Dukascopy Market and Economic Research

Highlights of the latest Marker Research release on GBP.
Full research available here​.



The British pound could be named the star of the period as its index performed a beautiful act of last-minute recovery, jumping from the second worst to the second best in a span of eight hours. After spending the past week and a half trudging below the base level, the GBP index posted a gain that was surpassed only by the advancement of the period’s leader, the Swedish krona. The pound faced the end of the period neck and neck with the U.S. dollar, outrunning it only by 0.01%. The currency’s gains over other peers were much more substantial, reaching as high as 0.76% and 0.85% against the Kiwi and the Loonie. In the long-term view, the pound remains firm in its leading position with +3.1% half-yearly and +10.67% yearly changes.



Throughout the period the pound’s currency pairs were averagely turbulent compared to their GBP-lacking counterparts, but convincingly outperformed them in the scope of volatility peaks. July 15 inflation data and the generated surge of the pound pushed the volatility indexes to record highs, with the EUR/GBP index peaking at the period’s absolute maximum of 6.1, and the GBP/USD reaching the third biggest value of 4.4. Beyond the peaks, the volatility of the pound’s crosses was neither enhanced nor subdued relative to other currency pairs, with the average value perfectly in line with the market.



The average values of the correlation coefficients between GBP/EUR and the rest of pound’s crosses varied between 0.35 and 0.91 over the past 5 and 20 days, 0.05-0.1 points higher than longer-term values, indicating solid positive relation . There was only one occurrence of negative correlations throughout the period. Australian unemployment rate release furthered the weakening of the Aussie and, consequently, shifted the bond between GBP/EUR – GBP/AUD and GBP/USD – GBP/AUD to the negative side. As for the overall significance measure of the pound, it held on a relatively high level during the period, ranging from 0.3 to 0.75. The week, however, was not short of some ups-and-downs.

Highlights of the latest Marker Research release on EUR.
Full research available here​.

From the beginning of the period the Euro Index held above the 100 mark, showing a positive trend. The Euro zone industrial productions release encouraged the index to edge up to 100.3, and it held among the best performers until Tuesday, July 15. Then, however, the unexpectedly pessimistic ZEW sentiment shook the single currency, and all the index advances came to naught. It returned to base level by Wednesday afternoon and range from 99.85 to 100.01 until the end of the period.

Although rich with economic data releases, Wednesday and Thursday seemed to have a soothing effect on the market, as the measure of the overall market turbulence inched down compared to the period ending on July 15, with the 8% lower portion of elevated volatility. The Euro crosses, however, account for marginal part of this decline, since their corresponding measure lost only 3-5% and their volatility indices were generally higher than the market’s in the last two days of the period. Statistical characteristic of the Euro volatility stayed virtually the same, with the sole exception of EUR/JPY that exchanged its July 10 maximum for lower value of July 17.

The Euro significance measure remained changeable and moderate, but nevertheless stood somewhat superior to the previous period’s picture. The components cut their lower tails shorter and shifted closer to higher levels, with most mean correlations strengthening both over previous and longer-term values. The most remarkable changes occurred in EUR/USD correlations with EUR/SEK, whose average values rested well 0.1 for the past month, but now reached above 0.2. The correlations between EUR/USD and EUR/CHF was palpably less negative, while the major pair’s bonds with EUR/JPY and EUR/AUD notably tightened.

Highlights of the latest Marker Research release on USD.
Full research available here​.



After spending the entire previous period in the depreciation area, the U.S. dollar index managed to recover and have a successful week. The world’s largest economy’s currency strengthened against almost all of its observed peers, only failing to surpass the yen, which was on an uptrend throughput the whole period. The period is especially remarkable with the USD Index finally bringing one of its longer-term changes up to a positive value - something it was struggling to do for the past month.



During the past week the market was largely affected by developments outside of the world’s largest economy. Most of the volatility peaks for the dollar pairs were individual, connect to the weakening or strengthening of the peers rather than the Greenback itself. The highest peaks were reached by GBP/USD, NZD/USD, and USD/CAD, all against the background of major regional releases. The most turbulent EUR/USD, GBP/USD, and NZD/USD, with their volatility indexes exceeding the norm for one third of the time.



Despite the fact that the period was rich with important news from various regions, the U.S. dollar managed to maintain its influence on a solid level, with the significance measure holding around the 0.4 mark. Individual correlations for the period were mostly within their long-term limits, with slightly greater portion of negative values that were localized around the time of major data releases. Average correlations stayed close the previous values, with slightly more palpable weakening in the most traded currency pair’s bonds with USD/AUD and USD/JPY.

