Dukascopy Market and Economic Research

Highlights of the latest Marker Research release on CHF.

Full research available here.



The first part of the observed period the Swiss Franc was inclined to depreciate. The equally-weighted index of the currency fell 0.8% from Oct 11 to Oct 16. However, it was not due to the Swiss producer prices that increased at a slower pace than initially anticipated. As a matter of fact, on average the Franc rallied 0.5% as a result of the only disappointing news that were directly linked to the Swiss economy. Next day the sell-off was ignited by the release of the ZEW economic sentiment. Even though the actual figure overshot the expectations, both the Euro and the Franc declined.





The Swiss Franc continued to behave contrary to the norm on Wednesday as well. Even though the Swiss ZEW economic expectations surprised to the upside, the value of the currency plunged 0.4%. However, most of the accumulated losses were erased on Thursday, resulting in only a 0.3% decline within the last five trading days. Accordingly, it is safe to assume that the Swiss Franc is currently not driven neither by the Eurozone nor by the Swiss news. Instead, the main variable in the equation that defines the value of the Franc appears to be the situation in the United States, being that the indices of these two currencies have been negatively correlating lately—any Dollar-positive event forced the investors to give up francs.

Highlights of the latest Marker Research release on EUR.

Full research available here.



With the only exception of the current account, the news published lately with respect to the Eurozone were largely positive. First, growth in the industrial production of the 17-nation union overshot expectations. Then the sentiment in the bloc’s main economy turned out to be better than estimated. Nevertheless, the equally-weighted index of the Euro continued to grind lower despite the bullish fundamentals and lost 0.5% of its value during the first three days of the previous week, being that the U.S. politicians came to an agreement regarding the budget and the national debt.





Meanwhile, each time the U.S. Dollar moved upwards, it caused similar in size dips in the single European currency. However, this relationship did not hold when the market participants sold off the greenback—it gave no significant boost to the Euro. A vivid example of this we observed on Thursday, when the U.S. Dollar index plunged more than 0.8% as a result of the common view that the beginning of tapering is likely to be delayed until the next year—otherwise the world’s largest economy will be unable to weather the negative effects that the shutdown entails. At the same time there was a minimal increase in the demand for the Euro. For the whole day the currency appreciated by merely 0.31% and stayed completely unchanged on Friday.

Highlights of the latest Marker Research release on USD.

Full research available here.



The last five trading days were particularly interesting for the U.S. Dollar. Even though the budget deal has been finally reached last Wednesday, the market, instead of starting to price in the positive event and thereby lifting the pressure off the currency, started to calculate the damage caused by the temporary shutdown, something that the investors were not doing during the earlier two weeks of uncertainty. According to the market, the new fair price for the Dollar was set to be 0.8% lower than the one observed early Thursday.




However, that was before the release on the non-farm payrolls. As it turned out, job creation fell behind the expectations, causing yet another massive sell-off of the U.S. Dollar which lost 0.6% within several hours following the news, although the unemployment rate, a lagging macroeconomic indicator, ticked by 0.1% lower. As a result, the currency proved to be the most bearish currency since Oct 16, the buck performed poorly against all of its main counterparts, depreciating 2% and more against four out of eight currencies—EUR, CHF, AUD and SEK.
In the longer-term perspective the U.S. Dollar is also strongly bearish. The currency retreated as much as 1.7% within the last 20 days and 2.4% within the last six months.

Highlights of the latest Marker Research release on GBP.

Full research available here.



Among all of the major currencies the Great Britain Pound proved to be the most stable, deviating the least from its starting point. Even though the last five trading days were marked with significant news for the foreign exchange market as a whole and for the Sterling in particular, its equally-weighted index has gone up by merely 0.2% since Oct 18. One of such major events turned out to be a substantial increase in the Chinese money market rates, as a result of which the sentiment deteriorated and weighed upon the riskier currencies, including the Pound, damaging and benefiting the most respectively the New Zealand Dollar (-1.4%) and the Japanese Yen (+1.3%).



