March-2017

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1 Brazilian real (BRL)

Brazilian real: macro trend indicators as of 2017-02-28
BRL versus USD   for comparison   historic references
12m ago 3m ago 1m ago latest   EM20 group   2003-2009 2010-2016
Competitiveness indicators
  Real FX appreciation over medium-term average, % [1] -26 -5.4 1.1 3.2   -1.2   11.5 -4.3
  External basic balance, % of GDP [2] 0.8 2.3 2.2 2.4   2.1   1.8 0.1
  Estimated GDP growth trend relative to base, % [3] -7.6 -4.2 -4.4 -4   0.9   1.9 -0.4
  Relative GDP trend adjusted for currency sensitivity, % [4] -39.2 -21.5 -22.8 -20.7   0.8   9.8 -1.8
  Estimated excess GDP growth trend relative to base, % [5] -8.8 -5.4 -4.5 -4.1   -1.2   1.4 -2.5
Policy and market signals
  Relative short-term interest rate increase, %-points [6] -0.1 -0.5 -0.9 -1.1   -0.1   -0.3 0.1
  Vol-adjusted relative rate increase, %-points [7] 0.1 -0.3 0.2 0.2   0.1   0 0
  Market-implied relative monetary tightening shock, z-score [8] -0.5 -1.6 -0.9 -1   0.1   0 -0.1
  Market-implied relative growth shock, z-score [9] 0.2 -3.6 0 -1.7   -0.6   0.1 -0.5
Adjusted FX carry and underlying factors
  Nominal FX forward-based carry, %ar [10] 11.2 11.2 10.7 10.1   3.4   10.8 9.1
  Ratio of FX carry to annualized volatility [11] 0.7 0.6 0.9 1   0.3   0.9 0.7
  Real idiosyncratic FX carry, % [12] 2.9 4.4 4.6 3.8   0.5   2.3 1.8
  Excess broad inflation, % [13] 5.4 3.1 2 1.3   0.2   1.5 2.1
  Excess private credit growth, % [14] -4.1 -11.2 -10.6 -10.8   -0.7   11.4 4.1
Potential distress indicators
  Short-term echange rate volatility (% annualized) [15] 16.8 17.7 11.4 10.4   7   14.8 13.7
  Estimated G3 financial conditions impact [16] 10.2 -20.7 -3.9 20.3   3.1   1 2.4
  Est. market distortion payback (relative to other EMFX) [17] 0 0 -0.3 -0.6   0   -0.4 -0.1
[1] Real effective exchange rate, % change versus previous 5-years’ moving average.
[2] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average.
[3] Estimated concurrent GDP growth, 3-month average, %oya, relative to base (US, euro area, or both).
[4] Same as above but scaled by a factor that measures the sensitivity of currencies to growth differentials.
[5] Estimated GDP growth versus potential, 3-month average, %oya, relative to base (US, euro area, or both).
[6] Nominal policy rate differential over base currency, difference versus previous 3 month-average, winsorized at 200 bps.
[7] Change in vol-adjusted policy-controlled rate differential versus previous 3-m average, winsorized at 0.5.
[8] Relative tightening signal versus base curency area (U.S./euro area) , estimated through various asset markets, past month, z-score.
[9] Relative positive growth shock over base curency area (U.S. /euro area) , estimated through various asset markets, past month, z-score.
[10] Forward implied carry, based on average of last 5 days of the month.
[11] Same as above, divided by anualized exchange rate volatility, based on 11-day half-time lookback.
[12] Real hedged FX forward-implied carry, adjusted for inflation expectation differential to base, winsorized at 500bps.
[13] Broad (50% headline/ 50% core) annual inflation over target, %-points.
[14] Excess private credit growth over estimated nominal GDP trend growth, %oya, 3-month average.
[15] Annualized standard deviation of FX forward return, based on 11 days half time.
[16] G3 equity-duration-based financial conditions improvement, last month, estimated impact on currency positions.
[17] Payback for estimated relative distortions across EMFX currencies induced by mechanical benchmark correlations.

2 Chilean peso (CLP)

Chilean peso: macro trend indicators as of 2017-02-28
CLP versus USD   for comparison   historic references
12m ago 3m ago 1m ago latest   EM20 group   2003-2009 2010-2016
Competitiveness indicators
  Real FX appreciation over medium-term average, % [1] -9.6 -1.7 -0.1 1.4   -1.2   0.3 -2.4
  External basic balance, % of GDP [2] 1.1 1.4 1.4 1.2   2.1   4.9 1.3
  Estimated GDP growth trend relative to base, % [3] 0 0.2 -0.9 -1   0.9   2.1 1.8
  Relative GDP trend adjusted for currency sensitivity, % [4] 0 0.3 -1.4 -1.6   0.8   3.4 2.9
  Estimated excess GDP growth trend relative to base, % [5] -1.3 -1.1 -2 -2.1   -1.2   0.4 -0.3
Policy and market signals
  Relative short-term interest rate increase, %-points [6] 0.3 -0.1 -0.3 -0.2   -0.1   0 0.1
  Vol-adjusted relative rate increase, %-points [7] 0 0 -0.1 0   0.1   0 0
  Market-implied relative monetary tightening shock, z-score [8] 0.7 -0.9 0.3 -0.5   0.1   0.2 -0.1
  Market-implied relative growth shock, z-score [9] 0.8 -2.4 0.1 -0.5   -0.6   0.4 -0.2
Adjusted FX carry and underlying factors
  Nominal FX forward-based carry, %ar [10] 3.6 2.7 2.4 2.2   3.4   0.6 3.7
  Ratio of FX carry to annualized volatility [11] 0.3 0.3 0.3 0.3   0.3   0 0.5
  Real idiosyncratic FX carry, % [12] -1.1 -0.4 -0.5 -0.6   0.5   -2.9 0.2
  Excess broad inflation, % [13] 1.8 -0.1 -0.2 -0.2   0.2   0.5 0
  Excess private credit growth, % [14] 4.1 2.1 0.8 0.1   -0.7   5.9 3.1
Potential distress indicators
  Short-term echange rate volatility (% annualized) [15] 11.4 8.3 8.9 8.5   7   9.7 9.2
  Estimated G3 financial conditions impact [16] -2.2 2.1 0.5 -3.2   3.1   -3.4 -0.1
  Est. market distortion payback (relative to other EMFX) [17] 0 0 -0.1 -0.1   0   -0.1 -0.1
[1] Real effective exchange rate, % change versus previous 5-years’ moving average.
[2] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average.
[3] Estimated concurrent GDP growth, 3-month average, %oya, relative to base (US, euro area, or both).
[4] Same as above but scaled by a factor that measures the sensitivity of currencies to growth differentials.
[5] Estimated GDP growth versus potential, 3-month average, %oya, relative to base (US, euro area, or both).
[6] Nominal policy rate differential over base currency, difference versus previous 3 month-average, winsorized at 200 bps.
[7] Change in vol-adjusted policy-controlled rate differential versus previous 3-m average, winsorized at 0.5.
[8] Relative tightening signal versus base curency area (U.S./euro area) , estimated through various asset markets, past month, z-score.
[9] Relative positive growth shock over base curency area (U.S. /euro area) , estimated through various asset markets, past month, z-score.
[10] Forward implied carry, based on average of last 5 days of the month.
[11] Same as above, divided by anualized exchange rate volatility, based on 11-day half-time lookback.
[12] Real hedged FX forward-implied carry, adjusted for inflation expectation differential to base, winsorized at 500bps.
[13] Broad (50% headline/ 50% core) annual inflation over target, %-points.
[14] Excess private credit growth over estimated nominal GDP trend growth, %oya, 3-month average.
[15] Annualized standard deviation of FX forward return, based on 11 days half time.
[16] G3 equity-duration-based financial conditions improvement, last month, estimated impact on currency positions.
[17] Payback for estimated relative distortions across EMFX currencies induced by mechanical benchmark correlations.

