparison   historic references
12m ago 3m ago 1m ago latest   DM8 group   2003-2009 2010-2016
Currency value and economic performance
  Real FX appreciation over medium-term average, % [1] -14.3 -5.3 -4.9 -3.2   -3.9   9.6 1.6
  Est. GDP growth trend relative to base (U.S. or euro area), % [2] 0.8 1.4 0.2 0.2   0.2   1.5 0.7
   adjusted for currency sensitivity [3] 2.4 4.2 0.5 0.5   0.4   4.5 2
  Normalized recent PMI differential, relative to base [4] 0.5 0 0.5 0.4   0   0.1 -0.7
  Unemployment rate improvement, relative to base, %-points [5] -1.3 -0.5 -0.6 -0.6   -0.8   0.8 -0.7
External balances and related factors
  External basic balance, % of GDP [6] -2.1 -0.9 0 0.5   0.7   -4.7 -1
  3-month change external trade balance, %-points of GDP [7] -0.6 0.3 0.6 1   0.3   0 0
  Medium-term terms-of-trade support, % change [8] -1.9 -4.6 -2.2 4.2   1   8.5 -1.4
  Short-term commodity price support, % change [9] 0.3 8.3 22.8 22.1   1.5   6.4 -2.2
Adjusted FX carry and related factors
  Nominal FX forward-based carry, %ar [10] 1.8 1.2 1.1 1.1   0.3   2.6 3
  Real idiosyncratic FX carry, %ar [11] -1.4 0.1 0.4 0.3   0   0.4 0.7
  Excess core inflation, relative to base, % [12] 0 -0.6 -0.7 -0.7   -0.2   0.5 0.3
  Composite impact of core inflation dynamics, % [13] -0.6 -0.6 -1.2 -1.4   -0.6   0 0
Flow indicators
  Short-term FX foward volatility, %ar [14] 12.4 10.5 8.3 6.7   6.6   12.8 10.8
  Options-implied FX volatility, %ar [15] 12.2 10.7 9.1 8.8   7.7   12.2 11.2
  Estimated CTA (trend followers) flow support [16] -0.3 1.6 -1.9 -1.7   -0.4   -0.9 0.2
  Estimated equity flow support [17] 1 3.8 -2 0.6   2.4   -0.9 1
[1] Real effective exchange rate, % change versus previous 5-years’ moving average.
[2] Estimated concurrent GDP growth, 3-month average, %oya, relative to benchmark (US, euro area, or both).
[3] Same as above but scaled by a factor that estimates the sensitivity of currencies to growth differentials.
[4] Local manufactoring PMI or equivalent, 3-month average, z-score, relative to base (US, euro area, or both).
[5] Unemployment rate (3-month moving average), relative to base, negative elevation over 3-year average, %-points.
[6] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average.
[7] Merchandise trade balance ratio, % of GDP 1-year moving average, change over 3 months.
[8] Market-neutral terms of trade elevation (regression estimate), % over 5-year moving average.
[9] Market-neutral local commodity index growth (regression estimate), %oya, 3-month moving average.
[10] Simple 1-month forward implied carry, end of month.
[11] Real FX carry, adjusted for inflation expectation differential to base and for directional risk premium, winsorized at 500bps.
[12] CPI ex food and energy inflation versus inflation target, relative to base (US, euro area, or both).
[13] Core inflation impact, i.e. last 3-month’s increase plus gap between annual and short-term rate, relative to base.
[14] FX forward return, annualized standard deviation, based on 11 days half time.
[15] FX options-implied volatility, 3-day average at the end of the month.
[16] Composite CTA flow probability combining positioning indicators with setback risk indicators.
[17] Equity parity effect (rebalancing flows), relative to base currency area.