Highlights of the latest Marker Research release on CAD.

Full research available here​.

The Canadian dollar could certainly be considered the most successful currency of the past week. After spending the previous period below the baseline and ending up with the largest loss, the Loonie recovered to share the best performer’s title with its Australian counterpart. The CAD showed a positive trend right from the beginning of the period, and its total gains against other currencies were most noteworthy - it advanced 0.98% against EUR and NZD, and 0.95% against CHF.

As days shifted in the period, the beginning of this week proved to be significantly less turbulent than that of the previous one, leaving the overall market volatility subdued in comparison. Portion of elevated volatility lost 8% for the market and 2-9% for the observed currency pairs, while the highest peaks either remained unchanged on Friday values, or decreased with July 15 leaving the sample. The pound seemed to be the one to calm the most, while the yen’s characteristics changed the least. USD/CAD was among the pairs whose portion of elevated volatility palpably decreased, and its average value of volatility index fell from 0.95 to 0.88.

The Canadian dollar’s correlations were on a very high level throughout the period, as even the minimum value of the composite was in line with significance limit. The components, save for the South Pacific crosses, shifted closer to their higher historical values, with period’s average coefficients well above the long-term measurements. Correlations with CAD/AUD and CAD/NZD, in turn, were the only ones to shift into negative during the period. And while otherwise the strength of bonds with CAD/AUD were elevated similarly to the other currency pairs, CAD/NZD correlations were slightly below their usual level.

Highlights of the latest Marker Research release on EUR.
Full research available here​.

The period was not particularly successful for the Euro, as the currency finished it with loses against half of its observed peers, and the EUR Index spent all five days below the base value. The single currency, however, managed to post the smallest overall depreciation, and thus ended up being the best of the worst performers. The long-term index change indicated depreciation on monthly and half-annual basis, while the movements over the year resulted in a 0.23% growth.



The portion of elevated volatility increased significantly compared to the period ending on July 22, both for the market and for the observed Euro crosses. The average values of the EUR volatility indexes also went up, excelling over the previous ones by 0.02-0.05 points. The highest peaks, however, stayed the same for all crosses save EUR/GBP, which exchanged its July 18 maximum of 2.63 for a new spike of 3.41 that was reached on Thursday, as the pound dipped against the background of worse-than-expected UK retail sales.



The Euro significance measure noticeably increased during the past week. Starting the period at 0.1, the measure eventually strengthened to 0.34, exceeding the significance level of 0.3. Continuing the tendency of the previous period, its components cut their lower tails even more, with values gathering closer around their averages. The averages themselves, however, remained almost unchanged both on short-term and long-term basis. Correlations with EUR/CHF were the only ones to stand out, holding on unusually low level during the first half of the period, but even those returned to their usual levels by the end of the week.

Highlights of the latest Marker Research release on USD.
Full research available here​.



The top performers of the past week were the Swedish krona and the Australian dollar. The former made its winning surge on Friday, gaining 0.92% on its base value against the background of positive news on Sweden’s Retail Sales and Household Lending, while the Aussie took the leadership on Wednesday, when the currency rate surged in reaction to greater-than-previous CPI release. The same day was associated with the Kiwi’s drop. It lost 0.9% of base value on the spot and was continuing to move down until Friday, becoming the worst performer of the week with 1.42% loss over the period.



After a quite calm Monday, the rest of the week was rather turbulent, even though the percent of elevated volatility declined for most of the observed currency pairs compared to the previous period ending on July 24. The most noticeable surge of the week took place on Wednesday, when NZD Volatility Index jumped to 8.38 right after New Zealand interest rate decision came out. The excessive lowering of the Kiwi has affected the overall market, and the composite Volatility Index rose to the week’s maximum value of 2.02.



The USD significance measure was very unstable during the past week, with hardly any periods of constancy or trending. The components’ values grouped around their historical averages, with period’s means weaker than the long-term ones. Nevertheless, the average value of the composite itself ended up above 0.35, and even the minimum was on a reasonable level of 0.2. It was largely due to very few negative correlation values, which were mostly isolated and marked major non-U.S. data releases.

Highlights of the latest Marker Research release on GBP.
Full research available here​.