3 Colombian peso (COP)

Colombian peso: macro trend indicators as of 2017-02-28
COP versus USD   for comparison   historic references
12m ago 3m ago 1m ago latest   EM20 group   2003-2009 2010-2016
Competitiveness indicators
  Real FX appreciation over medium-term average, % [1] -28.2 -18.4 -11.7 -10.2   -1.2   4.7 -2.6
  External basic balance, % of GDP [2] -3.4 -1.1 -1.1 -1.1   2.1   0.8 -1.2
  Estimated GDP growth trend relative to base, % [3] 2.2 0.6 -0.1 -0.1   0.9   2.9 2.2
  Relative GDP trend adjusted for currency sensitivity, % [4] 7.3 2 -0.2 -0.4   0.8   9.5 7.2
  Estimated excess GDP growth trend relative to base, % [5] -0.5 -2.1 -2.7 -2.7   -1.2   1.9 -0.6
Policy and market signals
  Relative short-term interest rate increase, %-points [6] 0.4 -0.2 -0.3 -0.4   -0.1   0 0.1
  Vol-adjusted relative rate increase, %-points [7] 0 -0.1 0.2 0.2   0.1   0 0
  Market-implied relative monetary tightening shock, z-score [8] -0.3 -0.4 0.8 -0.9   0.1   0 -0.1
  Market-implied relative growth shock, z-score [9] 1 -2.4 0.5 -2.2   -0.6   0.4 -0.3
Adjusted FX carry and underlying factors
  Nominal FX forward-based carry, %ar [10] 4.9 7.3 6.2 5.8   3.4   4.6 2.7
  Ratio of FX carry to annualized volatility [11] 0.3 0.4 0.6 0.6   0.3   0.6 0.3
  Real idiosyncratic FX carry, % [12] -3.1 1.6 0.8 0.3   0.5   -0.4 -1
  Excess broad inflation, % [13] 3.6 3.3 2.8 2.6   0.2   0.7 0.6
  Excess private credit growth, % [14] 9.1 0.5 -0.4 -0.7   -0.7   9.3 7.2
Potential distress indicators
  Short-term echange rate volatility (% annualized) [15] 18.6 20.3 10 9.5   7   10.2 10.6
  Estimated G3 financial conditions impact [16] -12.8 -2.6 -1.1 3.8   3.1   -0.8 -2.3
  Est. market distortion payback (relative to other EMFX) [17] 0.3 0.1 -0.4 -0.6   0   0 0
[1] Real effective exchange rate, % change versus previous 5-years’ moving average.
[2] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average.
[3] Estimated concurrent GDP growth, 3-month average, %oya, relative to base (US, euro area, or both).
[4] Same as above but scaled by a factor that measures the sensitivity of currencies to growth differentials.
[5] Estimated GDP growth versus potential, 3-month average, %oya, relative to base (US, euro area, or both).
[6] Nominal policy rate differential over base currency, difference versus previous 3 month-average, winsorized at 200 bps.
[7] Change in vol-adjusted policy-controlled rate differential versus previous 3-m average, winsorized at 0.5.
[8] Relative tightening signal versus base curency area (U.S./euro area) , estimated through various asset markets, past month, z-score.
[9] Relative positive growth shock over base curency area (U.S. /euro area) , estimated through various asset markets, past month, z-score.
[10] Forward implied carry, based on average of last 5 days of the month.
[11] Same as above, divided by anualized exchange rate volatility, based on 11-day half-time lookback.
[12] Real hedged FX forward-implied carry, adjusted for inflation expectation differential to base, winsorized at 500bps.
[13] Broad (50% headline/ 50% core) annual inflation over target, %-points.
[14] Excess private credit growth over estimated nominal GDP trend growth, %oya, 3-month average.
[15] Annualized standard deviation of FX forward return, based on 11 days half time.
[16] G3 equity-duration-based financial conditions improvement, last month, estimated impact on currency positions.
[17] Payback for estimated relative distortions across EMFX currencies induced by mechanical benchmark correlations.

4 Mexican peso (MXN)

Mexican peso: macro trend indicators as of 2017-02-28
MXN versus USD   for comparison   historic references
12m ago 3m ago 1m ago latest   EM20 group   2003-2009 2010-2016
Competitiveness indicators
  Real FX appreciation over medium-term average, % [1] -16.9 -20.4 -23.5 -18.5   -1.2   -5.9 -4.7
  External basic balance, % of GDP [2] -0.7 -0.5 -0.1 -0.1   2.1   1.1 -0.5
  Estimated GDP growth trend relative to base, % [3] 0.6 0.4 0.4 0.5   0.9   0.3 1
  Relative GDP trend adjusted for currency sensitivity, % [4] 1 0.8 0.7 0.9   0.8   0.5 1.7
  Estimated excess GDP growth trend relative to base, % [5] -0.6 -0.7 -0.8 -0.7   -1.2   0.2 0.1
Policy and market signals
  Relative short-term interest rate increase, %-points [6] 0.5 0.6 0.4 0.6   -0.1   0 0
  Vol-adjusted relative rate increase, %-points [7] -0.1 -0.1 0 0.1   0.1   0 0
  Market-implied relative monetary tightening shock, z-score [8] 2.1 0 -0.9 1.4   0.1   -0.1 -0.1
  Market-implied relative growth shock, z-score [9] 2.1 -2 -0.8 0   -0.6   0.1 -0.3
Adjusted FX carry and underlying factors
  Nominal FX forward-based carry, %ar [10] 3.2 4.5 5.4 5.4   3.4   4.7 3.2
  Ratio of FX carry to annualized volatility [11] 0.2 0.2 0.3 0.4   0.3   0.6 0.3
  Real idiosyncratic FX carry, % [12] -2.1 -0.7 0.2 -0.1   0.5   1.2 -1.9
  Excess broad inflation, % [13] -0.2 0.3 1.3 1.5   0.2   1.3 0.4
  Excess private credit growth, % [14] 8.7 9.6 10.1 10   -0.7   4.5 4.6
Potential distress indicators
  Short-term echange rate volatility (% annualized) [15] 15.6 25.4 18.3 14.3   7   8.9 10.7
  Estimated G3 financial conditions impact [16] -6.1 3.3 0.2 -0.4   3.1   1.3 -3.8
  Est. market distortion payback (relative to other EMFX) [17] 0.2 0.1 -0.6 -0.9   0   -0.1 -0.2
[1] Real effective exchange rate, % change versus previous 5-years’ moving average.
[2] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average.
[3] Estimated concurrent GDP growth, 3-month average, %oya, relative to base (US, euro area, or both).
[4] Same as above but scaled by a factor that measures the sensitivity of currencies to growth differentials.
[5] Estimated GDP growth versus potential, 3-month average, %oya, relative to base (US, euro area, or both).
[6] Nominal policy rate differential over base currency, difference versus previous 3 month-average, winsorized at 200 bps.
[7] Change in vol-adjusted policy-controlled rate differential versus previous 3-m average, winsorized at 0.5.
[8] Relative tightening signal versus base curency area (U.S./euro area) , estimated through various asset markets, past month, z-score.
[9] Relative positive growth shock over base curency area (U.S. /euro area) , estimated through various asset markets, past month, z-score.
[10] Forward implied carry, based on average of last 5 days of the month.
[11] Same as above, divided by anualized exchange rate volatility, based on 11-day half-time lookback.
[12] Real hedged FX forward-implied carry, adjusted for inflation expectation differential to base, winsorized at 500bps.
[13] Broad (50% headline/ 50% core) annual inflation over target, %-points.
[14] Excess private credit growth over estimated nominal GDP trend growth, %oya, 3-month average.
[15] Annualized standard deviation of FX forward return, based on 11 days half time.
[16] G3 equity-duration-based financial conditions improvement, last month, estimated impact on currency positions.
[17] Payback for estimated relative distortions across EMFX currencies induced by mechanical benchmark correlations.

5 Peruvian sol (PEN)

Peruvian sol: macro trend indicators as of 2017-02-28
PEN versus USD   for comparison   historic references
12m ago 3m ago 1m ago latest   EM20 group   2003-2009 2010-2016
Competitiveness indicators
  Real FX appreciation over medium-term average, % [1] -5 -1.9 0.5 1.6   -1.2   -1.6 2.1
  External basic balance, % of GDP [2] -1.3 -0.2 0.7 1.1   2.1   3.2 1.2
  Estimated GDP growth trend relative to base, % [3] 2.9 2.9 2.1 1.1   0.9   4.3 3.1
  Relative GDP trend adjusted for currency sensitivity, % [4] 6.6 6.6 4.8 2.4   0.8   9.9 7.2
  Estimated excess GDP growth trend relative to base, % [5] -1.7 -1.7 -1.5 -2.6   -1.2   2.4 -1.8
Policy and market signals
  Relative short-term interest rate increase, %-points [6] 1.1 0 -0.2 -0.1   -0.1   0 0.1
  Vol-adjusted relative rate increase, %-points [7] 0.3 0 -0.1 0   0.1   0 0
  Market-implied relative monetary tightening shock, z-score [8] -0.9 1.6 -0.1 0.2   0.1   0.1 0.1
  Market-implied relative growth shock, z-score [9] 1.1 1.1 0.1 -0.8   -0.6   0.3 -0.1
Adjusted FX carry and underlying factors
  Nominal FX forward-based carry, %ar [10] 5.3 6.5 6.6 4.4   3.4   0.8 3.6
  Ratio of FX carry to annualized volatility [11] 1.5 1 1.1 0.7   0.3   0.3 0.9
  Real idiosyncratic FX carry, % [12] 3.4 5 5 3   0.5   0.1 2
  Excess broad inflation, % [13] 2.4 1.6 1.5 1.4   0.2   0.3 1.2
  Excess private credit growth, % [14] 7.1 -3.1 -3.8 -4.5   -0.7   5.2 5.3
Potential distress indicators
  Short-term echange rate volatility (% annualized) [15] 3.5 6.2 6 6   7   3.7 4
  Estimated G3 financial conditions impact [16] 11.4 -17.4 -3.7 17.2   3.1   1.8 2.9
  Est. market distortion payback (relative to other EMFX) [17] -0.3 -0.1 0.3 0.4   0   0.2 0.1
[1] Real effective exchange rate, % change versus previous 5-years’ moving average.
[2] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average.
[3] Estimated concurrent GDP growth, 3-month average, %oya, relative to base (US, euro area, or both).
[4] Same as above but scaled by a factor that measures the sensitivity of currencies to growth differentials.
[5] Estimated GDP growth versus potential, 3-month average, %oya, relative to base (US, euro area, or both).
[6] Nominal policy rate differential over base currency, difference versus previous 3 month-average, winsorized at 200 bps.
[7] Change in vol-adjusted policy-controlled rate differential versus previous 3-m average, winsorized at 0.5.
[8] Relative tightening signal versus base curency area (U.S./euro area) , estimated through various asset markets, past month, z-score.
[9] Relative positive growth shock over base curency area (U.S. /euro area) , estimated through various asset markets, past month, z-score.
[10] Forward implied carry, based on average of last 5 days of the month.
[11] Same as above, divided by anualized exchange rate volatility, based on 11-day half-time lookback.
[12] Real hedged FX forward-implied carry, adjusted for inflation expectation differential to base, winsorized at 500bps.
[13] Broad (50% headline/ 50% core) annual inflation over target, %-points.
[14] Excess private credit growth over estimated nominal GDP trend growth, %oya, 3-month average.
[15] Annualized standard deviation of FX forward return, based on 11 days half time.
[16] G3 equity-duration-based financial conditions improvement, last month, estimated impact on currency positions.
[17] Payback for estimated relative distortions across EMFX currencies induced by mechanical benchmark correlations.

