March-2017
| Australian dollar: macro trend indicators as of 2017-02-28 | |||||||||
| AUD versus USD | for comparison | historic references | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | DM8 group | Â | 2003-2009 | 2010-2016 | |
| Currency value and economic performance | |||||||||
| Â Â Real FX appreciation over medium-term average, % [1] | -14.3 | -5.3 | -4.9 | -3.2 | Â | -3.9 | Â | 9.6 | 1.6 |
| Â Â Est. GDP growth trend relative to base (U.S. or euro area), % [2] | 0.8 | 1.4 | 0.2 | 0.2 | Â | 0.2 | Â | 1.5 | 0.7 |
| Â Â adjusted for currency sensitivity [3] | 2.4 | 4.2 | 0.5 | 0.5 | Â | 0.4 | Â | 4.5 | 2 |
| Â Â Normalized recent PMI differential, relative to base [4] | 0.5 | 0 | 0.5 | 0.4 | Â | 0 | Â | 0.1 | -0.7 |
| Â Â Unemployment rate improvement, relative to base, %-points [5] | -1.3 | -0.5 | -0.6 | -0.6 | Â | -0.8 | Â | 0.8 | -0.7 |
| External balances and related factors | |||||||||
| Â Â External basic balance, % of GDP [6] | -2.1 | -0.9 | 0 | 0.5 | Â | 0.7 | Â | -4.7 | -1 |
| Â Â 3-month change external trade balance, %-points of GDP [7] | -0.6 | 0.3 | 0.6 | 1 | Â | 0.3 | Â | 0 | 0 |
| Â Â Medium-term terms-of-trade support, % change [8] | -1.9 | -4.6 | -2.2 | 4.2 | Â | 1 | Â | 8.5 | -1.4 |
| Â Â Short-term commodity price support, % change [9] | 0.3 | 8.3 | 22.8 | 22.1 | Â | 1.5 | Â | 6.4 | -2.2 |
| Adjusted FX carry and related factors | |||||||||
| Â Â Nominal FX forward-based carry, %ar [10] | 1.8 | 1.2 | 1.1 | 1.1 | Â | 0.3 | Â | 2.6 | 3 |
| Â Â Real idiosyncratic FX carry, %ar [11] | -1.4 | 0.1 | 0.4 | 0.3 | Â | 0 | Â | 0.4 | 0.7 |
| Â Â Excess core inflation, relative to base, % [12] | 0 | -0.6 | -0.7 | -0.7 | Â | -0.2 | Â | 0.5 | 0.3 |
| Â Â Composite impact of core inflation dynamics, % [13] | -0.6 | -0.6 | -1.2 | -1.4 | Â | -0.6 | Â | 0 | 0 |
| Flow indicators | |||||||||
| Â Â Short-term FX foward volatility, %ar [14] | 12.4 | 10.5 | 8.3 | 6.7 | Â | 6.6 | Â | 12.8 | 10.8 |
| Â Â Options-implied FX volatility, %ar [15] | 12.2 | 10.7 | 9.1 | 8.8 | Â | 7.7 | Â | 12.2 | 11.2 |
| Â Â Estimated CTA (trend followers) flow support [16] | -0.3 | 1.6 | -1.9 | -1.7 | Â | -0.4 | Â | -0.9 | 0.2 |
| Â Â Estimated equity flow support [17] | 1 | 3.8 | -2 | 0.6 | Â | 2.4 | Â | -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. |
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| Canadian dollar: macro trend indicators as of 2017-02-28 | |||||||||
| CAD versus USD | for comparison | historic references | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | DM8 group | Â | 2003-2009 | 2010-2016 | |
| Currency value and economic performance | |||||||||
