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What Is the Swiss Franc Telling Us?
The Swiss franc is trading at its lowest level against the euro since the Swiss National Bank surprised the world by lifting the currency cap in early 2015. This week's move has been especially pronounced. The euro has appreciated by a little more than 2% against the franc, Barring much of a setback tomorrow, it will be the largest weekly advance in 2 1/2 years. The euro and the Swiss franc are highly correlated. Over the past 60-days, the correlation of percentage change of the two currencies is 0.85. For the past two years, the rolling 60-day correlation has not fallen below 0.75 and rarely moves above 0.90. That ... (full story)