6 Czech koruna (CZK)

Czech koruna: macro trend indicators as of 2017-02-28
CZK versus EUR   for comparison   historic references
12m ago 3m ago 1m ago latest   EM20 group   2003-2009 2010-2016
Competitiveness indicators
  Real FX appreciation over medium-term average, % [1] -4 -2.9 -1.9 -2.2   -1.2   11.6 -2.6
  External basic balance, % of GDP [2] 1.1 2.3 2.7 2.1   2.1   0.3 0.2
  Estimated GDP growth trend relative to base, % [3] 3.4 0.4 0.3 0.5   0.9   2.9 0.8
  Relative GDP trend adjusted for currency sensitivity, % [4] 2.6 0.3 0.3 0.4   0.8   2.2 0.6
  Estimated excess GDP growth trend relative to base, % [5] 2.7 -0.3 -0.9 -0.7   -1.2   1 0.1
Policy and market signals
  Relative short-term interest rate increase, %-points [6] 0.1 0 0 0   -0.1   0 0
  Vol-adjusted relative rate increase, %-points [7] 0 -0.3 -0.1 0.5   0.1   0 0
  Market-implied relative monetary tightening shock, z-score [8] -0.3 -0.1 0.8 0   0.1   0.1 0
  Market-implied relative growth shock, z-score [9] -1.3 -1.2 1.5 -0.2   -0.6   0.2 -0.2
Adjusted FX carry and underlying factors
  Nominal FX forward-based carry, %ar [10] 0.3 -1 -0.4 -0.5   3.4   -0.2 0
  Ratio of FX carry to annualized volatility [11] 0.2 -2 -1 -2   0.3   0 0
  Real idiosyncratic FX carry, % [12] 0.2 -1.2 -0.8 -0.8   0.5   -1.1 -0.5
  Excess broad inflation, % [13] -1.6 -1.4 -0.4 -0.2   0.2   -1.5 -1.1
  Excess private credit growth, % [14] 4 4.5 4.6 4.9   -0.7   8.8 1.1
Potential distress indicators
  Short-term echange rate volatility (% annualized) [15] 1.3 0.4 0.4 0.2   7   9.1 6.2
  Estimated G3 financial conditions impact [16] -0.5 1.7 0.9 -4.2   3.1   -0.2 -0.9
  Est. market distortion payback (relative to other EMFX) [17] -0.3 -0.1 0.5 0.7   0   0.1 0.1
[1] Real effective exchange rate, % change versus previous 5-years’ moving average.
[2] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average.
[3] Estimated concurrent GDP growth, 3-month average, %oya, relative to base (US, euro area, or both).
[4] Same as above but scaled by a factor that measures the sensitivity of currencies to growth differentials.
[5] Estimated GDP growth versus potential, 3-month average, %oya, relative to base (US, euro area, or both).
[6] Nominal policy rate differential over base currency, difference versus previous 3 month-average, winsorized at 200 bps.
[7] Change in vol-adjusted policy-controlled rate differential versus previous 3-m average, winsorized at 0.5.
[8] Relative tightening signal versus base curency area (U.S./euro area) , estimated through various asset markets, past month, z-score.
[9] Relative positive growth shock over base curency area (U.S. /euro area) , estimated through various asset markets, past month, z-score.
[10] Forward implied carry, based on average of last 5 days of the month.
[11] Same as above, divided by anualized exchange rate volatility, based on 11-day half-time lookback.
[12] Real hedged FX forward-implied carry, adjusted for inflation expectation differential to base, winsorized at 500bps.
[13] Broad (50% headline/ 50% core) annual inflation over target, %-points.
[14] Excess private credit growth over estimated nominal GDP trend growth, %oya, 3-month average.
[15] Annualized standard deviation of FX forward return, based on 11 days half time.
[16] G3 equity-duration-based financial conditions improvement, last month, estimated impact on currency positions.
[17] Payback for estimated relative distortions across EMFX currencies induced by mechanical benchmark correlations.

7 Hungarian forint (HUF)

Hungarian forint: macro trend indicators as of 2017-02-28
HUF versus EUR   for comparison   historic references
12m ago 3m ago 1m ago latest   EM20 group   2003-2009 2010-2016
Competitiveness indicators
  Real FX appreciation over medium-term average, % [1] -5.2 -3.2 -2.5 -2.7   -1.2   9.3 -4
  External basic balance, % of GDP [2] 6.6 6.4 6.5 6.4   2.1   -4.2 3.2
  Estimated GDP growth trend relative to base, % [3] 1.6 0 -0.1 0.3   0.9   1.2 0.8
  Relative GDP trend adjusted for currency sensitivity, % [4] 1.2 0 -0.1 0.2   0.8   0.8 0.5
  Estimated excess GDP growth trend relative to base, % [5] 1.2 -0.4 -0.9 -0.5   -1.2   0.3 0.7
Policy and market signals
  Relative short-term interest rate increase, %-points [6] 0.1 -0.3 -0.4 -0.2   -0.1   0 -0.1
  Vol-adjusted relative rate increase, %-points [7] 0 -0.1 -0.1 0   0.1   0 0
  Market-implied relative monetary tightening shock, z-score [8] -0.1 -0.9 0.1 0.3   0.1   0 -0.2
  Market-implied relative growth shock, z-score [9] 0 -0.8 0.7 -0.6   -0.6   0.1 -0.2
Adjusted FX carry and underlying factors
  Nominal FX forward-based carry, %ar [10] 1.5 1 0.4 0.3   3.4   5.7 3.1
  Ratio of FX carry to annualized volatility [11] 0.2 0.2 0.1 0.1   0.3   0.6 0.3
  Real idiosyncratic FX carry, % [12] -0.6 -0.5 -1 -1.3   0.5   2.1 0.7
  Excess broad inflation, % [13] -1.8 -1.8 -1.3 -0.8   0.2   0.5 -1.3
  Excess private credit growth, % [14] -14.2 -7.6 -6.8 -5.6   -0.7   13.6 -8.1
Potential distress indicators
  Short-term echange rate volatility (% annualized) [15] 6.3 4.6 3.8 3.2   7   11 9.9
  Estimated G3 financial conditions impact [16] -2.2 -0.3 0.5 -3.8   3.1   3.3 1.8
  Est. market distortion payback (relative to other EMFX) [17] -0.2 -0.1 0.4 0.4   0   0 0.1
[1] Real effective exchange rate, % change versus previous 5-years’ moving average.
[2] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average.
[3] Estimated concurrent GDP growth, 3-month average, %oya, relative to base (US, euro area, or both).
[4] Same as above but scaled by a factor that measures the sensitivity of currencies to growth differentials.
[5] Estimated GDP growth versus potential, 3-month average, %oya, relative to base (US, euro area, or both).
[6] Nominal policy rate differential over base currency, difference versus previous 3 month-average, winsorized at 200 bps.
[7] Change in vol-adjusted policy-controlled rate differential versus previous 3-m average, winsorized at 0.5.
[8] Relative tightening signal versus base curency area (U.S./euro area) , estimated through various asset markets, past month, z-score.
[9] Relative positive growth shock over base curency area (U.S. /euro area) , estimated through various asset markets, past month, z-score.
[10] Forward implied carry, based on average of last 5 days of the month.
[11] Same as above, divided by anualized exchange rate volatility, based on 11-day half-time lookback.
[12] Real hedged FX forward-implied carry, adjusted for inflation expectation differential to base, winsorized at 500bps.
[13] Broad (50% headline/ 50% core) annual inflation over target, %-points.
[14] Excess private credit growth over estimated nominal GDP trend growth, %oya, 3-month average.
[15] Annualized standard deviation of FX forward return, based on 11 days half time.
[16] G3 equity-duration-based financial conditions improvement, last month, estimated impact on currency positions.
[17] Payback for estimated relative distortions across EMFX currencies induced by mechanical benchmark correlations.