| Â Â Real FX appreciation over medium-term average, % [1] | -16.5 | -10.8 | -7.7 | -7.8 | Â | -3.9 | Â | 8.7 | -3.3 |
| Â Â Est. GDP growth trend relative to base (U.S. or euro area), % [2] | -1.5 | -0.2 | -0.1 | -0.3 | Â | 0.2 | Â | 0.1 | 0 |
| Â Â adjusted for currency sensitivity [3] | -2.9 | -0.3 | -0.1 | -0.5 | Â | 0.4 | Â | 0.1 | 0.1 |
| Â Â Normalized recent PMI differential, relative to base [4] | 1.2 | 0.3 | 0.4 | -0.1 | Â | 0 | Â | 0.2 | -0.3 |
| Â Â Unemployment rate improvement, relative to base, %-points [5] | -1.5 | -0.9 | -0.8 | -0.7 | Â | -0.8 | Â | 0.5 | -0.4 |
| External balances and related factors | |||||||||
| Â Â External basic balance, % of GDP [6] | -4.2 | -5.3 | -5.4 | -5.2 | Â | 0.7 | Â | 0.6 | -3.8 |
| Â Â 3-month change external trade balance, %-points of GDP [7] | -0.2 | -0.2 | 0.1 | 0.3 | Â | 0.3 | Â | -0.2 | 0 |
| Â Â Medium-term terms-of-trade support, % change [8] | 2.6 | -1.1 | -0.8 | -2.1 | Â | 1 | Â | 1 | -0.9 |
| Â Â Short-term commodity price support, % change [9] | -10.4 | -2.1 | 11.6 | 18.4 | Â | 1.5 | Â | 7.9 | -2.7 |
| Adjusted FX carry and related factors | |||||||||
| Â Â Nominal FX forward-based carry, %ar [10] | 0.2 | -0.1 | -0.1 | 0 | Â | 0.3 | Â | 0.2 | 0.6 |
| Â Â Real idiosyncratic FX carry, %ar [11] | -1.7 | -0.9 | -0.3 | -0.2 | Â | 0 | Â | -0.5 | -0.5 |
| Â Â Excess core inflation, relative to base, % [12] | 0.4 | -0.1 | -0.1 | 0 | Â | -0.2 | Â | 0 | 0.2 |
| Â Â Composite impact of core inflation dynamics, % [13] | -0.3 | 0.4 | 0.4 | 0.3 | Â | -0.6 | Â | 0 | 0 |
| Flow indicators | |||||||||
| Â Â Short-term FX foward volatility, %ar [14] | 11.2 | 7 | 9 | 7.4 | Â | 6.6 | Â | 9.9 | 8.1 |
| Â Â Options-implied FX volatility, %ar [15] | 11.1 | 8.8 | 8.2 | 7.6 | Â | 7.7 | Â | 10.2 | 8.6 |
| Â Â Estimated CTA (trend followers) flow support [16] | -2.1 | 1 | -2.8 | 1.6 | Â | -0.4 | Â | -0.7 | 0.3 |
| Â Â Estimated equity flow support [17] | -3.3 | 1.5 | -2.6 | 6.1 | Â | 2.4 | Â | -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. |
|||||||||
| Swiss franc: macro trend indicators as of 2017-02-28 | |||||||||
| CHF versus EUR | for comparison | historic references | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | DM8 group | Â | 2003-2009 | 2010-2016 | |
| Currency value and economic performance | |||||||||
| Â Â Real FX appreciation over medium-term average, % [1] | 2.2 | 3 | 2.7 | 2.3 | Â | -3.9 | Â | -1.1 | 4.9 |
| Â Â Est. GDP growth trend relative to base (U.S. or euro area), % [2] | -1 | 0.2 | -0.2 | -0.2 | Â | 0.2 | Â | 1 | 0.9 |
| Â Â adjusted for currency sensitivity [3] | -1.5 | 0.3 | -0.2 | -0.3 | Â | 0.4 | Â | 1.4 | 1.3 |