2 Canadian dollar (CAD)

Canadian dollar: macro trend indicators as of 2017-02-28
CAD versus USD   for comparison   historic references
12m ago 3m ago 1m ago latest   DM8 group   2003-2009 2010-2016
Currency value and economic performance
  Real FX appreciation over medium-term average, % [1] -16.5 -10.8 -7.7 -7.8   -3.9   8.7 -3.3
  Est. GDP growth trend relative to base (U.S. or euro area), % [2] -1.5 -0.2 -0.1 -0.3   0.2   0.1 0
   adjusted for currency sensitivity [3] -2.9 -0.3 -0.1 -0.5   0.4   0.1 0.1
  Normalized recent PMI differential, relative to base [4] 1.2 0.3 0.4 -0.1   0   0.2 -0.3
  Unemployment rate improvement, relative to base, %-points [5] -1.5 -0.9 -0.8 -0.7   -0.8   0.5 -0.4
External balances and related factors
  External basic balance, % of GDP [6] -4.2 -5.3 -5.4 -5.2   0.7   0.6 -3.8
  3-month change external trade balance, %-points of GDP [7] -0.2 -0.2 0.1 0.3   0.3   -0.2 0
  Medium-term terms-of-trade support, % change [8] 2.6 -1.1 -0.8 -2.1   1   1 -0.9
  Short-term commodity price support, % change [9] -10.4 -2.1 11.6 18.4   1.5   7.9 -2.7
Adjusted FX carry and related factors
  Nominal FX forward-based carry, %ar [10] 0.2 -0.1 -0.1 0   0.3   0.2 0.6
  Real idiosyncratic FX carry, %ar [11] -1.7 -0.9 -0.3 -0.2   0   -0.5 -0.5
  Excess core inflation, relative to base, % [12] 0.4 -0.1 -0.1 0   -0.2   0 0.2
  Composite impact of core inflation dynamics, % [13] -0.3 0.4 0.4 0.3   -0.6   0 0
Flow indicators
  Short-term FX foward volatility, %ar [14] 11.2 7 9 7.4   6.6   9.9 8.1
  Options-implied FX volatility, %ar [15] 11.1 8.8 8.2 7.6   7.7   10.2 8.6
  Estimated CTA (trend followers) flow support [16] -2.1 1 -2.8 1.6   -0.4   -0.7 0.3
  Estimated equity flow support [17] -3.3 1.5 -2.6 6.1   2.4   -1 0.8
[1] Real effective exchange rate, % change versus previous 5-years’ moving average.
[2] Estimated concurrent GDP growth, 3-month average, %oya, relative to benchmark (US, euro area, or both).
[3] Same as above but scaled by a factor that estimates the sensitivity of currencies to growth differentials.
[4] Local manufactoring PMI or equivalent, 3-month average, z-score, relative to base (US, euro area, or both).
[5] Unemployment rate (3-month moving average), relative to base, negative elevation over 3-year average, %-points.
[6] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average.
[7] Merchandise trade balance ratio, % of GDP 1-year moving average, change over 3 months.
[8] Market-neutral terms of trade elevation (regression estimate), % over 5-year moving average.
[9] Market-neutral local commodity index growth (regression estimate), %oya, 3-month moving average.
[10] Simple 1-month forward implied carry, end of month.
[11] Real FX carry, adjusted for inflation expectation differential to base and for directional risk premium, winsorized at 500bps.
[12] CPI ex food and energy inflation versus inflation target, relative to base (US, euro area, or both).
[13] Core inflation impact, i.e. last 3-month’s increase plus gap between annual and short-term rate, relative to base.
[14] FX forward return, annualized standard deviation, based on 11 days half time.
[15] FX options-implied volatility, 3-day average at the end of the month.
[16] Composite CTA flow probability combining positioning indicators with setback risk indicators.
[17] Equity parity effect (rebalancing flows), relative to base currency area.