However, being that later the same day the Monetary Policy Committee was upbeat with respect to the economy of the United Kingdom, the dip did not extend further after the meeting; instead the currency commenced a recovery and has already fully negated the losses, gaining the most against the Canadian Dollar (+1.5%) and the New Zealand Dollar (+2.1%). At the same time the Sterling was generally performing poorly against the safe havens, such as the Japanese Yen (-0.6%) and the Swiss Franc (-1%).
In the perspective of the last 20 days the Sterling also appears to be quite stable, moving away only 0.2% down from the base value. Meanwhile, performance of the currency within the past six months is strongly bullish, it appreciated four percentage points.

Highlights of the latest Marker Research release on EUR.

Full research available here.



The beginning of the last week the Euro stayed buoyant. Within the first three days the common currency even appreciated 0.3%, even though its main counterpart, the U.S. Dollar, has been on the constant rise since Oct 28 despite weak fundamentals. Apparently, the market participants gave the Euro the benefit of the doubt ahead of the important macroeconomic releases that concerned inflation and the unemployment rate in the bloc. However, the data published on Thursday did not meet the expectations—the price level grew at a slower pace than expected and the labour market did not experience awaited improvement.





Accordingly, the Euro witnessed a massive sell-off across the board and the currency lost 0.9% of its value during the day. The most significant changes were observed in EUR/USD and EUR/CAD that have gone down by 2.35% and 2.5% respectively since Monday. The only peer the Euro managed to outperform turned out to be the Swedish Krona—this pair has surged 1.1% starting form Oct 28, being that the latter currency has once again proved to be highly sensitive to the monetary union’s fundamentals, just as the Euro itself, on average the Krona depreciated by 0.8%. Nevertheless, in the long-term perspective the Euro is the best-performing currency among the majors—its equally-weighted index is 4.1% higher than six months ago, while the Swiss Franc is the second best, being on average 3.8% more expensive.

Highlights of the latest Marker Research release on USD.

Full research available here.



At first, on the back of strong economic data the U.S. Dollar has been on the rise. And while the FOMC statement published on Oct 30 did not convince the market participants to immediately increase their exposure to the buck, the subsequent releases, such as the falling unemployment claims and the advancing manufacturing PMI, arranged a bid tone for the Dollar. The equally-weighted index of the currency rallied 0.9% within the first three days of the observed time interval, being outperformed only by its New Zealand and Canadian counterparts.





The weekend, however, altered favourable for the Dollar sentiment. The currency started to grind lower after a two-day pause, being weighed upon by the disappointing factory orders (Nov 4); even the better-than-expected services PMI number released yesterday proved to be unable to change the downward tendency the Dollar has recently picked up.
Accordingly, for the period from Oct 30 to Nov 5 on average the currency has gained 0.5%, posting significant losses against the kiwi (-1.3%), which benefited from positive tendencies in the labour market and against the Aussie, the price of which notably increased amid the surprisingly good retail sales figure, but at the same time gaining more than 1.5% against EUR, CHF and SEK.

October Release of Dukascopy Bank Sentiment Index

Video version of the report will be available here.

- The six-month and three-year global economic expectations improved in October, a Dukascopy Bank SA poll showed. The six-month economic sentiment index advanced 0.03 to 0.62. The three-year economic outlook improved 0.06 to 0.73.
- The European six-month economic sentiment index advanced 0.04 to 0.53, the highest reading since records began in 2011. The three-year outlook climbed to 0.67, from 0.58 in September.
- Respondents became less optimistic about the six-month and three-year North American economic outlooks in October. The six-month and three-year economic sentiment indices fell to 0.63 and 0.71 accordingly.
- The Asia-Pacific six-month and three-year expectations both climbed 0.07 to 0.70 and 0.80, respectively.