| Â Â Normalized recent PMI differential, relative to base [4] | -0.6 | 0.1 | 0 | 0 | Â | 0 | Â | 0.5 | 0.1 |
| Â Â Unemployment rate improvement, relative to base, %-points [5] | -1.3 | -1.4 | -1.4 | -1.5 | Â | -0.8 | Â | -0.3 | 0.3 |
| External balances and related factors | |||||||||
| Â Â External basic balance, % of GDP [6] | 8.7 | 8.5 | 7.8 | 7.5 | Â | 0.7 | Â | 5.6 | 6.3 |
| Â Â 3-month change external trade balance, %-points of GDP [7] | 0.1 | 0 | -0.2 | 0.2 | Â | 0.3 | Â | 0.1 | 0.1 |
| Â Â Medium-term terms-of-trade support, % change [8] | 8.1 | 7.6 | 0 | 4 | Â | 1 | Â | 2 | 2.2 |
| Â Â Short-term commodity price support, % change [9] | 0.2 | -1.6 | -1.9 | -3.5 | Â | 1.5 | Â | 1.7 | 1.8 |
| Adjusted FX carry and related factors | |||||||||
| Â Â Nominal FX forward-based carry, %ar [10] | -0.7 | -0.8 | -0.5 | -0.5 | Â | 0.3 | Â | -1.5 | -0.5 |
| Â Â Real idiosyncratic FX carry, %ar [11] | 0.1 | -0.7 | 0 | -0.2 | Â | 0 | Â | -0.6 | -0.2 |
| Â Â Excess core inflation, relative to base, % [12] | -1.5 | -0.7 | -0.8 | -0.7 | Â | -0.2 | Â | -0.5 | -0.9 |
| Â Â Composite impact of core inflation dynamics, % [13] | -1.4 | 0.8 | 1.4 | -0.5 | Â | -0.6 | Â | 0 | 0 |
| Flow indicators | |||||||||
| Â Â Short-term FX foward volatility, %ar [14] | 5.2 | 3.3 | 3.7 | 3.6 | Â | 6.6 | Â | 4.4 | 6.8 |
| Â Â Options-implied FX volatility, %ar [15] | 7.3 | 6.3 | 4.4 | 4.6 | Â | 7.7 | Â | 4.5 | 6.2 |
| Â Â Estimated CTA (trend followers) flow support [16] | -1.4 | -0.5 | -1.2 | -1.6 | Â | -0.4 | Â | 0.2 | -0.7 |
| Â Â Estimated equity flow support [17] | -0.4 | -1.5 | -2.2 | -0.4 | Â | 2.4 | Â | -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. |
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| 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 | Â | DM8 group | Â | 2003-2009 | 2010-2016 | |
| Currency value and economic performance | |||||||||
| Â Â Real FX appreciation over medium-term average, % [1] | 2.1 | -9.9 | -9.4 | -8.9 | Â | -3.9 | Â | -4.9 | -1.6 |
| Â Â Est. GDP growth trend relative to base (U.S. or euro area), % [2] | 0 | 0.4 | 0 | 0.2 | Â | 0.2 | Â | 0.1 | 0.5 |
| Â Â adjusted for currency sensitivity [3] | 0 | 0.6 | -0.1 | 0.3 | Â | 0.4 | Â | 0.2 | 0.8 |
| Â Â Normalized recent PMI differential, relative to base [4] | 0.4 | 0.2 | 0.2 | 0.1 | Â | 0 | Â | 0.2 | 0.2 |
| Â Â Unemployment rate improvement, relative to base, %-points [5] | 0.3 | 0 | -0.1 | -0.1 | Â | -0.8 | Â | 0 | 0.2 |
| External balances and related factors | |||||||||
| Â Â External basic balance, % of GDP [6] | -0.9 | -2.2 | -1.7 | -1.7 | Â | 0.7 | Â | -3.5 | -2.5 |