In terms of rapid value changes, the Kiwi was the most conspicuous currency of the period, as it fell sharply after RBNZ cash rate decision on Wednesday, causing its index to finish the period with a 1.42% loss over the base value. The best performers of the period were the Aussie, the Swedish krona, and the Greenback. The former pulled ahead early on Wednesday, after the release of Australian CPI. SEK and USD, in turn, started to gain strength later on Thursday, against the background of positive news on their national economies. The period ended with approximately equal gains around 0.6% for all of the three currencies.



This week proved to start as tranquil as the previous one, so the day shift in the period did not introduce any significant changes to the parameters. The pair’s with the pound were among the most turbulent ones in terms of elevated volatility percentage, with the measure gaining 5% for EUR/GBP even as it declined for most of the other pairs. Neither GBP/USD nor EUR/GBP volatility indexes refreshed their July 24 maxima, making the retail sales data the most shocking UK release of the period.



Average correlations between GBP/EUR and other observed pound crosses held on a rather high level for the third week in a row, varying between 0.31 and 0.95. Compared to the long-term values, correlations with GBP/USD, GBP/JPY, and GBP/CHF have noticeably risen, illustrating a strong positive bond. At the same time, the lower tails of correlation distributions lengthened, reaching below zero for some components. In total, the pound significance measure was on a reasonably high level during the past period, holding its average around 0.48.

Highlights of the latest Marker Research release on EUR.
Full research available here​.



The U.S. dollar was a clear leader of the past week. Ending the period with almost 1% growth, the currency greatly surpassed the rest of its peers. For the Euro the observed period also was rather successful, as it gained 0.32%, losing only against USD. Meanwhile, most of the currencies finished the week below the baseline. The Loonie was the worst performer of the week, as it fell down to 99.52, and continued to drop further, ending the week at the 99.26 mark. July 30 became a turning day for the yen, the Australian dollar and the Sweden krona. Spending previous days above the baseline, they all fell by more than 0.3%.



The week was marked by moderate volatility of both market and the most traded currency pair. The portion of EUR/USD elevated volatility noticeably decrease compared to the previous period. The maximum value of the EUR/USD Volatility Index also was rather low and even could not reach the 3 points level. Maximum values of almost all other pairs also have decreased. However, average values of pairs’ Volatility Indexes have stayed on historical levels. The highest peak of the volatility took place on Wednesday, when USD/SEK Index jumped to 5.09 right after worse-than-expected Sweden GDP data release.



The observed period was associated with mostly weak correlations of the pairs with the Euro. Almost for all the pairs concerned average correlations with EUR/USD are below historical marks. Thus, the composite was varying in relatively low range between 0.1 and 0.33 pointing out minor effect of Euro news on the market this period.

Highlights of the latest Marker Research release on USD.
Full research available here​.



The past week was mostly successful for the Greenback. A host of positive news on U.S. economy drove the currency up and USD finished the week as the best performer and advanced against all its counterparts. CAD, in turn, was losing against the background of declining oil prices, thus becoming the worst performer with 0.51% loss of the index over the period. The Aussie and the pound, which fell shortly after lower-than-expected UK Markit Manufacturing PMI release on Friday, finished the week on the same -0.5% level. However, the most conspicuous currency movement was Swedish krona drop after disappointing GDP release on Wednesday, but SEK had fully recovered for the week end.



Without any significant news affecting not only the Greenback, but all the other currencies, last week started very peacefully as for the first two days market’s volatility was elevated for only 10% of time. However, on Wednesday it began to pick up speed, when plenty of important news influencing the U.S. dollar and the Euro were released. In contrast from the previous week, EUR/CHF was the most elevated pair and held above the baseline for 40% of the period. Meanwhile the highest spikes occurred in USD/SEK and USD/JPY, and the indexes reached 5.09 and 4.12 marks respectively.



The average values of correlations between USD/EUR and the rest of the dollar crosses varied from 0.25 to 0.82, and slightly shifted from their historical averages. Tails of the distributions of components were stretched and became heavier, pointing to the instability of the correlations during the week. The average correlations of the USD/EUR and USD crosses with European currencies compared to the long-term values have lost 0.03-0.2 points. In turn, the average values of the other components have increased. Furthermore, the composite also was rather unstable and varied between 0.13 and 0.74, having the highest maximum and the lowest minimum within the previous month.

These are the highlights of the recent report.