Figure 3 presents the term structure of the Dukascopy Bank Sentiment Index (Y-axis) mapped against GDP growth forecasts made by poll respondents (X-axis). Overall, DBSI values and GDP growth forecasts match directionally, suggesting the global economy will perform better three years from now.
Poll respondents suggest that the European economy will expand an annualized 0.50% six month from now and 1.30% three years from now.
Respondents revised the North American six-month and three-year economic growth forecasts to 1.63% and 2.30% in October, from 1.40% and 2.13% respectively in September.
The Asia-Pacific economic growth projections are the strongest. Experts forecast growth of 3.73% and 4.03% six months and three years from now accordingly.



Figure 4 presents the business cycle and its phases - expansion (real GDP is increasing), peak (real GDP stops increasing and begins decreasing), contraction or recession (real GDP is decreasing), and trough (real GDP stops decreasing and begins increasing).
Respondents are divided on the European six-month EDS. Sixteen claim the economy will be in a recession, while fourteen say the economy will be expanding, yet twenty two expect that the regional economy will gather pace in three years time.
Majority of experts support the view that the North American economy will be expanding both six months and three years from now.
Experts are largely united about the Asia-Pacific 6-month EDS – twenty six forecast expansion and two say the economy will reach its peak. Twenty five respondents support the view that the Asia-Pacific economy will expand three years from now.



Figure 5 shows the six-month economic outlook for Europe, North America, and Asia-Pacific. The global six-month economic prospects advanced 0.03 to 0.62 in October.
The European six-month economic sentiment index advanced 0.04 to 0.53, the highest reading since records began in 2011. Six respondents (20%) are pessimistic about the economic outlook, fourteen (47%) say the outlook is “neutral” and the rest (33%) claim the outlook is “positive”.
The North American six-month economic prospects worsened. The sentiment index fell 0.04 to 0.63 from 0.67 in September. Yet nineteen experts (63%) claim the outlook is “fairly” or “definitely” positive and seven (23%) suggest the economic outlook is “neutral”.
The Asia-Pacific sentiment index inched to 0.70, up from 0.63 in September. Twenty four respondents (80%) are either “fairly” or “definitely” positive about the six-month economic outlook. Four (13%) say the outlook is “neutral”, whereas two (7%) claim the outlook is “fairly” negative.



Figure 9 presents a discrepancy in views on the economic outlook among local and foreign experts. October poll results reveal that respondents from Asia-Pacific are less optimistic about the local economic outlook compared to their foreign colleagues.
Europe: Respondents from Europe are less optimistic about the regional six-month and three-year economic outlook compared to their foreign colleagues (0.53 vs. 0.54 and 0.63 vs. 0.69 respectively).
North America: Local Experts are more optimistic about the North American six-month economic prospects (0.68 vs. 0.61). The discrepancy in opinions reaches positive 0.06 for the three-year economic outlook.

Asia-Pacific: Local respondents are less optimistic (0.68) about the Asia-Pacific six-month economic prospects compared to foreign experts (0.71). The discrepancy in views remains unchanged at a value –0.03 for the three-year economic outlook.

Highlights of the latest Marker Research release on JPY.

Full research available here.



Judging by the behaviour of the equally-weighted indices, before the most recent events the Japanese Yen has been failing to find its way, unlike the Euro that has been consistently bearish and the New Zealand Dollar that has been consistently bullish. Even though the currency was slightly more inclined to depreciate than to gain value, nevertheless it was fluctuating within a half of a percent from Nov 1 to Nov 6. The most likely reason for such timid performance during the first four days of the observed period was a lack of economic updates that would either reinforce the currently positive outlook on Japan or disappoint the markets and would thereby set a particular trend for the currency.





In the meantime, the initial tranquillity of the Japanese Yen has been broken by the unexpected decision to cut the rate made by the European Central Bank, as a result of which the currency covered as much as 1.3% (the largest daily range) until the end of the London trading session.
Still, it is worthy to notice that while all of the major currencies reacted to the news immediately (the single European currency plummeted 0.8% and the U.S. Dollar surged 0.7%), the index of the Yen started to move north only a few hours after the announcement, namely after the release of the U.S. GDP and unemployment claims, which, apparently, have helped the market determine an appropriate direction for the currency.

