Dukascopy Market and Economic Research

Highlights of the latest Marker Research release on USD.

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US dollar index was a mediocre performer last week—it outperformed 3 and underperformed against 5 indices ending the week 0.02% below the base value. It is worth pointing out that index range was just 0.62%. During the week it did not fall more than 0.25% below and did not rise more that 0.37% above the base value. It is understandable as there was only few events related to the US which had significant impact in the markets. Most of the attention was on other regions and currencies. Period started with quite a lot of data coming out from the US. Better than expected numbers gave initial mood and Eurozone data on Thursday provided small boost as well.




USD index started slowly trailing down on Friday after the downgrade of the Netherlands. Fed chairman’s speech and other data had little impact on the index as it remained around the base value after that.Yen, loonie and aussie indices were the worst performers last week. No surprise that USD managed to book gains against all of the underlying currencies which ranged from 1.28% against yen to 0.45% against aussie. Biggest loss is seen against GBP which received a significant boost from the UK data releases on Wednesday and did not look back afterwards. Losses against all the other currencies, except Swedish krona, did not surpass 0.31%.




Market volatility (Dukascopy Bank Volatility Index) and EUR/USD volatility usually follow the same path. Mostly it was so during this period of analysis as well, but there were a few periods of a mismatch. First one was on Friday. After the Netherlands' credit rating downgrade market activities were rather depressed despite the incoming data. Real breakthrough took place at the end of the day when EUR/USD started changing hand 1.5 times the usual. Similar activity could be seen in the rest of the market as well. Second similar period could be seen yesterday when the Eurozone PPI had noticeable impact on the markets, but seemingly no effect on the EUR/USD whatsoever. The two volatilities converged closer to the end of the day.

November Release of Dukascopy Bank Sentiment Index

Video version of the report will be available here.

- The six-month global economic expectations improved in November, whereas the three-year index decreased, a Dukascopy Bank SA poll showed. The six-month economic sentiment index inched up 0.01 to 0.63. The three-year
economic outlook worsened 0.02 to 0.71.
- Respondents did not change their view on the six-month European economic outlook, yet experts became less optimistic about the three-year economic expectations in November. The six-month economic sentiment index stood unchanged at 0.53, and the three-year economic sentiment index retreated 0.05 to 0.62.
- The North American six-month economic sentiment index advanced to 0.66 from 0.63 in October. The three-year outlook went up to 0.73, from 0.71 in October.
- The Asia-Pacific six-month expectations remained stable at 0.7 level, while the three-year economic outlook fell 0.02 to 0.78.



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 equally divided on the European six-month EDS. Fifteen claim the economy will be in a recession, while another half 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 forecast expansion and four say the economy will reach its peak. Twenty six respondents support the view that the Asia-Pacific economy will expand three years from now.



Figure 4: Business cycle

Highlights of the latest Marker Research release on CHF.

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Swiss franc was the second best performer last week on index basis being outperformed only by the NZD index. In addition to this, it is the second best performer, only lagging behind GBP, in the last 130 trading days. The start of the period was rather gloomy as index was trailing down after the downgrade of the Netherland’s credit rating and hit the period low of 0.56% below the base value on Monday. Swiss SVME PMI and Eurozone Final Manufacturing PMI seems to have provided substantial boost then as it started inching up higher. Tuesday was relatively calm, as Eurozone PPI, despite being worse then expected, had little impact. No obvious effect was felt from the US data as well.





We can see few peaks in value of the CHF index on Wednesday since important Eurozone data was coming out. Despite being slightly worse than anticipated it had no effect on the overall trend of the CHF. The most important events yesterday, and the whole week, arguably were ECB Minimum Bid Rate announcement and ECB Press Conference. Mario Draghi reassured that inflation in the Eurozone will remain below 2% and pledged to intervene if necessary. This gave significant boost to the Euro and to the Swiss franc which ended the period 0.77% above the base value.
As mentioned before, CHF outperformed all of it’s major counterparts lagging behind only against the NZD which benefited from risk sentiment in the end of the last week.