| Â Â 3-month change external trade balance, %-points of GDP [7] | 0.2 | -0.3 | -0.2 | -0.2 | Â | 0.3 | Â | 0 | 0 |
| Â Â Medium-term terms-of-trade support, % change [8] | 4.6 | 1.1 | -3.2 | 0.6 | Â | 1 | Â | -2.2 | 0.5 |
| Â Â Short-term commodity price support, % change [9] | 8 | 1.4 | 16.2 | 11.1 | Â | 1.5 | Â | -1.4 | 0.9 |
| Adjusted FX carry and related factors | |||||||||
| Â Â Nominal FX forward-based carry, %ar [10] | 0.5 | 0.1 | 0.2 | 0.1 | Â | 0.3 | Â | 1.5 | 0.3 |
| Â Â Real idiosyncratic FX carry, %ar [11] | -0.2 | 0.5 | 0.8 | 0.5 | Â | 0 | Â | 1.1 | -0.5 |
| Â Â Excess core inflation, relative to base, % [12] | -0.2 | -0.2 | 0.2 | 0.2 | Â | -0.2 | Â | -0.5 | 0.7 |
| Â Â Composite impact of core inflation dynamics, % [13] | -0.6 | -0.6 | 0.3 | -0.7 | Â | -0.6 | Â | 0 | 0 |
| Flow indicators | |||||||||
| Â Â Short-term FX foward volatility, %ar [14] | 9.2 | 8.7 | 11.1 | 8.6 | Â | 6.6 | Â | 6.8 | 6.6 |
| Â Â Options-implied FX volatility, %ar [15] | 11.5 | 10.3 | 9.7 | 8.5 | Â | 7.7 | Â | 8.6 | 8.5 |
| Â Â Estimated CTA (trend followers) flow support [16] | 3 | -1.1 | -0.4 | 0.4 | Â | -0.4 | Â | -0.2 | -0.2 |
| Â Â Estimated equity flow support [17] | 0.1 | 0 | -0.3 | 0.8 | Â | 2.4 | Â | 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. |
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| Japanese yen: macro trend indicators as of 2017-02-28 | |||||||||
| JPY versus USD | for comparison | historic references | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | DM8 group | Â | 2003-2009 | 2010-2016 | |
| Currency value and economic performance | |||||||||
| Â Â Real FX appreciation over medium-term average, % [1] | -10.8 | -1.2 | -5.8 | -4.7 | Â | -3.9 | Â | -7.1 | -6.1 |
| Â Â Est. GDP growth trend relative to base (U.S. or euro area), % [2] | -0.7 | -0.6 | -0.5 | -0.3 | Â | 0.2 | Â | -1.3 | -0.7 |
| Â Â adjusted for currency sensitivity [3] | -2.4 | -2.1 | -1.7 | -1 | Â | 0.4 | Â | -4.7 | -2.5 |
| Â Â Normalized recent PMI differential, relative to base [4] | 0.7 | 0.3 | 0.1 | 0 | Â | 0 | Â | 0.4 | -0.2 |
| Â Â Unemployment rate improvement, relative to base, %-points [5] | -1 | -0.4 | -0.5 | -0.5 | Â | -0.8 | Â | 0.6 | -0.2 |
| External balances and related factors | |||||||||
| Â Â External basic balance, % of GDP [6] | 0.3 | 1.3 | 1.5 | 1.5 | Â | 0.7 | Â | 2.7 | 0.2 |
| Â Â 3-month change external trade balance, %-points of GDP [7] | 0.4 | 0.3 | 0.3 | 0.2 | Â | 0.3 | Â | -0.1 | 0 |
| Â Â Medium-term terms-of-trade support, % change [8] | 12.4 | 18 | 14.8 | 11.7 | Â | 1 | Â | -9.7 | -1.7 |
| Â Â Short-term commodity price support, % change [9] | -6.7 | -4.9 | -11.5 | -22.8 | Â | 1.5 | Â | -1.5 | 2.4 |