Highlights of the latest Marker Research release on EUR.

Full research available here.



The single currency was relatively stable for the first three days of the last week. All of that time it was trading below the base value, but losses never exceeded 0.5%. Monday was relatively calm, as most of the relevant fundamentals came out very close to their expected values. EU Economic Forecasts with worse than expected EU PPI put some pressure on the Euro on Tuesday. Mild recovery can be seen on Wednesday when Spanish Services PMI and German Factory Orders outweighed negative Eurozone Retail Sales. Most Change can bee seen on Thursday when the ECB unexpectedly cut it’s benchmark rate to 0.25%. From this alone Euro lost more than 70 basis points of value which helped other major currencies.





Friday had mainly US data releases which benefited the greenback, but had little impact on the Euro which was prior to that gradually recovering after the sell off on Thursday.
In the end of the period the Euro registered significant losses against all of the major counterparts. From 0.4% and 0.69% against loonie and Yen to 1.04% and 1.525 against greenback, kiwi and cable. The latter one was mostly influenced by the unchanged policy from the U.K. [link]. On the other side we saw only almost irrelevant gains—0.1% against aussie, 0.05% against Swedish Krona and 0.08% against Swiss franc. In aussie’s case it was is due to the disappointing data from the labour markets and in francs case due to the Swiss policymaker’s success to weaken the franc in the last month.

Highlights of the latest Marker Research release on USD.

Full research available here.

Attached Image (click to enlarge)

Greenback started the period in a gloomy mood as on Wednesday and most of the Thursday it was hovering around 0.3% below the base (opening) value. On Thursday, however, the unexpected cut of the ECB benchmark rate and better than expected U.S. Advance GDP and Advance GDP Price Index data boosted the currency almost full percent, After that greenback slowly trailed close to base value, but remained above it. Additional boost came on Friday when U.S. Non-farm Employment Change and Unemployment Rate numbers came out significantly better than expected. Weekend and Monday had no significant fundamental releases which kept the greenback stable.

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Although Tuesday was heavily loaded with the UK data it provided additional indirect boost to the dollar as numbers on various Price Indices were substantially worse than anticipated. Apparently this created a strong ripple effect across the markets and effected greenback indirectly.

In the period of interest greenback showed gains against all of it’s major counterparts. The most modest ones were against Euro, Swiss franc and loonie—0.27%, 0.39% and 0.34% respectively. The largest ones were against both oceanic currencies, the aussie and the kiwi, and Swedish krona—2.09%, 1.75% and 2.03% respectively. Results with the European currencies can be easily explained by the ECB rate cut and UK’S data on Tuesday, whilst aussie and kiwi suffered from worse than expected Australian labour data.

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Highlights of the latest Marker Research release on CHF.

Full research available here.



Swiss franc remained close to it’s base value during Friday, weekend and Monday. We have to point out that equally-weighted index of the currency gained 0.2% around 8 GMT, but there is no particular reason behind it. We are seeing quite different view on Tuesday, 12th of November. Index gained 0.7% in the course of 7 hours when data of the various UK’s price indices was released. After that we saw some minor turbulence on Wednesday, during the releases of the Eurozone’s Industrial Production and U.S. Federal Budget Balance. In the end, however, this did not have any lasting effects on the CHF index as pair ended the period wit 0.6% up from the base value.



Due to the 1.2 cap between the Euro and Swiss franc it is a rare case that this currencies would move in to absolutely opposite directions. However, this could be seen on Friday.
During the period of interested CHF gained across most of it major counter parties except the Euro and the United states dollar. Losses in these two cases were equal to 0.42% and 0.08% respectively. Highest gains were registered against the Yen and the Swedish krona—1.98% and 1.53% respectively. Minor gains, 0.07% and 0.04%, came from the crosses with the pound and loonie. Oceanic currencies, the aussie and the kiwi, allowed the franc to gain 1.19% and 0.59% respectively. In the later case it should be due to the lasting aftermath from Australia’s employment figures.