3 Swiss franc (CHF)

Swiss franc: macro trend indicators as of 2017-02-28
CHF versus EUR   for comparison   historic references
12m ago 3m ago 1m ago latest   DM8 group   2003-2009 2010-2016
Currency value and economic performance
  Real FX appreciation over medium-term average, % [1] 2.2 3 2.7 2.3   -3.9   -1.1 4.9
  Est. GDP growth trend relative to base (U.S. or euro area), % [2] -1 0.2 -0.2 -0.2   0.2   1 0.9
   adjusted for currency sensitivity [3] -1.5 0.3 -0.2 -0.3   0.4   1.4 1.3
  Normalized recent PMI differential, relative to base [4] -0.6 0.1 0 0   0   0.5 0.1
  Unemployment rate improvement, relative to base, %-points [5] -1.3 -1.4 -1.4 -1.5   -0.8   -0.3 0.3
External balances and related factors
  External basic balance, % of GDP [6] 8.7 8.5 7.8 7.5   0.7   5.6 6.3
  3-month change external trade balance, %-points of GDP [7] 0.1 0 -0.2 0.2   0.3   0.1 0.1
  Medium-term terms-of-trade support, % change [8] 8.1 7.6 0 4   1   2 2.2
  Short-term commodity price support, % change [9] 0.2 -1.6 -1.9 -3.5   1.5   1.7 1.8
Adjusted FX carry and related factors
  Nominal FX forward-based carry, %ar [10] -0.7 -0.8 -0.5 -0.5   0.3   -1.5 -0.5
  Real idiosyncratic FX carry, %ar [11] 0.1 -0.7 0 -0.2   0   -0.6 -0.2
  Excess core inflation, relative to base, % [12] -1.5 -0.7 -0.8 -0.7   -0.2   -0.5 -0.9
  Composite impact of core inflation dynamics, % [13] -1.4 0.8 1.4 -0.5   -0.6   0 0
Flow indicators
  Short-term FX foward volatility, %ar [14] 5.2 3.3 3.7 3.6   6.6   4.4 6.8
  Options-implied FX volatility, %ar [15] 7.3 6.3 4.4 4.6   7.7   4.5 6.2
  Estimated CTA (trend followers) flow support [16] -1.4 -0.5 -1.2 -1.6   -0.4   0.2 -0.7
  Estimated equity flow support [17] -0.4 -1.5 -2.2 -0.4   2.4   -0.1 -0.4
[1] Real effective exchange rate, % change versus previous 5-years’ moving average.
[2] Estimated concurrent GDP growth, 3-month average, %oya, relative to benchmark (US, euro area, or both).
[3] Same as above but scaled by a factor that estimates the sensitivity of currencies to growth differentials.
[4] Local manufactoring PMI or equivalent, 3-month average, z-score, relative to base (US, euro area, or both).
[5] Unemployment rate (3-month moving average), relative to base, negative elevation over 3-year average, %-points.
[6] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average.
[7] Merchandise trade balance ratio, % of GDP 1-year moving average, change over 3 months.
[8] Market-neutral terms of trade elevation (regression estimate), % over 5-year moving average.
[9] Market-neutral local commodity index growth (regression estimate), %oya, 3-month moving average.
[10] Simple 1-month forward implied carry, end of month.
[11] Real FX carry, adjusted for inflation expectation differential to base and for directional risk premium, winsorized at 500bps.
[12] CPI ex food and energy inflation versus inflation target, relative to base (US, euro area, or both).
[13] Core inflation impact, i.e. last 3-month’s increase plus gap between annual and short-term rate, relative to base.
[14] FX forward return, annualized standard deviation, based on 11 days half time.
[15] FX options-implied volatility, 3-day average at the end of the month.
[16] Composite CTA flow probability combining positioning indicators with setback risk indicators.
[17] Equity parity effect (rebalancing flows), relative to base currency area.