| Adjusted FX carry and related factors | |||||||||
| Â Â Nominal FX forward-based carry, %ar [10] | -1 | -1.9 | -0.7 | -1.3 | Â | 0.3 | Â | -2.4 | -0.4 |
| Â Â Real idiosyncratic FX carry, %ar [11] | 0.4 | -1 | 0.1 | -0.4 | Â | 0 | Â | -0.8 | 0.6 |
| Â Â Excess core inflation, relative to base, % [12] | -1.1 | -1.6 | -1.7 | -1.5 | Â | -0.2 | Â | -1.3 | -1.1 |
| Â Â Composite impact of core inflation dynamics, % [13] | -0.6 | 0.2 | -0.6 | -0.5 | Â | -0.6 | Â | 0.1 | 0 |
| Flow indicators | |||||||||
| Â Â Short-term FX foward volatility, %ar [14] | 12.4 | 12 | 14.2 | 10.1 | Â | 6.6 | Â | 10.1 | 9.2 |
| Â Â Options-implied FX volatility, %ar [15] | 13.4 | 13.3 | 12.2 | 10.3 | Â | 7.7 | Â | 10.8 | 9.9 |
| Â Â Estimated CTA (trend followers) flow support [16] | -2 | 3.5 | -1.8 | -1.4 | Â | -0.4 | Â | -0.2 | -0.1 |
| Â Â Estimated equity flow support [17] | 2.4 | 7.1 | -1.3 | 3.1 | Â | 2.4 | Â | -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. |
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| Norwegian krone: macro trend indicators as of 2017-02-28 | |||||||||
| NOK versus EUR | for comparison | historic references | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | DM8 group | Â | 2003-2009 | 2010-2016 | |
| Currency value and economic performance | |||||||||
| Â Â Real FX appreciation over medium-term average, % [1] | -13.3 | -5.1 | -5.1 | -4.3 | Â | -3.9 | Â | 0.8 | -3.8 |
| Â Â Est. GDP growth trend relative to base (U.S. or euro area), % [2] | -1.2 | -0.9 | -0.7 | -0.6 | Â | 0.2 | Â | 2.1 | 1.2 |
| Â Â adjusted for currency sensitivity [3] | -2.3 | -1.7 | -1.4 | -1.2 | Â | 0.4 | Â | 4.1 | 2.4 |
| Â Â Normalized recent PMI differential, relative to base [4] | -0.9 | -0.4 | -0.7 | -0.5 | Â | 0 | Â | 0.4 | -0.2 |
| Â Â Unemployment rate improvement, relative to base, %-points [5] | -1.9 | -2 | -1.9 | -1.7 | Â | -0.8 | Â | 0.1 | 0.1 |
| External balances and related factors | |||||||||
| Â Â External basic balance, % of GDP [6] | 2.1 | 1.8 | 2.1 | 2.1 | Â | 0.7 | Â | 0.9 | 2.8 |
| Â Â 3-month change external trade balance, %-points of GDP [7] | -1.1 | -1.1 | 0 | 0.5 | Â | 0.3 | Â | 0 | -0.3 |
| Â Â Medium-term terms-of-trade support, % change [8] | -15.7 | -15.2 | -10.7 | -15.1 | Â | 1 | Â | 13.2 | -1.7 |
| Â Â Short-term commodity price support, % change [9] | -3.3 | -3.7 | -4.4 | -2.4 | Â | 1.5 | Â | 8.8 | 1.1 |
| Adjusted FX carry and related factors | |||||||||
| Â Â Nominal FX forward-based carry, %ar [10] | 1.3 | 1.8 | 1 | 1.4 | Â | 0.3 | Â | 0.8 | 1.5 |
| Â Â Real idiosyncratic FX carry, %ar [11] | -2.1 | -1.3 | -1.5 | -0.8 | Â | 0 | Â | 0 | -0.5 |