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Highlights of the latest Marker Research release on EUR.

Full research available here.

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Single currency undergone two appreciation periods in the last week, on Monday and Tuesday, and remained rather stable for the rest of the week. It gained approximately 0.4% on Monday. It is hard to attribute these gains to any of the fundamental events as it started more than hour before the release on the only Eurozone related news that day—Italian Industrial Production. Second rally took place on Tuesday during the releases of number of UK’s price indices. As results in most of the cases were worse than anticipated it redirected capital flows from the GBP to EUR and CHF which both gained approx. 0.5% during that period.



Single currency index was rather stable for the rest of the week. There was some ups and downs during the releases of some of the data but single currency index finished the week with 0.9% up from it’s base value.
Euro gained against all of it’s major counterparts last week. Smallest gains, 0.31%, 0.21%, 0.51% and 0.15% were registered against the GBP, CHF, CAD and NZD respectively. Gains against USD were almost whole percent which could be explained with unemployment and trade data on Thursday. JPY depreciated the most of all major currencies last week. As a consequence Euro booked a substantial 2.15% gains against it. It was causes by substantially worse than expected GDP numbers from the Japan.

Highlights of the latest Marker Research release on USD.

Full research available here.

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From the performance of the indices we can see that USD was second worst performing currency after the JPY, which suffered heavily from GDP data. Getting back to the USD, it took first hit during the 10-y Bond Auction after which the index value was 0.5% below the base value. It recovered during the testification of designated Fed Chairperson and remained just slightly below the base value until Friday. All of the data related to the US came out worse than expected which sent the pair to trail lower until then end of the Analysis period ion Tuesday. Since Unemployment Cost Index came out as expected and FOMC members did not present any surprises USD index ended the period with 0.9% loss.





USD index being the second worst performing in the last 5 days explains why it showed losses against almost all of it’s major counterparts. It booked a 0.5% gain against JPY, but that is understandable as JPY index was the worst performing index last week.
A lot of this could be easily attributed to the worse than expected data releases on Thursday. However, it seems that testification of designated Fed Chairperson the same day outweighed the effects. Another significant moment took place on Friday when all of the data came out worse than expected which in relation to the previous events ignited a significant bearish sentiment in the market. At the same time, other currencies were seeing rather neutral or mildly positive data on their side.





Volatility of the euro-greenback cross was largely similar to the one of the market (Dukascopy Bank Volatility index). Wednesday had quite a few news coming out from the both sides of the Atlantic. Some had impact only on the market some elevated the EUR/USD volatility to 2 times the normal whereas market volatility stayed below the 1.5 times the normal. Thursday was almost mirror copy of the Tuesday even taking in mind that much more significant data was coming from the use. Market volatility, however, this times peaked to being twice the normal as well. Friday, as usually happens, was much calmer as everyone is at ease with the end of the trading week being just around the corner.

Market Research is a backward-looking analysis rather than a forward-looking one. We observe reaction of the market in retrospect and attempt to find the causes and effects of main movements in the exchange rates. The only forward-looking part is confidence intervals for the next 24 hours, which is based on past volatility of a particular instrument, but there are no real forecasts made to measure the success ratio of this research.

Highlights of the latest Marker Research release on GBP.

Full research available here.



GBP index was the best performing currency index in the last five trading days. It ended Friday just slightly above the base value. Monday was rather disappointing for most of the currencies as data from the Europe and the US caused some turbulence. After that, the GBP index remained slightly below the base value until Thursday when BOE Asset Purchase Facility Votes and Official Bank Rate Votes came out. They showed that committee members are united on the outlook of the UK’s economy and do not plan to change their policies soon. This empowered the GBP index to gain almost full percent in the upcoming day.