4 British pound (GBP)

British pound: macro trend indicators as of 2017-02-28
GBP versus EUR-USD   for comparison   historic references
12m ago 3m ago 1m ago latest   DM8 group   2003-2009 2010-2016
Currency value and economic performance
  Real FX appreciation over medium-term average, % [1] 2.1 -9.9 -9.4 -8.9   -3.9   -4.9 -1.6
  Est. GDP growth trend relative to base (U.S. or euro area), % [2] 0 0.4 0 0.2   0.2   0.1 0.5
   adjusted for currency sensitivity [3] 0 0.6 -0.1 0.3   0.4   0.2 0.8
  Normalized recent PMI differential, relative to base [4] 0.4 0.2 0.2 0.1   0   0.2 0.2
  Unemployment rate improvement, relative to base, %-points [5] 0.3 0 -0.1 -0.1   -0.8   0 0.2
External balances and related factors
  External basic balance, % of GDP [6] -0.9 -2.2 -1.7 -1.7   0.7   -3.5 -2.5
  3-month change external trade balance, %-points of GDP [7] 0.2 -0.3 -0.2 -0.2   0.3   0 0
  Medium-term terms-of-trade support, % change [8] 4.6 1.1 -3.2 0.6   1   -2.2 0.5
  Short-term commodity price support, % change [9] 8 1.4 16.2 11.1   1.5   -1.4 0.9
Adjusted FX carry and related factors
  Nominal FX forward-based carry, %ar [10] 0.5 0.1 0.2 0.1   0.3   1.5 0.3
  Real idiosyncratic FX carry, %ar [11] -0.2 0.5 0.8 0.5   0   1.1 -0.5
  Excess core inflation, relative to base, % [12] -0.2 -0.2 0.2 0.2   -0.2   -0.5 0.7
  Composite impact of core inflation dynamics, % [13] -0.6 -0.6 0.3 -0.7   -0.6   0 0
Flow indicators
  Short-term FX foward volatility, %ar [14] 9.2 8.7 11.1 8.6   6.6   6.8 6.6
  Options-implied FX volatility, %ar [15] 11.5 10.3 9.7 8.5   7.7   8.6 8.5
  Estimated CTA (trend followers) flow support [16] 3 -1.1 -0.4 0.4   -0.4   -0.2 -0.2
  Estimated equity flow support [17] 0.1 0 -0.3 0.8   2.4   0.2 0.3
[1] Real effective exchange rate, % change versus previous 5-years’ moving average.
[2] Estimated concurrent GDP growth, 3-month average, %oya, relative to benchmark (US, euro area, or both).
[3] Same as above but scaled by a factor that estimates the sensitivity of currencies to growth differentials.
[4] Local manufactoring PMI or equivalent, 3-month average, z-score, relative to base (US, euro area, or both).
[5] Unemployment rate (3-month moving average), relative to base, negative elevation over 3-year average, %-points.
[6] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average.
[7] Merchandise trade balance ratio, % of GDP 1-year moving average, change over 3 months.
[8] Market-neutral terms of trade elevation (regression estimate), % over 5-year moving average.
[9] Market-neutral local commodity index growth (regression estimate), %oya, 3-month moving average.
[10] Simple 1-month forward implied carry, end of month.
[11] Real FX carry, adjusted for inflation expectation differential to base and for directional risk premium, winsorized at 500bps.
[12] CPI ex food and energy inflation versus inflation target, relative to base (US, euro area, or both).
[13] Core inflation impact, i.e. last 3-month’s increase plus gap between annual and short-term rate, relative to base.
[14] FX forward return, annualized standard deviation, based on 11 days half time.
[15] FX options-implied volatility, 3-day average at the end of the month.
[16] Composite CTA flow probability combining positioning indicators with setback risk indicators.
[17] Equity parity effect (rebalancing flows), relative to base currency area.

5 Japanese yen (JPY)

Japanese yen: macro trend indicators as of 2017-02-28
JPY versus USD   for comparison   historic references
12m ago 3m ago 1m ago latest   DM8 group   2003-2009 2010-2016
Currency value and economic performance
  Real FX appreciation over medium-term average, % [1] -10.8 -1.2 -5.8 -4.7   -3.9   -7.1 -6.1
  Est. GDP growth trend relative to base (U.S. or euro area), % [2] -0.7 -0.6 -0.5 -0.3   0.2   -1.3 -0.7
   adjusted for currency sensitivity [3] -2.4 -2.1 -1.7 -1   0.4   -4.7 -2.5
  Normalized recent PMI differential, relative to base [4] 0.7 0.3 0.1 0   0   0.4 -0.2
  Unemployment rate improvement, relative to base, %-points [5] -1 -0.4 -0.5 -0.5   -0.8   0.6 -0.2
External balances and related factors
  External basic balance, % of GDP [6] 0.3 1.3 1.5 1.5   0.7   2.7 0.2
  3-month change external trade balance, %-points of GDP [7] 0.4 0.3 0.3 0.2   0.3   -0.1 0
  Medium-term terms-of-trade support, % change [8] 12.4 18 14.8 11.7   1   -9.7 -1.7
  Short-term commodity price support, % change [9] -6.7 -4.9 -11.5 -22.8   1.5   -1.5 2.4
Adjusted FX carry and related factors
  Nominal FX forward-based carry, %ar [10] -1 -1.9 -0.7 -1.3   0.3   -2.4 -0.4
  Real idiosyncratic FX carry, %ar [11] 0.4 -1 0.1 -0.4   0   -0.8 0.6
  Excess core inflation, relative to base, % [12] -1.1 -1.6 -1.7 -1.5   -0.2   -1.3 -1.1
  Composite impact of core inflation dynamics, % [13] -0.6 0.2 -0.6 -0.5   -0.6   0.1 0
Flow indicators
  Short-term FX foward volatility, %ar [14] 12.4 12 14.2 10.1   6.6   10.1 9.2
  Options-implied FX volatility, %ar [15] 13.4 13.3 12.2 10.3   7.7   10.8 9.9
  Estimated CTA (trend followers) flow support [16] -2 3.5 -1.8 -1.4   -0.4   -0.2 -0.1
  Estimated equity flow support [17] 2.4 7.1 -1.3 3.1   2.4   -0.5 0.3
[1] Real effective exchange rate, % change versus previous 5-years’ moving average.
[2] Estimated concurrent GDP growth, 3-month average, %oya, relative to benchmark (US, euro area, or both).
[3] Same as above but scaled by a factor that estimates the sensitivity of currencies to growth differentials.
[4] Local manufactoring PMI or equivalent, 3-month average, z-score, relative to base (US, euro area, or both).
[5] Unemployment rate (3-month moving average), relative to base, negative elevation over 3-year average, %-points.
[6] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average.
[7] Merchandise trade balance ratio, % of GDP 1-year moving average, change over 3 months.
[8] Market-neutral terms of trade elevation (regression estimate), % over 5-year moving average.
[9] Market-neutral local commodity index growth (regression estimate), %oya, 3-month moving average.
[10] Simple 1-month forward implied carry, end of month.
[11] Real FX carry, adjusted for inflation expectation differential to base and for directional risk premium, winsorized at 500bps.
[12] CPI ex food and energy inflation versus inflation target, relative to base (US, euro area, or both).
[13] Core inflation impact, i.e. last 3-month’s increase plus gap between annual and short-term rate, relative to base.
[14] FX forward return, annualized standard deviation, based on 11 days half time.
[15] FX options-implied volatility, 3-day average at the end of the month.
[16] Composite CTA flow probability combining positioning indicators with setback risk indicators.
[17] Equity parity effect (rebalancing flows), relative to base currency area.