| Â Â Excess core inflation, relative to base, % [12] | 1.4 | 1.5 | 0.8 | 0.4 | Â | -0.2 | Â | -1 | 0.1 |
| Â Â Composite impact of core inflation dynamics, % [13] | -0.4 | 0.6 | 2.7 | 0.6 | Â | -0.6 | Â | 0 | 0 |
| Flow indicators | |||||||||
| Â Â Short-term FX foward volatility, %ar [14] | 9 | 5.3 | 4.2 | 4 | Â | 6.6 | Â | 7.1 | 7.6 |
| Â Â Options-implied FX volatility, %ar [15] | 11.2 | 8.5 | 5.7 | 6.1 | Â | 7.7 | Â | 7.5 | 8.1 |
| Â Â Estimated CTA (trend followers) flow support [16] | -2.2 | -0.9 | -3.5 | -1.1 | Â | -0.4 | Â | -0.1 | -0.1 |
| Â Â Estimated equity flow support [17] | -4.8 | -3.8 | -4.2 | 3.2 | Â | 2.4 | Â | -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. |
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| 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 | Â | DM8 group | Â | 2003-2009 | 2010-2016 | |
| Currency value and economic performance | |||||||||
| Â Â Real FX appreciation over medium-term average, % [1] | -6.7 | 1.1 | 1.9 | 2.2 | Â | -3.9 | Â | 8.1 | 2.9 |
| Â Â Est. GDP growth trend relative to base (U.S. or euro area), % [2] | 2 | 2.7 | 2.4 | 2 | Â | 0.2 | Â | 1.1 | 0.8 |
| Â Â adjusted for currency sensitivity [3] | 4.4 | 5.9 | 5.3 | 4.5 | Â | 0.4 | Â | 2.4 | 1.7 |
| Â Â Normalized recent PMI differential, relative to base [4] | 1.3 | 0.8 | 0 | -0.5 | Â | 0 | Â | -0.1 | 0 |
| Â Â Unemployment rate improvement, relative to base, %-points [5] | -1.1 | -0.4 | -0.4 | -0.5 | Â | -0.8 | Â | 0.7 | -0.6 |
| External balances and related factors | |||||||||
| Â Â External basic balance, % of GDP [6] | -2.7 | -2.2 | -2 | -1.9 | Â | 0.7 | Â | -4.2 | -2.1 |
| Â Â 3-month change external trade balance, %-points of GDP [7] | -0.2 | -0.2 | 0.1 | -0.1 | Â | 0.3 | Â | 0 | 0 |
| Â Â Medium-term terms-of-trade support, % change [8] | 13.8 | 5.1 | 4.1 | 1.6 | Â | 1 | Â | -3.7 | 3.1 |
| Â Â Short-term commodity price support, % change [9] | 3.4 | 2.2 | -1.3 | -2.2 | Â | 1.5 | Â | -5.3 | 2.6 |
| Adjusted FX carry and related factors | |||||||||
| Â Â Nominal FX forward-based carry, %ar [10] | 2.4 | 1.6 | 1.4 | 1.4 | Â | 0.3 | Â | 3.7 | 2.7 |
| Â Â Real idiosyncratic FX carry, %ar [11] | 1.4 | 1.8 | 1.3 | 1.7 | Â | 0 | Â | 1.8 | 1.2 |
| Â Â Excess core inflation, relative to base, % [12] | -1.4 | -1.2 | -0.2 | -0.2 | Â | -0.2 | Â | 0.7 | 0.1 |
| Â Â Composite impact of core inflation dynamics, % [13] | -0.3 | -0.3 | 0.2 | -0.6 | Â | -0.6 | Â | 0 | -0.3 |
| Flow indicators | |||||||||
| Â Â Short-term FX foward volatility, %ar [14] | 13.7 | 10 | 10.6 | 7.9 | Â | 6.6 | Â | 13.7 | 11.6 |
| Â Â Options-implied FX volatility, %ar [15] | 14 | 11.2 | 10.2 | 9.8 | Â | 7.7 | Â | 13.6 | 12 |