Market (Dukascopy Bank Volatility Index) and USD/CHF volatilities were following the same path last week. We can see substantial trading activities at the end of the day on Friday when market participants priced in the downgrade of Netherlands and other data. Monday had quite a few peaks in volatility. It is pretty safe to assume that the first increase in trading activities took place due to the traders rearranging their portfolios after the weekend. Second two were cause by the Swiss and Eurozone data coming out and Fed Chairman speech as traders were looking for hints on when the tampering will begin. Tuesday was relatively calm as market and USD/CHF volatilities were 1.25 and 1.5 times, respectively, larger than the usual.

Highlights of the latest Marker Research release on EUR.

Full research available here.

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Euro (index basis) was one of the best performers last week yielding only to the New Zealand dollar and Swiss franc. Latter, however, is bounded by the 1.20 ceiling therefore always outperforms the Euro at least a tiny bit. Period of analysis for the Euro started in a rather calm manner. It dipped below the base value (0.35%) and spent most of the time there until Wednesday when Eurozone data pushed it back to the base value. All the data before that caused just minor peaks and dips, but had no palpable effect. Thursday was the day when everyone’s eyes was on the Euro—ECB’s bid rate announcement was shrouded with rumours.





Although it remained unchanged during the following press conference Mario Draghi pledged to keep the Eurozone inflation below the 2% for the next two years. This seems to be the highlight of the week as the US data on Friday seemingly had no effect on the Euro index which ended the week 0.6% above the base value.
As mentioned before, the Euro was one of the best performers in the last 5 trading days. Part of the losses against the franc can be easily explained by the 1.20 cap where as kiwi was substantially boosted by the US data on Friday. Smallest gains was registered against Swedish krona which benefitted from the Eurozone PPI numbers on Tuesday. Gains against other currencies were substantial—from 0.87% against the greenback to 1.49% against the yen.





As it becomes usual EUR/USD and the market volatility (measured by the Dukascopy Bank Volatility Index) closely follow each other. First 3 days of the period were relatively calm—both, the market and the EUR/USD, volatilities didn’t increase more than 2 times the usual (long term) level. Eurozone data which is not seen that often and US Trade Balance on Wednesday caused the most hiatus in that period. Highlight of the week, however, was Thursday during the ECB benchmark rate announcement and related press conference. Market activities on average were around 2 times more intensive than usual during the mentioned events, but EUR/USD was changing hands almost 4 times faster.

Highlights of the latest Marker Research release on USD.

Full research available here.

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US dollar index was one of the worst performers in the analysis period which started with a mild boost of 0.25% from the US Trade Balance numbers. However, it did not manage to keep up for long as Non-manufacturing PMI numbers pushed the index back to the base value. No major changes were seen after that until Thursday. US numbers came out better than expected, but it seems that ECB had stronger impact as index lost 0.2% of value on Bid Rate announcement and following press conference. Friday’s data, coming mostly as expected, seems to have eroded some of the bullish sentiment as well— index once again lost 0.2%.





Despite events taking places in both sides of the ocean Monday, effectively, hand no effect on the dollar index. ECONFIN meetings and ECB president Draghi seems to have undermined the dollar index as well. It lost 0.28% before ending the period 0.65% below the base value.
USD outperformed only Swedish krona and Japanese yen this trading period. However, gains were only 0.32% and 0.2% respectively. Smallest losses were registered against the loonie and cable, 0.35% and 0.38% respectively. Losses against the other currencies ranged from 0.74% against the aussie to 1.89% against the Swiss franc. It is clear that latter and the Euro benefited from the ECB rate announcement, were as kiwi got a boost from a change in the risk sentiment.





Market volatility (Dukascopy Bank Volatility Index) and EUR/USD volatility continued to follow primarily the same path. Eurozone and US data boosted both, in the market and the EU/USD, volatilities up to almost 2 times the normal values. Thursday definitely was the highlight of the analysis period as ECB rate announcement and following press conference made EUR/USD to change hands almost 4 times faster than the usual. Market volatility peaked above the index value of 2 as well. Slightly lesser effects can be seen on Friday US data boosted the market and the EUR/USD above the index value of two. It was mainly due to the fact that numbers came out as expected and did not show clear indications about Fed’s tampering schedule.

Highlights of the latest Marker Research release on GBP.

Full research available here.