8 Israeli shekel (ILS)

Israeli shekel: macro trend indicators as of 2017-02-28
ILS versus USD   for comparison   historic references
12m ago 3m ago 1m ago latest   EM20 group   2003-2009 2010-2016
Competitiveness indicators
  Real FX appreciation over medium-term average, % [1] 2.3 4.5 6.6 8.4   -1.2   -5.3 3.3
  External basic balance, % of GDP [2] 6.5 5.5 4.5 3.9   2.1   3.3 4.3
  Estimated GDP growth trend relative to base, % [3] 0.2 2.3 2.3 2.9   0.9   2.3 1.7
  Relative GDP trend adjusted for currency sensitivity, % [4] 0.3 4.3 4.4 5.4   0.8   4.4 3.1
  Estimated excess GDP growth trend relative to base, % [5] -1.4 0.8 0.7 1.2   -1.2   1.1 -0.3
Policy and market signals
  Relative short-term interest rate increase, %-points [6] -0.1 -0.1 -0.1 -0.1   -0.1   -0.2 0
  Vol-adjusted relative rate increase, %-points [7] 0 0 0 0   0.1   0 0
  Market-implied relative monetary tightening shock, z-score [8] 0.3 0.8 0.3 1.4   0.1   -0.1 0
  Market-implied relative growth shock, z-score [9] 0.1 0.6 -1.3 0.7   -0.6   0.2 -0.2
Adjusted FX carry and underlying factors
  Nominal FX forward-based carry, %ar [10] -0.9 -0.8 -0.9 -0.9   3.4   1.4 0.5
  Ratio of FX carry to annualized volatility [11] -0.2 -0.2 -0.2 -0.2   0.3   0.2 0.1
  Real idiosyncratic FX carry, % [12] 0 -0.6 -0.5 -0.5   0.5   0 -0.6
  Excess broad inflation, % [13] -3.4 -2.6 -2.5 -2.1   0.2   -0.1 -1.1
  Excess private credit growth, % [14] 2.1 1.7 0.7 0.2   -0.7   1 -1
Potential distress indicators
  Short-term echange rate volatility (% annualized) [15] 5.1 5.1 4.6 4.7   7   7.6 6.7
  Estimated G3 financial conditions impact [16] 2.8 2.8 0.5 -2.6   3.1   0 -2
  Est. market distortion payback (relative to other EMFX) [17] -0.3 -0.1 0.3 0.4   0   -0.1 0
[1] Real effective exchange rate, % change versus previous 5-years’ moving average.
[2] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average.
[3] Estimated concurrent GDP growth, 3-month average, %oya, relative to base (US, euro area, or both).
[4] Same as above but scaled by a factor that measures the sensitivity of currencies to growth differentials.
[5] Estimated GDP growth versus potential, 3-month average, %oya, relative to base (US, euro area, or both).
[6] Nominal policy rate differential over base currency, difference versus previous 3 month-average, winsorized at 200 bps.
[7] Change in vol-adjusted policy-controlled rate differential versus previous 3-m average, winsorized at 0.5.
[8] Relative tightening signal versus base curency area (U.S./euro area) , estimated through various asset markets, past month, z-score.
[9] Relative positive growth shock over base curency area (U.S. /euro area) , estimated through various asset markets, past month, z-score.
[10] Forward implied carry, based on average of last 5 days of the month.
[11] Same as above, divided by anualized exchange rate volatility, based on 11-day half-time lookback.
[12] Real hedged FX forward-implied carry, adjusted for inflation expectation differential to base, winsorized at 500bps.
[13] Broad (50% headline/ 50% core) annual inflation over target, %-points.
[14] Excess private credit growth over estimated nominal GDP trend growth, %oya, 3-month average.
[15] Annualized standard deviation of FX forward return, based on 11 days half time.
[16] G3 equity-duration-based financial conditions improvement, last month, estimated impact on currency positions.
[17] Payback for estimated relative distortions across EMFX currencies induced by mechanical benchmark correlations.

9 Polish zloty (PLN)

Polish zloty: macro trend indicators as of 2017-02-28
PLN versus EUR   for comparison   historic references
12m ago 3m ago 1m ago latest   EM20 group   2003-2009 2010-2016
Competitiveness indicators
  Real FX appreciation over medium-term average, % [1] -7.7 -7.2 -5.7 -4.8   -1.2   2.4 -4.3
  External basic balance, % of GDP [2] 1.9 1.5 1.5 1.3   2.1   -1.5 -1.1
  Estimated GDP growth trend relative to base, % [3] 3.1 0.9 0.7 0.9   0.9   3.6 2.3
  Relative GDP trend adjusted for currency sensitivity, % [4] 4.3 1.3 1 1.3   0.8   5 3.2
  Estimated excess GDP growth trend relative to base, % [5] 1.3 -0.9 -1.5 -1.2   -1.2   1.4 -0.1
Policy and market signals
  Relative short-term interest rate increase, %-points [6] 0 0 0 0   -0.1   0 0
  Vol-adjusted relative rate increase, %-points [7] 0 -0.1 0.1 0.1   0.1   0 0
  Market-implied relative monetary tightening shock, z-score [8] 0.6 -1.3 1.5 -0.4   0.1   0.1 -0.1
  Market-implied relative growth shock, z-score [9] 1.9 -1.5 3.2 0.5   -0.6   0.1 -0.2
Adjusted FX carry and underlying factors
  Nominal FX forward-based carry, %ar [10] 1.5 2.4 1.9 2.1   3.4   2.3 2.7
  Ratio of FX carry to annualized volatility [11] 0.2 0.4 0.5 0.5   0.3   0.2 0.3
  Real idiosyncratic FX carry, % [12] -0.2 1 0.5 0.5   0.5   0.1 0.2
  Excess broad inflation, % [13] -3 -2.7 -2.1 -1.5   0.2   -0.7 -1.2
  Excess private credit growth, % [14] 2.8 0.6 0.9 0.4   -0.7   11.6 1.3
Potential distress indicators
  Short-term echange rate volatility (% annualized) [15] 7.9 6.2 4.1 4.2   7   11.1 9.3
  Estimated G3 financial conditions impact [16] 0 -5.2 -0.9 4.2   3.1   -0.2 0.1
  Est. market distortion payback (relative to other EMFX) [17] -0.1 0 0.1 0.1   0   -0.1 0
[1] Real effective exchange rate, % change versus previous 5-years’ moving average.
[2] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average.
[3] Estimated concurrent GDP growth, 3-month average, %oya, relative to base (US, euro area, or both).
[4] Same as above but scaled by a factor that measures the sensitivity of currencies to growth differentials.
[5] Estimated GDP growth versus potential, 3-month average, %oya, relative to base (US, euro area, or both).
[6] Nominal policy rate differential over base currency, difference versus previous 3 month-average, winsorized at 200 bps.
[7] Change in vol-adjusted policy-controlled rate differential versus previous 3-m average, winsorized at 0.5.
[8] Relative tightening signal versus base curency area (U.S./euro area) , estimated through various asset markets, past month, z-score.
[9] Relative positive growth shock over base curency area (U.S. /euro area) , estimated through various asset markets, past month, z-score.
[10] Forward implied carry, based on average of last 5 days of the month.
[11] Same as above, divided by anualized exchange rate volatility, based on 11-day half-time lookback.
[12] Real hedged FX forward-implied carry, adjusted for inflation expectation differential to base, winsorized at 500bps.
[13] Broad (50% headline/ 50% core) annual inflation over target, %-points.
[14] Excess private credit growth over estimated nominal GDP trend growth, %oya, 3-month average.
[15] Annualized standard deviation of FX forward return, based on 11 days half time.
[16] G3 equity-duration-based financial conditions improvement, last month, estimated impact on currency positions.
[17] Payback for estimated relative distortions across EMFX currencies induced by mechanical benchmark correlations.

10 Romanian leu (RON)

Romanian leu: macro trend indicators as of 2017-02-28
RON versus EUR   for comparison   historic references
12m ago 3m ago 1m ago latest   EM20 group   2003-2009 2010-2016
Competitiveness indicators
  Real FX appreciation over medium-term average, % [1] -2.3 -3.4 -3.1 -4   -1.2   9.4 -2.3
  External basic balance, % of GDP [2] 0.4 -0.2 -0.7 -0.4   2.1   -4.2 -1.1
  Estimated GDP growth trend relative to base, % [3] 2.5 3.8 2.3 2.6   0.9   4.2 1.2
  Relative GDP trend adjusted for currency sensitivity, % [4] 3.7 5.6 3.5 3.8   0.8   6.2 1.7
  Estimated excess GDP growth trend relative to base, % [5] 1.4 2.7 0.2 0.4   -1.2   1.1 -1.7
Policy and market signals
  Relative short-term interest rate increase, %-points [6] 0 0.1 -0.1 0   -0.1   0 -0.2
  Vol-adjusted relative rate increase, %-points [7] -0.1 0 -0.1 -0.1   0.1   0 0
  Market-implied relative monetary tightening shock, z-score [8] 1.6 0.2 0.4 -1   0.1   -0.2 -0.2
  Market-implied relative growth shock, z-score [9] 2.8 0.3 2.2 -0.3   -0.6   -0.2 -0.2
Adjusted FX carry and underlying factors
  Nominal FX forward-based carry, %ar [10] 0.7 0.9 0.8 0.8   3.4   7.1 2.8
  Ratio of FX carry to annualized volatility [11] 0.2 0.4 0.2 0.2   0.3   0.7 0.5
  Real idiosyncratic FX carry, % [12] -0.4 0.6 0.8 0.9   0.5   0.7 1
  Excess broad inflation, % [13] -1.2 -2.3 -2.5 -2.2   0.2   0.8 -0.2
  Excess private credit growth, % [14] -1.8 -2.7 -3.1 -3.4   -0.7   34.9 -5.4
Potential distress indicators
  Short-term echange rate volatility (% annualized) [15] 2.9 2.5 3.4 3.9   7   9.9 6.1
  Estimated G3 financial conditions impact [16] -2.9 -2.5 -0.6 4   3.1   0.4 3.1
  Est. market distortion payback (relative to other EMFX) [17] -0.3 -0.1 0.4 0.7   0   0.2 0.1
[1] Real effective exchange rate, % change versus previous 5-years’ moving average.
[2] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average.
[3] Estimated concurrent GDP growth, 3-month average, %oya, relative to base (US, euro area, or both).
[4] Same as above but scaled by a factor that measures the sensitivity of currencies to growth differentials.
[5] Estimated GDP growth versus potential, 3-month average, %oya, relative to base (US, euro area, or both).
[6] Nominal policy rate differential over base currency, difference versus previous 3 month-average, winsorized at 200 bps.
[7] Change in vol-adjusted policy-controlled rate differential versus previous 3-m average, winsorized at 0.5.
[8] Relative tightening signal versus base curency area (U.S./euro area) , estimated through various asset markets, past month, z-score.
[9] Relative positive growth shock over base curency area (U.S. /euro area) , estimated through various asset markets, past month, z-score.
[10] Forward implied carry, based on average of last 5 days of the month.
[11] Same as above, divided by anualized exchange rate volatility, based on 11-day half-time lookback.
[12] Real hedged FX forward-implied carry, adjusted for inflation expectation differential to base, winsorized at 500bps.
[13] Broad (50% headline/ 50% core) annual inflation over target, %-points.
[14] Excess private credit growth over estimated nominal GDP trend growth, %oya, 3-month average.
[15] Annualized standard deviation of FX forward return, based on 11 days half time.
[16] G3 equity-duration-based financial conditions improvement, last month, estimated impact on currency positions.
[17] Payback for estimated relative distortions across EMFX currencies induced by mechanical benchmark correlations.