| Â Â Estimated CTA (trend followers) flow support [16] | 0.9 | 1.5 | -2.9 | -0.6 | Â | -0.4 | Â | -0.7 | -0.1 |
| Â Â Estimated equity flow support [17] | -2.6 | 5.6 | -6.1 | 3.9 | Â | 2.4 | Â | -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. |
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| Swedish krona: macro trend indicators as of 2017-02-28 | |||||||||
| SEK versus EUR | for comparison | historic references | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | DM8 group | Â | 2003-2009 | 2010-2016 | |
| Currency value and economic performance | |||||||||
| Â Â Real FX appreciation over medium-term average, % [1] | -6.7 | -10.2 | -7.1 | -7.1 | Â | -3.9 | Â | -1.8 | -1.9 |
| Â Â Est. GDP growth trend relative to base (U.S. or euro area), % [2] | 3 | 0.9 | 1 | 0.5 | Â | 0.2 | Â | 0.9 | 1.8 |
| Â Â adjusted for currency sensitivity [3] | 4.4 | 1.3 | 1.5 | 0.7 | Â | 0.4 | Â | 1.4 | 2.6 |
| Â Â Normalized recent PMI differential, relative to base [4] | -0.1 | 0.3 | 0.7 | 0.7 | Â | 0 | Â | 0.3 | 0.1 |
| Â Â Unemployment rate improvement, relative to base, %-points [5] | -0.3 | -0.6 | -0.7 | -0.7 | Â | -0.8 | Â | -0.3 | 0.5 |
| External balances and related factors | |||||||||
| Â Â External basic balance, % of GDP [6] | 2.4 | 2.1 | 2.4 | 2.5 | Â | 0.7 | Â | 5.3 | 2.6 |
| Â Â 3-month change external trade balance, %-points of GDP [7] | -0.1 | -0.1 | 0 | 0 | Â | 0.3 | Â | -0.1 | -0.1 |
| Â Â Medium-term terms-of-trade support, % change [8] | 8.4 | 6 | 5.3 | 3.5 | Â | 1 | Â | -6.3 | -0.7 |
| Â Â Short-term commodity price support, % change [9] | 6.6 | -3.5 | -7.2 | -8.8 | Â | 1.5 | Â | -1.5 | -1.2 |
| Adjusted FX carry and related factors | |||||||||
| Â Â Nominal FX forward-based carry, %ar [10] | -0.3 | -0.4 | -0.2 | -0.2 | Â | 0.3 | Â | 0 | 0.6 |
| Â Â Real idiosyncratic FX carry, %ar [11] | -1.4 | -1.6 | -1.2 | -1 | Â | 0 | Â | -0.4 | -0.2 |
| Â Â Excess core inflation, relative to base, % [12] | 0.3 | 0.4 | 0.8 | 0.5 | Â | -0.2 | Â | -0.2 | -0.2 |
| Â Â Composite impact of core inflation dynamics, % [13] | -0.4 | 0.7 | 0.9 | -2 | Â | -0.6 | Â | 0 | 0 |
| Flow indicators | |||||||||
| Â Â Short-term FX foward volatility, %ar [14] | 5.8 | 5.4 | 4.4 | 4.7 | Â | 6.6 | Â | 5.9 | 6.8 |
| Â Â Options-implied FX volatility, %ar [15] | 7.5 | 7.2 | 5.6 | 5.6 | Â | 7.7 | Â | 6.5 | 7.2 |
| Â Â Estimated CTA (trend followers) flow support [16] | -1.2 | -0.6 | -3.3 | 1.4 | Â | -0.4 | Â | 0.3 | -0.4 |
| Â Â Estimated equity flow support [17] | -4.2 | -3.8 | -3.9 | 1.8 | Â | 2.4 | Â | -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. |
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