GBP index was the worst performer amongst the best performing indices last week. Aussie, yen and Swedish krone indices ended the week at least 1% below the base value. Besides these 3 the GBP index in addition outperformed only the USD index. However the difference was just 0.03%. Knowing this, 0.39% close above the base value doesn’t look that promising for the GBP index. On Friday we saw a shift in risk sentiment which provided significant boost for some pair's, like NZD, but GBP index climbed only to 0.22% above the base value, but stumbled below it soon after that. Index started inching higher on Monday and climbed until reaching 0.58% above the base value on Tuesday.





BOE Governor speech on Monday arguably had the most impact on that. However, worse than expected UK’S Trade Balance data sent the HBP index spiralling down. It managed to stabilise only when MPC Member Weale said that BOE forward guidance helped to lower uncertainty in the short-term and provide additional boost to the economy. ECB presidents speech about upcoming stress tests on the Eurozone banks boosted the confidence in the European currencies. In addition to that pound was able to benefit from the US numbers as well.
All in all we could say that GBP was an average grade (with minus) performer last week without a clear trend succumbing and gaining from various market events.

December Release of Dukascopy Bank Sentiment Index

Video version of the report will be available here.

n Participants of the Dukascopy Bank SA December poll share a positive view on the global economy and its future development as both the six-month and three-year economic sentiment indexes improved to 0.66, which is a highest reading since the records began, and 0.73, respectively.
n Experts’ six-month outlook on the European economic conditions did not change dramatically and gained 0.01 from the November reading of 0.53, while the three-year expectations advanced 0.03 to 0.65.
n The North American short and long term sentiment indexes both posted the biggest increase among the three regions in December. The six-month outlook gained 0.05 to 0.71 and the three-year forecast rallied 0.04 to 0.77.
n Respondents became more optimistic regarding the Asia-Pacific economy six months from now with sentiment index reaching 0.72 compared to 0.70 prior month, while the forecasts three years from now stood unchanged at 0.78.





Economic outlook comparison







Figure 9 presents a discrepancy in views on the economic outlook among the local and foreign experts. December poll results reveal that respondents from North America are less optimistic about the local economic outlook compared to their foreign colleagues.

Europe: Local experts have more optimism about the European six-month economic prospects compared to their foreign colleagues, while the discrepancy in the opinions between the groups reaches positive 0.07 for the three-year economic outlook.

North America: Respondents from North America grant less confidence to the six-month and three-year economic outlooks than the foreign poll participants (0.68 vs. 0.73 and 0.70 vs. 0.80, respectively).

Asia-Pacific: Local respondents’ projections about the Asia-Pacific six-month economic outlook are stronger than those of the foreign poll participants. The discrepancy in views reaches the value of 0.15 for the three-year economic sentiment index.

Quarterly Report: Q1 of 2014

Dear traders,

The passing year was undeniably tumultuous, as for a long time it was not clear whether the global economy started 2013 on the right footing and the recovery will carry on unhindered. There were quite a few reasons to stay pessimistic and risk averse; most of them revolved around the U.S. economy – government shutdown, debt ceiling, sequester, Detroit’s bankruptcy, lawsuits against big banks and many more. All that negatively affected confidence in the world’s largest economy and therefore noticeably strained global financial markets.

Nevertheless, despite all of these malevolent factors persisting throughout the year, the U.S. economy proved to be resilient and surprised on the upside in the end. While the first quarter growth stood at a modest 1.1%, the pace of expansion accelerated to 2.5% in Q2 and finally revved up to 4.1% in Q3, making all doubts with respect to the ability of the United States to weather the headwinds invalid. As a result, confidence and economic activity are set to continue picking up.

Apart from the actual positive macroeconomic readings, a broadly shared conviction that the world is now better prepared to venture into the future also served as a catalyst for the overall improvement. Political and economic progress was assured by a new U.S. budget deal on which both parties agreed upon, thus eliminating the possibility that the government shutdown will take place again somewhere in the future.

Still, we wish to warn it is not time for glee, and especially it is not time for complacency. The global economy continues to operate below the capacity. Job market may be improving, albeit slowly, which in turn translates into weak consumer spending. Therefore we call not to relax just yet and continue working hard for a better future, which is certain to come! Happy New Year and may nothing but happiness come through your door!

Highlights of the latest Marker Research release on USD.

Full research available here.