11 Russian ruble (RUB)

Russian ruble: macro trend indicators as of 2017-02-28
RUB versus EUR-USD   for comparison   historic references
12m ago 3m ago 1m ago latest   EM20 group   2003-2009 2010-2016
Competitiveness indicators
  Real FX appreciation over medium-term average, % [1] -31.2 -10.6 -1.1 1.7   -1.2   16.3 -2.7
  External basic balance, % of GDP [2] 3.5 0.1 0.3 0.4   2.1   8.2 3.1
  Estimated GDP growth trend relative to base, % [3] -5.1 -1.9 -1.8 -1.8   0.9   3.9 0
  Relative GDP trend adjusted for currency sensitivity, % [4] -11.6 -4.4 -4.2 -4   0.8   8.9 0
  Estimated excess GDP growth trend relative to base, % [5] -6.5 -3.3 -2.3 -2.2   -1.2   0.4 -3.6
Policy and market signals
  Relative short-term interest rate increase, %-points [6] -0.2 0 -0.2 0   -0.1   -0.2 -0.1
  Vol-adjusted relative rate increase, %-points [7] -0.2 -0.2 0.1 0.1   0.1   0 0
  Market-implied relative monetary tightening shock, z-score [8] -0.4 -0.4 -0.9 1.1   0.1   0 -0.1
  Market-implied relative growth shock, z-score [9] 0.5 0.3 -1.3 -0.9   -0.6   0 -0.1
Adjusted FX carry and underlying factors
  Nominal FX forward-based carry, %ar [10] 10.2 9.3 9.2 9.5   3.4   4.4 7.8
  Ratio of FX carry to annualized volatility [11] 0.3 0.6 0.8 0.7   0.3   0.4 0.6
  Real idiosyncratic FX carry, % [12] -3.1 1.1 2.1 2.9   0.5   -3.9 -1
  Excess broad inflation, % [13] 6.2 2.2 1.7 1.3   0.2   -0.6 2.1
  Excess private credit growth, % [14] 3.2 -5.6 -8.3 -8.5   -0.7   24.9 3.3
Potential distress indicators
  Short-term echange rate volatility (% annualized) [15] 31.2 15.8 12.3 13.2   7   5.8 13.9
  Estimated G3 financial conditions impact [16] -14.5 -6.3 -2.1 14.4   3.1   -2.5 -2.1
  Est. market distortion payback (relative to other EMFX) [17] 0.7 0.2 -0.7 -0.9   0   0.2 0
[1] Real effective exchange rate, % change versus previous 5-years’ moving average.
[2] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average.
[3] Estimated concurrent GDP growth, 3-month average, %oya, relative to base (US, euro area, or both).
[4] Same as above but scaled by a factor that measures the sensitivity of currencies to growth differentials.
[5] Estimated GDP growth versus potential, 3-month average, %oya, relative to base (US, euro area, or both).
[6] Nominal policy rate differential over base currency, difference versus previous 3 month-average, winsorized at 200 bps.
[7] Change in vol-adjusted policy-controlled rate differential versus previous 3-m average, winsorized at 0.5.
[8] Relative tightening signal versus base curency area (U.S./euro area) , estimated through various asset markets, past month, z-score.
[9] Relative positive growth shock over base curency area (U.S. /euro area) , estimated through various asset markets, past month, z-score.
[10] Forward implied carry, based on average of last 5 days of the month.
[11] Same as above, divided by anualized exchange rate volatility, based on 11-day half-time lookback.
[12] Real hedged FX forward-implied carry, adjusted for inflation expectation differential to base, winsorized at 500bps.
[13] Broad (50% headline/ 50% core) annual inflation over target, %-points.
[14] Excess private credit growth over estimated nominal GDP trend growth, %oya, 3-month average.
[15] Annualized standard deviation of FX forward return, based on 11 days half time.
[16] G3 equity-duration-based financial conditions improvement, last month, estimated impact on currency positions.
[17] Payback for estimated relative distortions across EMFX currencies induced by mechanical benchmark correlations.

12 Turkish lira (TRY)

Turkish lira: macro trend indicators as of 2017-02-28
TRY versus EUR-USD   for comparison   historic references
12m ago 3m ago 1m ago latest   EM20 group   2003-2009 2010-2016
Competitiveness indicators
  Real FX appreciation over medium-term average, % [1] -5.1 -9.7 -16.7 -14   -1.2   8.3 -3.8
  External basic balance, % of GDP [2] -4.9 -5 -5 -5.2   2.1   -5.1 -6.5
  Estimated GDP growth trend relative to base, % [3] 2.9 -0.6 -1.2 -0.1   0.9   3.1 3.8
  Relative GDP trend adjusted for currency sensitivity, % [4] 6.7 -1.3 -2.7 -0.2   0.8   7 8.6
  Estimated excess GDP growth trend relative to base, % [5] 0 -3.5 -4.1 -3   -1.2   1.2 0.5
Policy and market signals
  Relative short-term interest rate increase, %-points [6] 0.2 0.2 2 1.2   -0.1   -0.6 0
  Vol-adjusted relative rate increase, %-points [7] -0.1 -0.2 -0.3 0   0.1   0 0
  Market-implied relative monetary tightening shock, z-score [8] -0.2 -0.2 -1.1 1.6   0.1   -0.2 -0.2
  Market-implied relative growth shock, z-score [9] 0.5 -1.7 0.9 1   -0.6   0 -0.3
Adjusted FX carry and underlying factors
  Nominal FX forward-based carry, %ar [10] 10.9 9 10.2 10.7   3.4   16.4 7.8
  Ratio of FX carry to annualized volatility [11] 0.9 0.9 0.5 0.7   0.3   1.3 0.8
  Real idiosyncratic FX carry, % [12] 0.8 1.8 3.3 3.2   0.5   3.7 0.7
  Excess broad inflation, % [13] 4.6 2.1 3 3.5   0.2   1.7 2
  Excess private credit growth, % [14] 9 -2 2.8 5.7   -0.7   23.4 15.5
Potential distress indicators
  Short-term echange rate volatility (% annualized) [15] 12.6 10.2 19.1 14.8   7   12.9 9.8
  Estimated G3 financial conditions impact [16] 4.6 -5.1 -2.1 13.7   3.1   1.9 0.8
  Est. market distortion payback (relative to other EMFX) [17] 0.2 0.1 -0.2 -0.3   0   -0.2 0
[1] Real effective exchange rate, % change versus previous 5-years’ moving average.
[2] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average.
[3] Estimated concurrent GDP growth, 3-month average, %oya, relative to base (US, euro area, or both).
[4] Same as above but scaled by a factor that measures the sensitivity of currencies to growth differentials.
[5] Estimated GDP growth versus potential, 3-month average, %oya, relative to base (US, euro area, or both).
[6] Nominal policy rate differential over base currency, difference versus previous 3 month-average, winsorized at 200 bps.
[7] Change in vol-adjusted policy-controlled rate differential versus previous 3-m average, winsorized at 0.5.
[8] Relative tightening signal versus base curency area (U.S./euro area) , estimated through various asset markets, past month, z-score.
[9] Relative positive growth shock over base curency area (U.S. /euro area) , estimated through various asset markets, past month, z-score.
[10] Forward implied carry, based on average of last 5 days of the month.
[11] Same as above, divided by anualized exchange rate volatility, based on 11-day half-time lookback.
[12] Real hedged FX forward-implied carry, adjusted for inflation expectation differential to base, winsorized at 500bps.
[13] Broad (50% headline/ 50% core) annual inflation over target, %-points.
[14] Excess private credit growth over estimated nominal GDP trend growth, %oya, 3-month average.
[15] Annualized standard deviation of FX forward return, based on 11 days half time.
[16] G3 equity-duration-based financial conditions improvement, last month, estimated impact on currency positions.
[17] Payback for estimated relative distortions across EMFX currencies induced by mechanical benchmark correlations.