1. July Dukascopy Bank Sentiment Index findings appeared to be the most pessimistic. The report revealed that while short-term global economic sentiment index fell moderately, three-year index plummeted by 0.12 points, the biggest decline since records began. This sharp fall may be attributed to geopolitical tensions in the Middle East and Ukraine, as well as uneven economic picture in the world. On top of that, all the regions also posted falls in their both short and long term economic outlook.
2. Europe saw both indexes dropping in July, with three-year economic outlook falling at the fastest pace since February 2013. This might be due to the fact that on 5 June the ECB launched unprecedented stimulus, by bringing deposit rate to the negative territory. Unfortunately, stimulus have not brought desired results yet, as fundamentals are still weak in the Euro bloc while economists lose faith in the ECB, as central bank is running out of tools, hence, any additional easing will be highly unlikely even in case of further deteriorating fundamentals.
3. While North America posted a slight decline in six-month outlook, index, measuring economic prospects of the region within next three years, slumped by 0.11, the sharpest fall on record.
4. Asia-Pacific was the only region, which saw no change in the short-term sentiment. Nevertheless, a 0.14 point fall in three-year economic outlook was the most dramatic decline from the record-high level seen last month.

Figure 3 represents the term structure of Dukascopy Bank Sentiment Index (Y-axis) mapped against the 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.
Along with decline in sentiment indexes, long-term growth prospects appeared to be significantly lower than a month earlier. Especially academia experts were pessimistic over Asia-Pacific region, where GDP is expected to drop in the coming six months towards 2.93% down from 3.80% in June, and plummet to 2.87% by 2017 compared to 4.13% in May. The main reason behind such a dramatic fall in the expected growth rate is geopolitical tensions in the Middle East and Ukraine, which weigh on experts’ sentiment.
In the meantime, the U.S. growth rate is seen to remain unchanged at 1.60% in the short and long term. This is amid the fact that the labour market continues strengthening, with the jobless rate falling to 6.1%, while QE is expected to be completely winded down by October 2014 and interest rate hike is projected to occur sooner than previously thought. All this economic data adds to evidence that the world’s number one economy is gaining steam.
Europe’s GDP is seen growing at 0.83% during six months from now, up from 0.33% in June. An increase in expected GDP may be attributed to the ECB actions, which might provide some boost to the region’s economy. In the long term the Euro economy projected to expand at 0.90% rate.



Proportion of those, who see the European economy in the recessionary trough in the short-term rises in July to 15 from 10 seen last month. However, in the long term more and more professors expect the economy to reach the expansion phase. Even though, the number of experts, who foresee the economy expanding in the foreseeable future, increases, still no one expects business peak to be reached within next three years.
As to the North America, it appears that professors have not changed their opinion as to how the economy will evolve in the years to come. Nevertheless, the number of those surveyed, who project the economy to slip to the contraction area, rises to 5, up from 1 a month earlier.
Meanwhile, the Asia-Pacific region is seen to continue its steady path towards the business peak phase, even though the number of professors that expect the economy to reach this level, declines from 6 to 2 in July.


Figure 9 presents a discrepancy in views on the economic outlook among the local and foreign experts. In July just like a month before, the local and foreign professors disagree on every region’s economic stance in the short and long term.
When comparing Europe’s six-month economic outlook, it appeared that foreigners are more upbeat than Europeans , with discrepancy in views reaching 0.05. However, when it comes to long-term, local professor’s morale is much higher than their overseas colleagues, as difference in opinions rise to 0.10.
Meanwhile, North American respondents seem to be not that optimistic about their region’s economic prospects. Experts outside the region are more convinced that the economy has fuel to ensure strong and sustained growth. The discrepancy in the short and long term forecasts reaches 0.08 and 0.06 points, respectively.
While experts in Asia-Pacific share more positive outlook for the region’s future economic stance than their foreign colleagues, in the long-term they feel less confident compared to professors outside the region, with the discrepancy increasing 0.13 points.

Highlights of the latest Marker Research release on AUD.
Full research available here​.



The Greenback was undisputedly the best performer during past 5 days as its currency index rose to the top against a background of good news. Despite the Friday’s fall caused by the rise in unemployment, USD still managed to recover by Tuesday, ending the period with a healthy 0.57 % advance. Meanwhile, CAD had a disappointing period ending it with a 0.53 % drop from its baseline. SEK had the most conspicuous index these past few days as a series of negative GDP and positive PMI made it fluctuate quite a bit. The Kiwi is the sad story of the period as it struggled to reach the 100.6 mark just to take a massive hit from a fall in dairy prices ending the period at the 99.7 mark.