USD currency index was one of the worst performers in the last 5 trading days which managed to outperform only the CAD index. Wednesday and Thursday were relatively calm. None of the events or data releases managed to had any major impact as index remained +/- 0.2% around the base value. Friday’s Non-farm Employment Change, which came out substantially worse than expected, 74 thousand instead of estimated 196 thousand, gave the tone for the rest of the period. It eroded 0.4% of the index value sending it below the base value from where it did not recover. Monday’s Federal Budget balance came out better than expected, but index was continuing to lose value.



It ended that day 0.3% below the opening value. Tuesday brought in some positivity as strongly better than expected Core Retail Sales from the US got the ball rolling. Remarks from FOMC Members Plosser and Fisher seemingly helped the USD index as well. It gained 0.15% during the day and ended the period 0.45%below the base value.

USD was outperformed by most of it’s counterparts. It posted a 1.55% gain against the CAD, however it was the smallest gain in comparison to the other major currencies. USD losses ranged from 0.31% against GBP to 1.3% against SEK.

Highlights of the latest Marker Research release on EUR.

Full research available here.

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Euro index was one of the worst performing currency indices last week. It surpassed only the aussie index which ended the week 2.1% below the base (opening) value, whereas euro index loss was 0.5%. Not that much above was the Swiss franc index which close 0.48% below the base value. Italian Industrial Production data on Monday was a bit disappointing which caused the index to close 0.3% below the base value. We saw some recovery on Tuesday as Eurozone Industrial production data brought back the optimism about the Euro. Wednesday however was marked with worse than expected Eurozone trade Balance data which caused index to lose 0.2%.





Euro index trailed slightly higher on Thursday which seemed to be due to the combination of the data releases from the Japan and UK. Eurozone CPI data, however, made it to loose all of it’s gains and end the day slightly below the base value. Friday showed the biggest changes as positive numbers from UK’s Retail Sales seems to have caused a Euro sell off. It’s index it lost 0.45% of the value during the Friday and ended the week 0.5% below the opening value.
Euro was outperformed by almost all of the major currencies. Aussies underperformance allowed Euro to book 1.43% against it; 0.01% loss against Swiss franc is negligible due to the 1.2 exchange rate cap. Loses, however, were substantial—from 0.58% against GBP to 1.21% against Swedish kroona.

Highlights of the latest Marker Research release on USD.

Full research available here.

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USD index was one of best performing currency index last week and was surpassed only by the GBP index. It showed clear bullish bias from the beginning of the period. Better than expected Core PPI and Manufacturing Index data from the US caused USD index end the Wednesday 0.48% above the base (opening) value. Index continued to inch up higher on Thursday which was heavy with US data. Most of the numbers came out as expected which directed some of the capital flows to other currencies causing USD index to end the day where it started—0.45% above the base value. Friday’s data releases helped USD index to climb further up. It gained 0.37% during the day and ended it 0.82% above the base value.





Monday was a bank holiday in the US due to which, as we can see from the graph, most of the indices showed very little change during the day (kiwi index was effected by the New Zealand’s CPI data). Tuesday showed very few data releases at all, none from the US. However, as most of the numbers came out worse than expected, it must have boosted the trust in USD. However, Canadian data later in the day dragged USD index down. It ended the period 0.51% above the base value.
USD posted gains against most of it’s major counterparts which varied from 0.11% and 0.16% against yen and loonie respectively, till 1.2% against the aussie. The only, 0.31%, loss is against GBP which benefited heavily from Retail Sales data on Friday.

Economic Research on Forecasting High and Low Prices: Cointegration

Forecasting, even with all its ambiguity and uncertainty, always remains one of the most alluring questions in financial modeling. And while spot prices themselves are commonly considered unpredictable, there are many theories that explore deterministic trails in other asset parameters. In this research we take a closer look at the idea of forecasting high and low prices through their linear combination – or, in other words, by using the notion of cointegration.

Results
1. Cointegration is not equally pronounced in all currency pairs.