13 South African rand (ZAR)

South African rand: macro trend indicators as of 2017-02-28
ZAR versus USD   for comparison   historic references
12m ago 3m ago 1m ago latest   EM20 group   2003-2009 2010-2016
Competitiveness indicators
  Real FX appreciation over medium-term average, % [1] -24.1 -5 0 2.4   -1.2   0.6 -6
  External basic balance, % of GDP [2] -5.2 -4.7 -4.3 -4   2.1   -2.6 -3.2
  Estimated GDP growth trend relative to base, % [3] -1.4 -1 -1.2 -1.2   0.9   2 0
  Relative GDP trend adjusted for currency sensitivity, % [4] -2.8 -1.9 -2.5 -2.4   0.8   4.1 0
  Estimated excess GDP growth trend relative to base, % [5] -2.3 -1.8 -1.8 -1.8   -1.2   0.8 -1.7
Policy and market signals
  Relative short-term interest rate increase, %-points [6] 0.2 -0.1 -0.1 -0.1   -0.1   -0.1 0
  Vol-adjusted relative rate increase, %-points [7] -0.1 -0.1 0.1 0.1   0.1   0 0
  Market-implied relative monetary tightening shock, z-score [8] 1 -0.8 -0.1 0.4   0.1   0 -0.1
  Market-implied relative growth shock, z-score [9] 0.7 -2.1 0.6 -1.6   -0.6   0.1 -0.3
Adjusted FX carry and underlying factors
  Nominal FX forward-based carry, %ar [10] 7.3 7.3 6.1 6.4   3.4   6.6 6
  Ratio of FX carry to annualized volatility [11] 0.3 0.3 0.4 0.5   0.3   0.4 0.4
  Real idiosyncratic FX carry, % [12] -1.9 -1.3 -1.5 -0.8   0.5   0.1 -1.5
  Excess broad inflation, % [13] 1.4 1.5 1.8 1.5   0.2   0.5 0.6
  Excess private credit growth, % [14] 2.1 -1.1 -2 -2.3   -0.7   8.6 -1.4
Potential distress indicators
  Short-term echange rate volatility (% annualized) [15] 23.5 24.1 15.1 13.6   7   17.4 14.7
  Estimated G3 financial conditions impact [16] -5.3 6.8 1.1 -5.5   3.1   0.1 -3.3
  Est. market distortion payback (relative to other EMFX) [17] 0.4 0.2 -0.8 -0.9   0   -0.1 -0.2
[1] Real effective exchange rate, % change versus previous 5-years’ moving average.
[2] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average.
[3] Estimated concurrent GDP growth, 3-month average, %oya, relative to base (US, euro area, or both).
[4] Same as above but scaled by a factor that measures the sensitivity of currencies to growth differentials.
[5] Estimated GDP growth versus potential, 3-month average, %oya, relative to base (US, euro area, or both).
[6] Nominal policy rate differential over base currency, difference versus previous 3 month-average, winsorized at 200 bps.
[7] Change in vol-adjusted policy-controlled rate differential versus previous 3-m average, winsorized at 0.5.
[8] Relative tightening signal versus base curency area (U.S./euro area) , estimated through various asset markets, past month, z-score.
[9] Relative positive growth shock over base curency area (U.S. /euro area) , estimated through various asset markets, past month, z-score.
[10] Forward implied carry, based on average of last 5 days of the month.
[11] Same as above, divided by anualized exchange rate volatility, based on 11-day half-time lookback.
[12] Real hedged FX forward-implied carry, adjusted for inflation expectation differential to base, winsorized at 500bps.
[13] Broad (50% headline/ 50% core) annual inflation over target, %-points.
[14] Excess private credit growth over estimated nominal GDP trend growth, %oya, 3-month average.
[15] Annualized standard deviation of FX forward return, based on 11 days half time.
[16] G3 equity-duration-based financial conditions improvement, last month, estimated impact on currency positions.
[17] Payback for estimated relative distortions across EMFX currencies induced by mechanical benchmark correlations.

14 Indonesian rupiah (IDR)

Indonesian rupiah: macro trend indicators as of 2017-02-28
IDR versus USD   for comparison   historic references
12m ago 3m ago 1m ago latest   EM20 group   2003-2009 2010-2016
Competitiveness indicators
  Real FX appreciation over medium-term average, % [1] -1.9 2.5 4.7 4.3   -1.2   8.6 -0.1
  External basic balance, % of GDP [2] -0.8 -0.5 -0.3 -0.4   2.1   1.8 -0.3
  Estimated GDP growth trend relative to base, % [3] 3.3 3.4 3.5 3   0.9   3.6 3.6
  Relative GDP trend adjusted for currency sensitivity, % [4] 7.5 7.6 7.9 6.9   0.8   8.2 8.1
  Estimated excess GDP growth trend relative to base, % [5] -0.9 -0.8 -0.5 -0.9   -1.2   1.1 -0.6
Policy and market signals
  Relative short-term interest rate increase, %-points [6] -1.6 -0.1 -1 -0.8   -0.1   -0.2 0
  Vol-adjusted relative rate increase, %-points [7] 0 -0.5 0 0.5   0.1   0 0
  Market-implied relative monetary tightening shock, z-score [8] 0.4 1.8 -1.6 -0.3   0.1   -0.2 -0.1
  Market-implied relative growth shock, z-score [9] 1.2 -0.2 -2.1 -0.8   -0.6   0.1 -0.2
Adjusted FX carry and underlying factors
  Nominal FX forward-based carry, %ar [10] 6.5 8.2 2.6 2.6   3.4   6.6 7.1
  Ratio of FX carry to annualized volatility [11] 0.7 0.7 0.4 0.7   0.3   1 1.1
  Real idiosyncratic FX carry, % [12] 2.4 5 -0.1 -0.2   0.5   0.6 1.8
  Excess broad inflation, % [13] 0 -0.7 -0.6 -0.4   0.2   0.5 -0.1
  Excess private credit growth, % [14] 0.7 -2.8 -2.5 -2.4   -0.7   11.5 6.5
Potential distress indicators
  Short-term echange rate volatility (% annualized) [15] 9.1 11.7 6.3 3.6   7   7.7 7.3
  Estimated G3 financial conditions impact [16] 9.8 -12.3 -2.2 4.2   3.1   1.5 2.3
  Est. market distortion payback (relative to other EMFX) [17] -0.1 -0.1 0.2 0.3   0   0 0.1
[1] Real effective exchange rate, % change versus previous 5-years’ moving average.
[2] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average.
[3] Estimated concurrent GDP growth, 3-month average, %oya, relative to base (US, euro area, or both).
[4] Same as above but scaled by a factor that measures the sensitivity of currencies to growth differentials.
[5] Estimated GDP growth versus potential, 3-month average, %oya, relative to base (US, euro area, or both).
[6] Nominal policy rate differential over base currency, difference versus previous 3 month-average, winsorized at 200 bps.
[7] Change in vol-adjusted policy-controlled rate differential versus previous 3-m average, winsorized at 0.5.
[8] Relative tightening signal versus base curency area (U.S./euro area) , estimated through various asset markets, past month, z-score.
[9] Relative positive growth shock over base curency area (U.S. /euro area) , estimated through various asset markets, past month, z-score.
[10] Forward implied carry, based on average of last 5 days of the month.
[11] Same as above, divided by anualized exchange rate volatility, based on 11-day half-time lookback.
[12] Real hedged FX forward-implied carry, adjusted for inflation expectation differential to base, winsorized at 500bps.
[13] Broad (50% headline/ 50% core) annual inflation over target, %-points.
[14] Excess private credit growth over estimated nominal GDP trend growth, %oya, 3-month average.
[15] Annualized standard deviation of FX forward return, based on 11 days half time.
[16] G3 equity-duration-based financial conditions improvement, last month, estimated impact on currency positions.
[17] Payback for estimated relative distortions across EMFX currencies induced by mechanical benchmark correlations.

15 Indian rupee (INR)

Indian rupee: macro trend indicators as of 2017-02-28
INR versus USD   for comparison   historic references
12m ago 3m ago 1m ago latest   EM20 group   2003-2009 2010-2016
Competitiveness indicators
  Real FX appreciation over medium-term average, % [1] 3.9 8.8 7.5 7.5   -1.2   1.3 5.5
  External basic balance, % of GDP [2] 0.3 1.8 1.4 1.4   2.1   0.2 -1.5
  Estimated GDP growth trend relative to base, % [3] 5.1 5 5.8 4.7   0.9   6.2 5.2
  Relative GDP trend adjusted for currency sensitivity, % [4] 13.1 13 14.9 12.2   0.8   16 13.5
  Estimated excess GDP growth trend relative to base, % [5] -0.5 -0.6 0.2 -0.9   -1.2   1.8 -1.1
Policy and market signals
  Relative short-term interest rate increase, %-points [6] 0 -0.4 -0.1 -0.1   -0.1   0 0
  Vol-adjusted relative rate increase, %-points [7] -0.3 -0.5 -0.2 0.4   0.1   0 0
  Market-implied relative monetary tightening shock, z-score [8] -0.5 -1.9 -0.4 1.2   0.1   -0.1 -0.1
  Market-implied relative growth shock, z-score [9] -2.3 -3.9 0.3 1.1   -0.6   0.2 -0.3
Adjusted FX carry and underlying factors
  Nominal FX forward-based carry, %ar [10] 8.4 3.9 4.4 3.8   3.4   3.6 6.7
  Ratio of FX carry to annualized volatility [11] 1.4 0.6 0.9 1   0.3   0.7 0.9
  Real idiosyncratic FX carry, % [12] 3.7 0.7 1.4 0.8   0.5   -1.4 -0.6
  Excess broad inflation, % [13] 1.1 0.5 0.1 0.1   0.2   -0.3 1.7
  Excess private credit growth, % [14] -0.6 -2.4 -6.3 -6.8   -0.7   8.6 -0.2
Potential distress indicators
  Short-term echange rate volatility (% annualized) [15] 6.1 6.2 5 3.7   7   5.3 7.9
  Estimated G3 financial conditions impact [16] 2.7 -5.8 -0.8 4.4   3.1   -1.4 -2.6
  Est. market distortion payback (relative to other EMFX) [17] -0.1 -0.1 0.2 0.3   0   0.1 0
[1] Real effective exchange rate, % change versus previous 5-years’ moving average.
[2] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average.
[3] Estimated concurrent GDP growth, 3-month average, %oya, relative to base (US, euro area, or both).
[4] Same as above but scaled by a factor that measures the sensitivity of currencies to growth differentials.
[5] Estimated GDP growth versus potential, 3-month average, %oya, relative to base (US, euro area, or both).
[6] Nominal policy rate differential over base currency, difference versus previous 3 month-average, winsorized at 200 bps.
[7] Change in vol-adjusted policy-controlled rate differential versus previous 3-m average, winsorized at 0.5.
[8] Relative tightening signal versus base curency area (U.S./euro area) , estimated through various asset markets, past month, z-score.
[9] Relative positive growth shock over base curency area (U.S. /euro area) , estimated through various asset markets, past month, z-score.
[10] Forward implied carry, based on average of last 5 days of the month.
[11] Same as above, divided by anualized exchange rate volatility, based on 11-day half-time lookback.
[12] Real hedged FX forward-implied carry, adjusted for inflation expectation differential to base, winsorized at 500bps.
[13] Broad (50% headline/ 50% core) annual inflation over target, %-points.
[14] Excess private credit growth over estimated nominal GDP trend growth, %oya, 3-month average.
[15] Annualized standard deviation of FX forward return, based on 11 days half time.
[16] G3 equity-duration-based financial conditions improvement, last month, estimated impact on currency positions.
[17] Payback for estimated relative distortions across EMFX currencies induced by mechanical benchmark correlations.