It was a substantial boost for the GBP taking in to account that UK’s Public Sector Net Borrowing and Industrial Order Expectations had effectively no effect on the pair of Thursday. It ended the period of the analysis with 1.1% above the base value.

Having all of this in mind it does not come as much of a surprise that GBP booked gains against all of it’s major counterparts. Smallest gains can be seen against euro, greenback, franc and krona, but they are no less than 0.4%. Largest gains, 1.82% and 1.73% were booked against the yen and aussie respectively. This is not surprising as the two were the worst performing major currencies in the last 5 trading days. Lonnie and the kiwi were not far behind. Gains against them where 1.33% and 1.28% respectively.

Highlights of the latest Marker Research release on GBP.

Full research available here.

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Taking a look at the performance of the currency indices we can see that the single currency was mediocre last week. It was mildly outperformed by the other European currencies, but was quite ahead of all the other major currencies. It was hovering (+/- 0.3%) around it’s base value until Thursday. Monday had no particularly important data coming out. Since German ZEW index came out exactly as expected Euro didn’t move anywhere. It gained value through the US data, but the change was up to 0.1%. Wednesday caused some turbulence as better than expected CPI and retail sales data from the US caused the Euro to dip below the base value.





We were seeing completely different view on Thursday. It was rather heavily loaded with events and data releases in the old continent. Euro index started gaining value even slightly before the Manufacturing data was released. Data came out largely as expected, which was a good sign since the situation is at least stable. This provided a needed impetus which allowed the pair to close the week 0.9% above the base value.
As mentioned before Euro index was mildly outperformed by other European currencies which got marginally stronger boost form data releases on Thursday. Other currencies showed significant underperformance against the Euro—from 1.56% to 2.52% if we exclude greenback.





The volatility of the euro-greenback cross was largely following the volatility of the market (measured by the Dukascopy Bank Volatility Index (DBVI). As it becomes usual both, the market and the EUR/USD, volatilities remained below the normal (long term) values on Monday. Tuesday had quite a few peaks in volatility as significant data was coming out/events taking place in both sides of the Atlantic ocean. Wednesday was the most noticeable day in terms of volatility. Releases of the CPI and Retail Sales numbers and caused market volatility to be 2.2 times larger than normal. Same data caused EUR/USD to change hands 3 times faster than the usual. Although effects were smaller, but Thursday was no less important as well.

Highlights of the latest Marker Research release on GBP.

Full research available here.

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At the beginning of the period U.S. CPI numbers made US dollar index to gain almost 0.5%. PPI number the next day pushed the index further. At that point it was 0.9% up from it’s base value. Friday was relatively slow as not much related to the US dollar was taking place. Even the data that was coming out and events that were taking place were largely as expected. As a consequence the index remained just slightly below the +1% mark. Mondays’ pending home sales data had no effect on the market whatsoever. As you will see later on, even market volatility didn’t increase much above the long term levels.





Tuesdays data mostly came out better than expected, but surprisingly had no effect on the performance of the US index as well which ended the period of the analysis with 0.8% above the base value.
Greenback showed the best results against the aussie which started trailing lower since the very beginning of the period. It’s index value ended the week 3% below the base value. Greenback's gains against the aussie were 3.43% in the period. Another oceanic currency, the kiwi, was not far behind. Greenback managed to gain 2.14% against it. USD showed losses against all of the European currencies, but losses were relatively low—from 0.03% against the Euro to 0.51% against the Swedish krona.





Differently form the last analysis a week ago, market volatility (Dukascopy Bank Volatility Index) and EUR/USD volatility was largely the same. Right from the very beginning we can see that CPI numbers had the most significant impact in the last week. Markets volatility peaked to 2.3 times the normal and EUR/USD was 3.2 time higher than the normal at that point. We saw three peaks in volatility on the 11 hour period on Thursday. It was rather surprising since data came out rather similar to the one expected. Friday, as mentioned before, was slow on data thus neither market nor EUR/USD volatility peaked above 1.2 times the norm. Pending home sales on Monday had similar impact—volatilities remained below the 1.2 times the normal as well.