2. Cointegration analysis results might be connected with asset volatility.



3. The pairs from different groups are best described by different models.



4. ECM gives an apt, but not supreme forecast of the high and low prices.



Conclusion
In this research we have studied a method for forecasting time series that evolve in equilibrium relative to each other. We have confined the study to high and low prices, as they offer a channel forecast for future movements, but the same analysis can be carried out for ask and bid, or spot and futures prices.
It appeared that some currency pairs do indeed possess the property of keeping a stable range between highs and lows, but a great number of tests is required to find out if the results are reliable. We have also seen that asset volatility might have some influence on the intensity of the trait, so that the pairs with higher and less stable volatility are less likely to give positive results.

Apart from the purely theoretical characteristics, this type of analysis gives us an opportunity to build a special kind of forecasting model, ECM. The results of our study showed that ECM offers adequate forecasts, and in some cases performs better than the other tested method. Moreover, it is known to be possible to improve the forecast by employing an augmented, more complicated model - FVECM. This method was not covered in our research, but other econometric studies report various promising results. With that it can be said that this time consuming and laborious analysis is, after all, noteworthy and useful.

Highlights of the latest Marker Research release on EUR.

Full research available here.



Euro index was one of the best performing currency indices last week and was surpassed only by the JPY and CHF indices. The latter one is most likely due to the 1.2 cap with the Euro. Monday was really calm due to the Bank Holiday in the US. NZD reacted on the New Zealand's CPI data in the end of the day. Tuesday didn't bring much changes either dues to the fact that most of the data releases or events were “soft”, unquantifiable. Wednesday had quite a few important data releases connected to the Euro and the EUR/USD, but it seems that only GBP and CAD indices were effected by them. Euro index started showing bullish bias on Thursday.



Better than expected Eurozone Current Account, Flash Manufacturing PMI and Flash Services PMI numbers caused Euro index to gain 0.4% (0.6% of gains in total). Another boost for the Euro came later in the day when Eurozone Consumer Confidence numbers came out better than expected. It added additional 0.2% to the index value. Friday’s events, despite having ECB President speaking, had seemingly no effect on the Euro index value which ended the week 0.86% above the base value.

Euro outperformed most of it’s major counterparts. Loss against CHF was expected, due to the 1.2 cap between the two, but 0.76% was a bit to the higher side. Loss against Yen, however, was a bit unexpected. Gains ranged from 0.46% against Swedish kroona till 2.25% against loonie.

Highlights of the latest Marker Research release on EUR.

Full research available here.

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Euro index was one of the worst performers last week as it managed to outperform only NZD and SEK indices. Monday did not bring any major changes as German Ifo came out mostly as expected and US data failed to move markets. Tuesday had no data releases directly linked to the Euro, but UK data seemingly directed some cash flows from UK to the Eurozone. Wednesday did not bring any major changes either. Euro was dragged down during the German 10-y Bond Auction, but soon returned back to the base value. Thursday was the decisive point in the Euro index development. Worse than expected German Preliminary CPI data sent it trailing down.



Index ended the day 0.55% below the base value. We saw a slight recovery on Friday when an Eurozone unemployment data showed 0.1% better than expected result. However, the overall trend remained bearish as CPI data was worse than expected and US data later in the day seemingly boosted the demand for the USD.
Euro posted gains only against few other major currencies—0.02% against NZD and 0.42% against SEK. As it rather usual (due to the 1.2 cap), minor loss (0.05%) is seen against CHF. In other cases however, the loses were substantial—from 0.91% against CAD, 1.05% against GBP till 2.16% against AUD.

Highlights of the latest Marker Research release on USD.

Full research available here.



USD index improved its performance and ended the week above the base (opening) value, but was a mediocre performer surpassed by JPY, AUD and CAD indices. Wednesday started calmly for the US dollar which gained 0.2% after the FOMC Statement and Federal Funds Rate announcement. This gave an overall tone for the dollar for the rest of the week. US Advance GDP and Unemployment Claims came out worse than expected on Thursday, but it did not manage to disturb the bullish bias of the index which ended the day 0.51 above the base value. It climbed additional 0.5 above the base value on Friday, but lost some appeal when Revised Consumer sentiment came out.



It’s results were as expected, but it seems that market participants were hoping for something more. European data coming out from Monday’s morning redirected some cash flows from the US. Worse than expected US Manufacturing PMI data did not do any good for the USD either. Australian Cash Rate announcement early Tuesday morning clearly attracted substantial capital flows to the Australia and New Zealand. It gave tone for the rest of the day and mixed US data later on the day did not change anything.
USD itself was a mediocre performer. It surpassed all of the European currencies, but lagged behind AUD, JPY and CAD. However, taking in to the account recent performance by the NZD we expect it to outperform not only USD, but most of other currencies as well.