16 Korean won (KRW)

Korean won: macro trend indicators as of 2017-02-28
KRW versus USD   for comparison   historic references
12m ago 3m ago 1m ago latest   EM20 group   2003-2009 2010-2016
Competitiveness indicators
  Real FX appreciation over medium-term average, % [1] 0 3.9 3.9 6.5   -1.2   1.7 -0.2
  External basic balance, % of GDP [2] 9.2 8.1 8.2 8.1   2.1   1.8 6.3
  Estimated GDP growth trend relative to base, % [3] 1.2 1 0.1 0.4   0.9   2.1 1.5
  Relative GDP trend adjusted for currency sensitivity, % [4] 1.4 1.1 0.1 0.5   0.8   2.4 1.8
  Estimated excess GDP growth trend relative to base, % [5] -0.5 -0.7 -1.6 -1.2   -1.2   0.1 -0.4
Policy and market signals
  Relative short-term interest rate increase, %-points [6] -0.1 0 -0.2 -0.1   -0.1   0 0
  Vol-adjusted relative rate increase, %-points [7] 0 0 0 0   0.1   0 0
  Market-implied relative monetary tightening shock, z-score [8] -1.8 -0.1 1.3 0.5   0.1   0 -0.1
  Market-implied relative growth shock, z-score [9] -1.8 -1.3 1.8 -0.6   -0.6   0.1 -0.3
Adjusted FX carry and underlying factors
  Nominal FX forward-based carry, %ar [10] 1.1 0.2 -0.2 -0.2   3.4   0.2 1.7
  Ratio of FX carry to annualized volatility [11] 0.1 0 0 0   0.3   0.1 0.2
  Real idiosyncratic FX carry, % [12] -1.7 -2.3 -2.3 -2.7   0.5   -2.1 -1.4
  Excess broad inflation, % [13] -0.6 -0.4 -0.2 -0.4   0.2   0 -0.8
  Excess private credit growth, % [14] 1.9 2 2.3 2.4   -0.7   4.4 -1.7
Potential distress indicators
  Short-term echange rate volatility (% annualized) [15] 8.8 10.2 13.3 9.5   7   9.4 8.4
  Estimated G3 financial conditions impact [16] -6 10.7 1.9 -10.9   3.1   -2.3 -2.8
  Est. market distortion payback (relative to other EMFX) [17] 0 0 -0.1 -0.4   0   -0.1 -0.1
[1] Real effective exchange rate, % change versus previous 5-years’ moving average.
[2] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average.
[3] Estimated concurrent GDP growth, 3-month average, %oya, relative to base (US, euro area, or both).
[4] Same as above but scaled by a factor that measures the sensitivity of currencies to growth differentials.
[5] Estimated GDP growth versus potential, 3-month average, %oya, relative to base (US, euro area, or both).
[6] Nominal policy rate differential over base currency, difference versus previous 3 month-average, winsorized at 200 bps.
[7] Change in vol-adjusted policy-controlled rate differential versus previous 3-m average, winsorized at 0.5.
[8] Relative tightening signal versus base curency area (U.S./euro area) , estimated through various asset markets, past month, z-score.
[9] Relative positive growth shock over base curency area (U.S. /euro area) , estimated through various asset markets, past month, z-score.
[10] Forward implied carry, based on average of last 5 days of the month.
[11] Same as above, divided by anualized exchange rate volatility, based on 11-day half-time lookback.
[12] Real hedged FX forward-implied carry, adjusted for inflation expectation differential to base, winsorized at 500bps.
[13] Broad (50% headline/ 50% core) annual inflation over target, %-points.
[14] Excess private credit growth over estimated nominal GDP trend growth, %oya, 3-month average.
[15] Annualized standard deviation of FX forward return, based on 11 days half time.
[16] G3 equity-duration-based financial conditions improvement, last month, estimated impact on currency positions.
[17] Payback for estimated relative distortions across EMFX currencies induced by mechanical benchmark correlations.

17 Malaysian ringgit (MYR)

Malaysian ringgit: macro trend indicators as of 2017-02-28
MYR versus USD   for comparison   historic references
12m ago 3m ago 1m ago latest   EM20 group   2003-2009 2010-2016
Competitiveness indicators
  Real FX appreciation over medium-term average, % [1] -10.5 -10.8 -11.3 -11.2   -1.2   -1.4 -1.6
  External basic balance, % of GDP [2] 2.6 2.3 2.6 2.6   2.1   14.1 5.4
  Estimated GDP growth trend relative to base, % [3] 2.7 2.6 2.9 2.6   0.9   3.1 3.4
  Relative GDP trend adjusted for currency sensitivity, % [4] 1.7 1.7 1.9 1.7   0.8   2 2.2
  Estimated excess GDP growth trend relative to base, % [5] -1.1 -1.1 -0.7 -1   -1.2   -0.6 -0.3
Policy and market signals
  Relative short-term interest rate increase, %-points [6] -0.1 -0.1 -0.1 -0.1   -0.1   0 0
  Vol-adjusted relative rate increase, %-points [7] 0 -0.1 0.1 0.4   0.1   0 0
  Market-implied relative monetary tightening shock, z-score [8] -1.1 -1.2 -0.7 -0.7   0.1   0 0
  Market-implied relative growth shock, z-score [9] -1.3 -3 -0.6 -1.3   -0.6   0.2 -0.2
Adjusted FX carry and underlying factors
  Nominal FX forward-based carry, %ar [10] 0.9 8.3 0.3 2.6   3.4   0 2.1
  Ratio of FX carry to annualized volatility [11] 0.1 0.7 0 0.7   0.3   0.3 0.3
  Real idiosyncratic FX carry, % [12] -3.6 5 -1.4 0.6   0.5   -0.2 -0.3
  Excess broad inflation, % [13] -0.1 -1.3 -1.1 0.6   0.2   -1.2 -0.6
  Excess private credit growth, % [14] 1.2 -1.5 -1.3 -1.4   -0.7   -0.9 2.1
Potential distress indicators
  Short-term echange rate volatility (% annualized) [15] 13.3 12 5.9 3.5   7   3.1 8
  Estimated G3 financial conditions impact [16] -11.7 -3.7 -1.4 0.8   3.1   0.9 -0.9
  Est. market distortion payback (relative to other EMFX) [17] 0.1 0 0 0.2   0   0.2 0
[1] Real effective exchange rate, % change versus previous 5-years’ moving average.
[2] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average.
[3] Estimated concurrent GDP growth, 3-month average, %oya, relative to base (US, euro area, or both).
[4] Same as above but scaled by a factor that measures the sensitivity of currencies to growth differentials.
[5] Estimated GDP growth versus potential, 3-month average, %oya, relative to base (US, euro area, or both).
[6] Nominal policy rate differential over base currency, difference versus previous 3 month-average, winsorized at 200 bps.
[7] Change in vol-adjusted policy-controlled rate differential versus previous 3-m average, winsorized at 0.5.
[8] Relative tightening signal versus base curency area (U.S./euro area) , estimated through various asset markets, past month, z-score.
[9] Relative positive growth shock over base curency area (U.S. /euro area) , estimated through various asset markets, past month, z-score.
[10] Forward implied carry, based on average of last 5 days of the month.
[11] Same as above, divided by anualized exchange rate volatility, based on 11-day half-time lookback.
[12] Real hedged FX forward-implied carry, adjusted for inflation expectation differential to base, winsorized at 500bps.
[13] Broad (50% headline/ 50% core) annual inflation over target, %-points.
[14] Excess private credit growth over estimated nominal GDP trend growth, %oya, 3-month average.
[15] Annualized standard deviation of FX forward return, based on 11 days half time.
[16] G3 equity-duration-based financial conditions improvement, last month, estimated impact on currency positions.
[17] Payback for estimated relative distortions across EMFX currencies induced by mechanical benchmark correlations.