Highlights of the latest Marker Research release on JPY.

Full research available here.

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Looking at the graph of equally weighted currency indices it becomes obvious that it wasn't the best week for JPY index. It outperformed only the indices of the two Oceanic currencies, the aussie and the kiwi, and ended the week 1.23% below the base value. It lost 3.37% since our last market research release on JPY 20 days ago. Significant impact came from the comments by the vice minister of finance Furusawa and BOJ governor Kuroda on Sunday eve/Monday morning. JPY index lost 0.4% in the course of a few hours. It was recovering all the way till the release of the US data on Tuesday. Even BOJ Monetary Policy Meeting Minutes and CSPI releases on late Monday seemingly had no impact on the JPY.





Iran deal (link) which fuelled risk sentiment wasn't beneficial for the JPY either. Data from the U.S. on Tuesday seems to have had a substantial impact on the yen. Index started trailing lower from then on. U.S. data on Thursday seems to have similar effect as well. JPY index lost 0.3% in those hours. No different was Thursday, index continued to trail lower. Surprisingly, it was unaffected by the Japan’s retail sales data on Wednesday and CPI numbers on Thursday.
As already mentioned the JPY index was one of the worst performers last week. In addition to this, the JPY yen was outperformed by all of it’s major counterparts. Biggest losses were against the European counterparts which varied from 2.07% to 2.52%.





As it becomes usual the volatility of USD/JPY rarely follows the one of the market and seems to have “mind” of it’s own. On Friday we saw an interchange in the two volatilities for half of the day—markets was increasing whereas USD/JPY was decreasing. However, they caught up at the end of the trading week. Sunday eve/Monday morning was rather interesting—USD/JPY volatility peaked to 1.7 times the normal after the comments from the officials. Market volatility at the same time remained below the 1.2 gauge. Next peak in volatilities can be seen on Monday eve/Tuesday morning when BOJ Monetary Policy Meeting Minutes and CSPI data was released. U.S. data released later on had significant impact on both, the market and the USD/JPY, volatilities which were 1.6 times higher than normal.

Highlights of the latest Marker Research release on JPY.

Full research available here.

Attached Image (click to enlarge)

Looking at the graph we can see that Euro index was one of the best performers last week amongst the currency indices. However, it spent most of the time below the base value before the data releases from the US on Tuesday. The data release itself did not have much impact on the Euro, but caused it to inch up higher from there onwards. German Consumer Climate on Wednesday fuelled this rally further. Noticeable step back can be seen at the end of Wednesday when Japanese retail sales data was released. Index recovered these loses on Thursday when numerous data from the Eurozone came out. Although it mostly came out worse than expected, this did not have any lasting effect on the Euro.





Index started to trail lower after S&P lowered the credit rating of the Netherlands. Index was 0.75% up from it’s base value at that point, but lost almost 0.3% till the end of the period closing 0.47% above the base value. Even better than expected Eurozone CPI and Unemployment numbers on Friday did not stop that.
Euro was outperformed only by the British pound and Swedish krona last week. Both were effected by mostly the same events as the Euro, just their magnitude was different. Aussie, kiwi, yen and the loonie once again were the worst performers. Euro booked at least a 0.96% against all of these currencies. Three of the mentioned four are the worst performers, index basis, in the last 130 days and it seems that the trend will remain the same.





It is rather usual when the EUR/USD and the market volatility (measured by the Dukascopy Bank Volatility Index) coincide. This happened last week as well with only exception being on Friday—data releases, downgrade of Netherlands and change in outlook on Cyprus and Spain seems to have caused some confusion and fuelled some speculations amongst the market participants. It can be seen from the fact that market and the EUR/USD volatility was 1.5 times higher that the usual on Friday around 17 GMT, quite some time after all of the mentioned events.
Monday as usual was rather calm, only U.S. Pending home sales managed to fuel some volatility in the market and the EUR/USD.