January Release of Dukascopy Bank Sentiment Index

Video version of the report will be available here.

 Prospects of the global economy as seen by the participants of the Dukascopy Bank SA January poll became less attractive compared to the December poll’s results as the six-month sentiment index decreased 0.02 to 0.64, while the three-year outlook stood unchanged at 0.73.
 European economic sentiment index was slightly down compared to the last month’s reading. The January forecasts within the region showed 0.53 for the six-month time span and 0.64 for the three-year time span.
 The only region where poll participants expect an acceleration of the economic development in both the short and long terms is North-America, as the forecasts six months from now advanced 0.02 to 0.73 and experts’ projections three years from now gained 0.03 to 0.80.
 The Asia-Pacific is expected to experience a slowdown as the six-month expectations retreated 0.07 to 0.65, while the three-year predictions fell 0.04 to 0.74.



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.
Expected growth of the European region six months from now dropped to 0.62% in January from 0.80% prior month, while the economic expansion three years from now decreased by 0.7% to 1.17% during the month.
The six-month growth in the North-America decreased slightly to 2.00%, while the three-year forecast improved a little to the level of 2.53%.
The expectations regarding the Asia-Pacific economic development remained the strongest among the three regions despite the decrease of the indicators’ values. Experts expect the region’s economy to expand at 3.76% rate six months from now and 4.00% by the early 2017.



January poll results reveal that respondents from North-America are consistently more optimistic about the local economic outlook compared to their foreign colleagues.
Europe: Local experts have equal expectations of the region’s six-month and three-year development, yet foreign poll respondents are less optimistic regarding the economy six months from now. The discrepancy in the opinions between the groups reaches negative 0.10 for the three-year economic
outlook.
North America: Respondents from the North American region are more confident in the region’s both six--month and three year economic development than the foreign poll participants (0.80 vs. 0.70 and 0.83 vs. 0.79, respectively).
Asia-Pacific: Local respondents’ projections about the Asia-Pacific economic outlook by the middle of 2014 meet the foreign experts’ anticipations, while the discrepancy in views reaches the value of 0.09 for the three-year economic sentiment index.

Highlights of the latest Marker Research release on USD.

Full research available here.

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USD index was one of the worst performers in the period of analysis. It managed to outperform only JPY index which was hit heavily by the ECB rate decision after the Japanese 30-y Bond Auction that took place earlier. We saw quite a few data releases from the US on Wednesday, but USD index felt none of it and was +/- 0.07% around the base (opening) value. However, it lost 0.2% on the ECB Bid Rate decision on Thursday. Index started recovering afterwards, but was hit by the Non-Farm Employment Change data on Friday. It dragged the index 0.3% lower and caused it to close 0.45% below the base value. That was a defining moment in the period for the USD index.



There was very few events on Monday and they had no impact on any of the major currencies. USD index continued to trail lower on Tuesday as testimony by the new Fed Chairman, speech by the FOMC Member Plosser and the US Job Openings failed to boost the market’s confidence in the USD.
USD posted gains only against JPY which, as mentioned before, was surprisingly heavily hit by the ECB Rate Decision. Losses against other currencies were substantial—from 0.58% to 0.67% against CAD, CHF, GBP and EUR till at least 1.2% against SEK, NZD and AUD.

Highlights of the latest Marker Research release on EUR.

Full research available here.



Euro index once again was one of the worst performers last week. It managed to surpass only USD index which showed a 0.98% loss in the period, and CAD index, 0.47% loss, as opposed to 0.3% loss by the EUR index itself. Most of the other indices showed results varying from 0.06% loss till 0.19% gains. GBP index, however, ended the period 1.3% above the base (opening) value. EUR index did not show clear bias on Monday and Tuesday as we saw very few data released on Monday and Tuesday had no events directly linked to the Euro at all. Index was +/- 0.2% around the base value at that time. It could be said that highlight of the period for the Euro was Wednesday.