6 Norwegian krone (NOK)

Norwegian krone: macro trend indicators as of 2017-02-28
NOK versus EUR   for comparison   historic references
12m ago 3m ago 1m ago latest   DM8 group   2003-2009 2010-2016
Currency value and economic performance
  Real FX appreciation over medium-term average, % [1] -13.3 -5.1 -5.1 -4.3   -3.9   0.8 -3.8
  Est. GDP growth trend relative to base (U.S. or euro area), % [2] -1.2 -0.9 -0.7 -0.6   0.2   2.1 1.2
   adjusted for currency sensitivity [3] -2.3 -1.7 -1.4 -1.2   0.4   4.1 2.4
  Normalized recent PMI differential, relative to base [4] -0.9 -0.4 -0.7 -0.5   0   0.4 -0.2
  Unemployment rate improvement, relative to base, %-points [5] -1.9 -2 -1.9 -1.7   -0.8   0.1 0.1
External balances and related factors
  External basic balance, % of GDP [6] 2.1 1.8 2.1 2.1   0.7   0.9 2.8
  3-month change external trade balance, %-points of GDP [7] -1.1 -1.1 0 0.5   0.3   0 -0.3
  Medium-term terms-of-trade support, % change [8] -15.7 -15.2 -10.7 -15.1   1   13.2 -1.7
  Short-term commodity price support, % change [9] -3.3 -3.7 -4.4 -2.4   1.5   8.8 1.1
Adjusted FX carry and related factors
  Nominal FX forward-based carry, %ar [10] 1.3 1.8 1 1.4   0.3   0.8 1.5
  Real idiosyncratic FX carry, %ar [11] -2.1 -1.3 -1.5 -0.8   0   0 -0.5
  Excess core inflation, relative to base, % [12] 1.4 1.5 0.8 0.4   -0.2   -1 0.1
  Composite impact of core inflation dynamics, % [13] -0.4 0.6 2.7 0.6   -0.6   0 0
Flow indicators
  Short-term FX foward volatility, %ar [14] 9 5.3 4.2 4   6.6   7.1 7.6
  Options-implied FX volatility, %ar [15] 11.2 8.5 5.7 6.1   7.7   7.5 8.1
  Estimated CTA (trend followers) flow support [16] -2.2 -0.9 -3.5 -1.1   -0.4   -0.1 -0.1
  Estimated equity flow support [17] -4.8 -3.8 -4.2 3.2   2.4   -0.9 0
[1] Real effective exchange rate, % change versus previous 5-years’ moving average.
[2] Estimated concurrent GDP growth, 3-month average, %oya, relative to benchmark (US, euro area, or both).
[3] Same as above but scaled by a factor that estimates the sensitivity of currencies to growth differentials.
[4] Local manufactoring PMI or equivalent, 3-month average, z-score, relative to base (US, euro area, or both).
[5] Unemployment rate (3-month moving average), relative to base, negative elevation over 3-year average, %-points.
[6] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average.
[7] Merchandise trade balance ratio, % of GDP 1-year moving average, change over 3 months.
[8] Market-neutral terms of trade elevation (regression estimate), % over 5-year moving average.
[9] Market-neutral local commodity index growth (regression estimate), %oya, 3-month moving average.
[10] Simple 1-month forward implied carry, end of month.
[11] Real FX carry, adjusted for inflation expectation differential to base and for directional risk premium, winsorized at 500bps.
[12] CPI ex food and energy inflation versus inflation target, relative to base (US, euro area, or both).
[13] Core inflation impact, i.e. last 3-month’s increase plus gap between annual and short-term rate, relative to base.
[14] FX forward return, annualized standard deviation, based on 11 days half time.
[15] FX options-implied volatility, 3-day average at the end of the month.
[16] Composite CTA flow probability combining positioning indicators with setback risk indicators.
[17] Equity parity effect (rebalancing flows), relative to base currency area.