18 Philippine peso (PHP)

Philippine peso: macro trend indicators as of 2017-02-28
PHP versus USD   for comparison   historic references
12m ago 3m ago 1m ago latest   EM20 group   2003-2009 2010-2016
Competitiveness indicators
  Real FX appreciation over medium-term average, % [1] 4.4 0.6 1.2 -0.4   -1.2   3 6
  External basic balance, % of GDP [2] 2.6 1.1 0.7 0.5   2.1   2.8 3.3
  Estimated GDP growth trend relative to base, % [3] 4.6 5.3 5.2 4.7   0.9   3.1 4
  Relative GDP trend adjusted for currency sensitivity, % [4] 8.2 9.5 9.2 8.3   0.8   5.6 7.2
  Estimated excess GDP growth trend relative to base, % [5] 0 0.7 0.4 -0.1   -1.2   1.1 0.3
Policy and market signals
  Relative short-term interest rate increase, %-points [6] -0.1 -0.1 -0.1 -0.1   -0.1   0 0
  Vol-adjusted relative rate increase, %-points [7] 0 0 0 0.1   0.1   0 0
  Market-implied relative monetary tightening shock, z-score [8] -1.5 -0.6 -1.2 -0.7   0.1   -0.1 0
  Market-implied relative growth shock, z-score [9] -1.6 -2.6 -0.2 -1.7   -0.6   0.1 0
Adjusted FX carry and underlying factors
  Nominal FX forward-based carry, %ar [10] 2.7 4.9 2.2 4.2   3.4   4.6 1.3
  Ratio of FX carry to annualized volatility [11] 0.6 0.8 0.4 1   0.3   0.9 0.3
  Real idiosyncratic FX carry, % [12] 1 3.3 0.7 2.9   0.5   0.4 -1.7
  Excess broad inflation, % [13] -1.4 -0.7 -0.4 -0.4   0.2   0 -0.7
  Excess private credit growth, % [14] 4.8 7.9 8 7.8   -0.7   -2.2 5.3
Potential distress indicators
  Short-term echange rate volatility (% annualized) [15] 4.4 5.8 5.1 4   7   5.5 5.5
  Estimated G3 financial conditions impact [16] 10 -8.2 -1.9 10   3.1   1.7 -4.2
  Est. market distortion payback (relative to other EMFX) [17] -0.2 -0.1 0.3 0.5   0   0.1 0
[1] Real effective exchange rate, % change versus previous 5-years’ moving average.
[2] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average.
[3] Estimated concurrent GDP growth, 3-month average, %oya, relative to base (US, euro area, or both).
[4] Same as above but scaled by a factor that measures the sensitivity of currencies to growth differentials.
[5] Estimated GDP growth versus potential, 3-month average, %oya, relative to base (US, euro area, or both).
[6] Nominal policy rate differential over base currency, difference versus previous 3 month-average, winsorized at 200 bps.
[7] Change in vol-adjusted policy-controlled rate differential versus previous 3-m average, winsorized at 0.5.
[8] Relative tightening signal versus base curency area (U.S./euro area) , estimated through various asset markets, past month, z-score.
[9] Relative positive growth shock over base curency area (U.S. /euro area) , estimated through various asset markets, past month, z-score.
[10] Forward implied carry, based on average of last 5 days of the month.
[11] Same as above, divided by anualized exchange rate volatility, based on 11-day half-time lookback.
[12] Real hedged FX forward-implied carry, adjusted for inflation expectation differential to base, winsorized at 500bps.
[13] Broad (50% headline/ 50% core) annual inflation over target, %-points.
[14] Excess private credit growth over estimated nominal GDP trend growth, %oya, 3-month average.
[15] Annualized standard deviation of FX forward return, based on 11 days half time.
[16] G3 equity-duration-based financial conditions improvement, last month, estimated impact on currency positions.
[17] Payback for estimated relative distortions across EMFX currencies induced by mechanical benchmark correlations.

19 Thai baht (THB)

Thai baht: macro trend indicators as of 2017-02-28
THB versus USD   for comparison   historic references
12m ago 3m ago 1m ago latest   EM20 group   2003-2009 2010-2016
Competitiveness indicators
  Real FX appreciation over medium-term average, % [1] -1.9 -1.1 0 0   -1.2   3.6 2
  External basic balance, % of GDP [2] 9 10.9 10.5 10.7   2.1   5 4.4
  Estimated GDP growth trend relative to base, % [3] 0.9 1.3 1.4 1   0.9   2.5 1.6
  Relative GDP trend adjusted for currency sensitivity, % [4] 1.1 1.7 1.7 1.3   0.8   3.2 2
  Estimated excess GDP growth trend relative to base, % [5] -0.4 0 0.2 -0.2   -1.2   -0.2 -0.6
Policy and market signals
  Relative short-term interest rate increase, %-points [6] -0.1 -0.1 -0.1 -0.1   -0.1   0 0
  Vol-adjusted relative rate increase, %-points [7] -0.1 0 0 0.1   0.1   0 0
  Market-implied relative monetary tightening shock, z-score [8] -0.5 0 -0.2 -0.2   0.1   0.1 0
  Market-implied relative growth shock, z-score [9] 0.4 -0.6 -0.1 -1.3   -0.6   0.2 0
Adjusted FX carry and underlying factors
  Nominal FX forward-based carry, %ar [10] 0.7 0.6 0.3 0.4   3.4   2.2 2.1
  Ratio of FX carry to annualized volatility [11] 0.2 0.1 0.1 0.2   0.3   0.3 0.5
  Real idiosyncratic FX carry, % [12] -0.4 -0.2 -0.5 -0.2   0.5   1 1.1
  Excess broad inflation, % [13] -2.4 -1.8 -1.3 -1.5   0.2   0.3 -0.3
  Excess private credit growth, % [14] 0.9 -0.2 -0.1 -0.4   -0.7   0.1 4
Potential distress indicators
  Short-term echange rate volatility (% annualized) [15] 4.8 4.7 3.9 2.8   7   6 4.3
  Estimated G3 financial conditions impact [16] 1.2 1.6 0 0.2   3.1   1.2 1.9
  Est. market distortion payback (relative to other EMFX) [17] -0.1 0 0.2 0.3   0   0.1 0.1
[1] Real effective exchange rate, % change versus previous 5-years’ moving average.
[2] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average.
[3] Estimated concurrent GDP growth, 3-month average, %oya, relative to base (US, euro area, or both).
[4] Same as above but scaled by a factor that measures the sensitivity of currencies to growth differentials.
[5] Estimated GDP growth versus potential, 3-month average, %oya, relative to base (US, euro area, or both).
[6] Nominal policy rate differential over base currency, difference versus previous 3 month-average, winsorized at 200 bps.
[7] Change in vol-adjusted policy-controlled rate differential versus previous 3-m average, winsorized at 0.5.
[8] Relative tightening signal versus base curency area (U.S./euro area) , estimated through various asset markets, past month, z-score.
[9] Relative positive growth shock over base curency area (U.S. /euro area) , estimated through various asset markets, past month, z-score.
[10] Forward implied carry, based on average of last 5 days of the month.
[11] Same as above, divided by anualized exchange rate volatility, based on 11-day half-time lookback.
[12] Real hedged FX forward-implied carry, adjusted for inflation expectation differential to base, winsorized at 500bps.
[13] Broad (50% headline/ 50% core) annual inflation over target, %-points.
[14] Excess private credit growth over estimated nominal GDP trend growth, %oya, 3-month average.
[15] Annualized standard deviation of FX forward return, based on 11 days half time.
[16] G3 equity-duration-based financial conditions improvement, last month, estimated impact on currency positions.
[17] Payback for estimated relative distortions across EMFX currencies induced by mechanical benchmark correlations.

20 Taiwanese dollar (TWD)

Taiwanese dollar: macro trend indicators as of 2017-02-28
TWD versus USD   for comparison   historic references
12m ago 3m ago 1m ago latest   EM20 group   2003-2009 2010-2016
Competitiveness indicators
  Real FX appreciation over medium-term average, % [1] -1.2 5 4.9 6.3   -1.2   -6.8 -1.6
  External basic balance, % of GDP [2] 11.9 11 11.3 11.3   2.1   5.7 8.7
  Estimated GDP growth trend relative to base, % [3] -2.7 0.5 1.4 1   0.9   2.2 1.9
  Relative GDP trend adjusted for currency sensitivity, % [4] -2.3 0.4 1.2 0.8   0.8   1.8 1.6
  Estimated excess GDP growth trend relative to base, % [5] -4.1 -0.9 0.7 0.3   -1.2   -1.3 -0.7
Policy and market signals
  Relative short-term interest rate increase, %-points [6] -0.1 -0.1 -0.1 -0.1   -0.1   0 0
  Vol-adjusted relative rate increase, %-points [7] 0 0 0 0   0.1   0 0
  Market-implied relative monetary tightening shock, z-score [8] -0.4 0.3 1 0.4   0.1   0 0
  Market-implied relative growth shock, z-score [9] 0.8 -1.1 1.4 -0.3   -0.6   0.1 0
Adjusted FX carry and underlying factors
  Nominal FX forward-based carry, %ar [10] 2.6 0 -1.8 -2.1   3.4   -2.5 -1
  Ratio of FX carry to annualized volatility [11] 0.4 0 -0.2 -0.3   0.3   -0.7 -0.3
  Real idiosyncratic FX carry, % [12] 1.7 -0.1 -1.8 -2.4   0.5   -1.8 -1
  Excess broad inflation, % [13] -0.5 -0.1 0 0.5   0.2   -0.2 -0.3
  Excess private credit growth, % [14] 1.1 0.5 1.2 1.3   -0.7   -2.1 0.2
Potential distress indicators
  Short-term echange rate volatility (% annualized) [15] 6.1 6.7 8.7 6.3   7   3.9 4.6
  Estimated G3 financial conditions impact [16] 4.7 3.2 0.3 -5.3   3.1   -1.7 -2.1
  Est. market distortion payback (relative to other EMFX) [17] -0.1 0 0.2 0.3   0   0.1 0.1
[1] Real effective exchange rate, % change versus previous 5-years’ moving average.
[2] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average.
[3] Estimated concurrent GDP growth, 3-month average, %oya, relative to base (US, euro area, or both).
[4] Same as above but scaled by a factor that measures the sensitivity of currencies to growth differentials.
[5] Estimated GDP growth versus potential, 3-month average, %oya, relative to base (US, euro area, or both).
[6] Nominal policy rate differential over base currency, difference versus previous 3 month-average, winsorized at 200 bps.
[7] Change in vol-adjusted policy-controlled rate differential versus previous 3-m average, winsorized at 0.5.
[8] Relative tightening signal versus base curency area (U.S./euro area) , estimated through various asset markets, past month, z-score.
[9] Relative positive growth shock over base curency area (U.S. /euro area) , estimated through various asset markets, past month, z-score.
[10] Forward implied carry, based on average of last 5 days of the month.
[11] Same as above, divided by anualized exchange rate volatility, based on 11-day half-time lookback.
[12] Real hedged FX forward-implied carry, adjusted for inflation expectation differential to base, winsorized at 500bps.
[13] Broad (50% headline/ 50% core) annual inflation over target, %-points.
[14] Excess private credit growth over estimated nominal GDP trend growth, %oya, 3-month average.
[15] Annualized standard deviation of FX forward return, based on 11 days half time.
[16] G3 equity-duration-based financial conditions improvement, last month, estimated impact on currency positions.
[17] Payback for estimated relative distortions across EMFX currencies induced by mechanical benchmark correlations.