BOE Governor’s speech and Inflation Report shook the markets. ECB President’s speech slightly later in the day fuelled the markets as well. However, Euro did not benefit from it. EUR index lost 0.45% on Wednesday when GBP index gained 1.05%. Australian Job Markets data coming out half an hour after the midnight, surprisingly, shook the whole market on Thursday. Euro index started showing clear bullish bias after that whereas greenback started trailing lower. Worse than expected US retail sales and unemployment data later in the day boosted the Euro further which gained 0.31% during the day. Friday saw quite a few Eurozone data releases and although all of them came out better than expected this had virtually no effect on the Euro index.

Highlights of the latest Marker Research release on USD.

Full research available here.



USD index was one of the worst performers last week. It managed to outperform only 3 out of 8 other currency indices; also it closed (0.39%) and spent all of the period of the analysis below the base (opening) value. Wednesday had very few US data releases scheduled therefore no major changes were expected. However, BOE Governor’s speech and Inflation Report boosted the value of the GBP and dragged USD, and most of the other indices, down. Although USD index recovered from it rather fast, clear bearish bias was felt on Thursday as well. US data gave worse than, or as expected, results which dragged the USD index lower to end the day 0.32% below the base value.




Worse than expected US data releases on Friday did not give any basis for the recovery either. USD index ended the week 0.73% below the base value. Monday did not bring much change for most of the currencies due to the bank holidays in the US. Worse than expected data releases from other regions helped USD index to advance yesterday. It gained 0.2% during the day and ended period of analysis 0.39% below the vase value.
USD posted gains only against aussie, kiwi and Swedish Krona. The latter one, seemingly, was hit hard by the ECB Monthly Bulletin on Thursday and ECOFIN Meetings yesterday. The aussie and the kiwi lost fair share of value after Japans Monetary Policy Statement and BOJ Press Conference. It seems that Australian Monetary Policy Meeting Minutes did no favour either.




Highlight of the period, in terms of trading activity was seen on Wednesday. BOE Inflation Report and following BOE Governor’s speech caused EUR/USD volatility to peak till 3.2 times the usual (long term) level. Market volatility at the same time reached the highest level in the period of analysis as well—1.7 times the usual level. Thursday was similar in terms of volatility in the market—it peaked till 1.6 times the usual level. EUR/USD reaction to the ECB’s Monthly Bulleting was much stronger. The pairs volatility was 2.5 times higher than usual. Range of data releases on Friday fuelled trading activities, but market and EUR/USD volatilities were just slightly above their usual levels.

Highlights of the latest Marker Research release on EUR.

Full research available here.



Euro index, few weeks being in the opposite end, was one of the best performers last week. It was surpassed only by the Swiss franc index (mainly due to 1.2 cap). Monday was rather calm day, all of the indices, with the exception of JPY, spent the day +/- 0.4% around the base (opening ) value. Tuesday’s data releases/events pretty much shaped the most of the period for the Euro, Swiss franc and some of the other currencies. Euro index gained 0.65% during the day and closed 0.71% above the base value. US data releases on Wednesday did not bring much changes for the Euro index. It ended the day 0.78% above the base value; that’s a 0.07% gain during the day.




Euro and Swiss franc lost 0.25% on Thursday as Eurozone Flash Manufacturing PMI and most of the German and French PMI’s earlier in the day came out worse than expected. However, ongoing Spanish 10-y Bond Auction managed to maintain the interest of traders in the Euro which started to slowly climb higher afterwards. Clear bullish bias of the Euro was felt on Friday as well as worse than expected US and UK data redirected some of the capital flows towards the European currencies.
Euro posted gains against most of it’s counterparts. The only, 0.24%, loss is seen against the Swiss franc which occurred due to the 1.2 cap maintained by the Swiss national bank.




We are seeing slight increase in volatility in the markets as elevated volatility in the market was observed in 19% of the time, in comparison to 15% last week. This gauge increased by 5-10% in quite a few currency pairs as well. In additiona, average volatilities in the period started to increase and approach usual, long term, values.
Monday showed very subdued volatility levels. The peaks that took place could be attributed to the lagged reaction to data releases in other regions than Europe or the US or to public statements by the Eurogroup. On Tuesday we can observe one of those very rare cases when market reacted to some news/data release, but EUR/USD showed no reaction.