7 New Zealand dollar (NZD)

New Zealand dollar: macro trend indicators as of 2017-02-28
NZD versus USD   for comparison   historic references
12m ago 3m ago 1m ago latest   DM8 group   2003-2009 2010-2016
Currency value and economic performance
  Real FX appreciation over medium-term average, % [1] -6.7 1.1 1.9 2.2   -3.9   8.1 2.9
  Est. GDP growth trend relative to base (U.S. or euro area), % [2] 2 2.7 2.4 2   0.2   1.1 0.8
   adjusted for currency sensitivity [3] 4.4 5.9 5.3 4.5   0.4   2.4 1.7
  Normalized recent PMI differential, relative to base [4] 1.3 0.8 0 -0.5   0   -0.1 0
  Unemployment rate improvement, relative to base, %-points [5] -1.1 -0.4 -0.4 -0.5   -0.8   0.7 -0.6
External balances and related factors
  External basic balance, % of GDP [6] -2.7 -2.2 -2 -1.9   0.7   -4.2 -2.1
  3-month change external trade balance, %-points of GDP [7] -0.2 -0.2 0.1 -0.1   0.3   0 0
  Medium-term terms-of-trade support, % change [8] 13.8 5.1 4.1 1.6   1   -3.7 3.1
  Short-term commodity price support, % change [9] 3.4 2.2 -1.3 -2.2   1.5   -5.3 2.6
Adjusted FX carry and related factors
  Nominal FX forward-based carry, %ar [10] 2.4 1.6 1.4 1.4   0.3   3.7 2.7
  Real idiosyncratic FX carry, %ar [11] 1.4 1.8 1.3 1.7   0   1.8 1.2
  Excess core inflation, relative to base, % [12] -1.4 -1.2 -0.2 -0.2   -0.2   0.7 0.1
  Composite impact of core inflation dynamics, % [13] -0.3 -0.3 0.2 -0.6   -0.6   0 -0.3
Flow indicators
  Short-term FX foward volatility, %ar [14] 13.7 10 10.6 7.9   6.6   13.7 11.6
  Options-implied FX volatility, %ar [15] 14 11.2 10.2 9.8   7.7   13.6 12
  Estimated CTA (trend followers) flow support [16] 0.9 1.5 -2.9 -0.6   -0.4   -0.7 -0.1
  Estimated equity flow support [17] -2.6 5.6 -6.1 3.9   2.4   -0.8 0.1
[1] Real effective exchange rate, % change versus previous 5-years’ moving average.
[2] Estimated concurrent GDP growth, 3-month average, %oya, relative to benchmark (US, euro area, or both).
[3] Same as above but scaled by a factor that estimates the sensitivity of currencies to growth differentials.
[4] Local manufactoring PMI or equivalent, 3-month average, z-score, relative to base (US, euro area, or both).
[5] Unemployment rate (3-month moving average), relative to base, negative elevation over 3-year average, %-points.
[6] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average.
[7] Merchandise trade balance ratio, % of GDP 1-year moving average, change over 3 months.
[8] Market-neutral terms of trade elevation (regression estimate), % over 5-year moving average.
[9] Market-neutral local commodity index growth (regression estimate), %oya, 3-month moving average.
[10] Simple 1-month forward implied carry, end of month.
[11] Real FX carry, adjusted for inflation expectation differential to base and for directional risk premium, winsorized at 500bps.
[12] CPI ex food and energy inflation versus inflation target, relative to base (US, euro area, or both).
[13] Core inflation impact, i.e. last 3-month’s increase plus gap between annual and short-term rate, relative to base.
[14] FX forward return, annualized standard deviation, based on 11 days half time.
[15] FX options-implied volatility, 3-day average at the end of the month.
[16] Composite CTA flow probability combining positioning indicators with setback risk indicators.
[17] Equity parity effect (rebalancing flows), relative to base currency area.

8 Swedish krona (SEK)

Swedish krona: macro trend indicators as of 2017-02-28
SEK versus EUR   for comparison   historic references
12m ago 3m ago 1m ago latest   DM8 group   2003-2009 2010-2016
Currency value and economic performance
  Real FX appreciation over medium-term average, % [1] -6.7 -10.2 -7.1 -7.1   -3.9   -1.8 -1.9
  Est. GDP growth trend relative to base (U.S. or euro area), % [2] 3 0.9 1 0.5   0.2   0.9 1.8
   adjusted for currency sensitivity [3] 4.4 1.3 1.5 0.7   0.4   1.4 2.6
  Normalized recent PMI differential, relative to base [4] -0.1 0.3 0.7 0.7   0   0.3 0.1
  Unemployment rate improvement, relative to base, %-points [5] -0.3 -0.6 -0.7 -0.7   -0.8   -0.3 0.5
External balances and related factors
  External basic balance, % of GDP [6] 2.4 2.1 2.4 2.5   0.7   5.3 2.6
  3-month change external trade balance, %-points of GDP [7] -0.1 -0.1 0 0   0.3   -0.1 -0.1
  Medium-term terms-of-trade support, % change [8] 8.4 6 5.3 3.5   1   -6.3 -0.7
  Short-term commodity price support, % change [9] 6.6 -3.5 -7.2 -8.8   1.5   -1.5 -1.2
Adjusted FX carry and related factors
  Nominal FX forward-based carry, %ar [10] -0.3 -0.4 -0.2 -0.2   0.3   0 0.6
  Real idiosyncratic FX carry, %ar [11] -1.4 -1.6 -1.2 -1   0   -0.4 -0.2
  Excess core inflation, relative to base, % [12] 0.3 0.4 0.8 0.5   -0.2   -0.2 -0.2
  Composite impact of core inflation dynamics, % [13] -0.4 0.7 0.9 -2   -0.6   0 0
Flow indicators
  Short-term FX foward volatility, %ar [14] 5.8 5.4 4.4 4.7   6.6   5.9 6.8
  Options-implied FX volatility, %ar [15] 7.5 7.2 5.6 5.6   7.7   6.5 7.2
  Estimated CTA (trend followers) flow support [16] -1.2 -0.6 -3.3 1.4   -0.4   0.3 -0.4
  Estimated equity flow support [17] -4.2 -3.8 -3.9 1.8   2.4   -0.3 -0.4
[1] Real effective exchange rate, % change versus previous 5-years’ moving average.
[2] Estimated concurrent GDP growth, 3-month average, %oya, relative to benchmark (US, euro area, or both).
[3] Same as above but scaled by a factor that estimates the sensitivity of currencies to growth differentials.
[4] Local manufactoring PMI or equivalent, 3-month average, z-score, relative to base (US, euro area, or both).
[5] Unemployment rate (3-month moving average), relative to base, negative elevation over 3-year average, %-points.
[6] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average.
[7] Merchandise trade balance ratio, % of GDP 1-year moving average, change over 3 months.
[8] Market-neutral terms of trade elevation (regression estimate), % over 5-year moving average.
[9] Market-neutral local commodity index growth (regression estimate), %oya, 3-month moving average.
[10] Simple 1-month forward implied carry, end of month.
[11] Real FX carry, adjusted for inflation expectation differential to base and for directional risk premium, winsorized at 500bps.
[12] CPI ex food and energy inflation versus inflation target, relative to base (US, euro area, or both).
[13] Core inflation impact, i.e. last 3-month’s increase plus gap between annual and short-term rate, relative to base.
[14] FX forward return, annualized standard deviation, based on 11 days half time.
[15] FX options-implied volatility, 3-day average at the end of the month.
[16] Composite CTA flow probability combining positioning indicators with setback risk indicators.
[17] Equity parity effect (rebalancing flows), relative to base currency area.