The elevated volatility proportions and the values of Volatility Indexes of both the market and AUD/USD currency pair were on their average levels during the period. It is worth noting that generally tranquil EUR/CHF was unusually dynamic and became the most volatile pair in terms of elevated volatility proportion past week. The highest peak of the volatility was reached by USD/SEK after the release of surprisingly low Sweden GDP, when the pair’s Volatility Index surged to 5.09 mark. Thus, Sweden GDP release can be recognized as the most resonant event of the period.



The components of the Australian dollar significance measure were strongly correlated over the observed period. The short-term correlations between AUD/USD and other AUD crosses varied from 0.47 to 0.79. The only exception was correlation with AUD/NZD, a few falls below the null level provided the component the weakest result of the week. Compared to the long-term values, most of the correlation pairs have lost 0.06-0.16 points, and distributions of the correlations have shifted down. The composite also showed a solid bond, holding in a range of 0.43 to 0.79. Nevertheless, the measure had a lot of ups-and-downs and ended the week on the relatively low level of 0.44.

Highlights of the latest Marker Research release on EUR.
Full research available here​.



The past week was not so successful for the Euro, and it ended the period with the loss against almost all observed currencies except AUD, NZD and GBP. The lowering of the UK Manufacturing PMI, pushed the pound down, but disappointing industrial and manufacturing productions values have not allowed GBP to rise. The end of the week was marked by the shocking jump of the Australian unemployment to 12-year high. AUD fell from 100.51 to 99.65, and became one of the main losers of the week, second only to the Kiwi. Meanwhile, the period was prosperous for the yen. The raise of the Japan's leading index drove JPY up, but the climb of the Foreign bond investment has strengthened positive dynamic, and JPY ended the week with the 0.92% growth.



The measure of the Euro volatility, calculated as a composite of the all observed EUR crosses, was rather elevated during the week and reached 38%. A half of the measure constituents were even more turbulent, thus EUR/JPY and EUR/SEK held above the historical level 44% and 43% of the time respectively. Nevertheless, the highest spike of the volatility was in pair EUR/AUD, and was caused mostly by the sharper-than-expected rise of the Australian unemployment. It served as an impetus for the both EUR and the market volatility, and they reached 1.60 and 1.82 marks respectively.



The week was relatively dynamic for the single currency, with several events which noticeably influenced its value and forced the correlations of the Euro crosses to rise. Nevertheless, the correlations during the period were weak, and average values have not reached even the 0.6 level. Compared to long-term values, mean correlations of the all components except EUR/USD and EUR/GBP have decreased, and the distributions of the correlations have shifted to the lower tails. Consequently, the composite has held in a low level during the period, ranging between 0.09 and 0.3.

Highlights of the latest Marker Research release on USD.
Full research available here​.



The USD index was third top performer of the past week, while the Swedish krona posted the greatest decline of 0.37%. It is worth noting that against the background of mixed data on Sweden economy the krona was one of the most conspicuous currencies during two past weeks. However, the sharpest movements of the past week were drops of AUD and CAD on Thursday and Friday, respectively. Unexpectedly high Unemployment Rate and much more pessimistic than expected Change in Employment in Canada were the most resonant events of the period. The yen became the leader with 1.2% advance in Friday’s morning, but finished the period with depreciation, thus gaining only 0.68% over base value.



The week was rather turbulent in terms of the market and USD volatilities. USD/JPY and the U.S. dollar crosses with European currencies were most volatile in the observed period. USD/JPY held above the historical level for 56% of the week and experienced one of the highest peaks of volatility. However, the most noticeable surge was observed in pair USD/AUD. The unexpectedly high Australian Unemployment Rate has risen pair’s Volatility Index to the 5.45 mark. The spike has effected all currencies and the overall market stability. Thus the market and the USD Volatility Indexes rose to 1.77 and 1.55 levels, respectively.



During the past week USD significance measure was quite volatile as its index fluctuated between 0.13 and 0.63 marks. Nevertheless, the composite ended the period just above 0.4 mark. Looking on a smaller scale, individual correlations of the period were mostly within their long-term limits, with the exception of USD/EUR and USD/JPY correlation, which was somewhat elevated from its usual 0.2-0.3 level to 0.4. Correlations between the pairs including the Greenback were mostly positive with a few exceptions around news releases when negative correlations could be observed.

Highlights of the latest Marker Research release on CAD.
Full research available here​.



After spending the previous period below the baseline and ending up with the largest loss, the Canadian dollar recovered and became the best performer of the week. However, all currencies ended the period with the change not exceeding 0.5% level. The unexpectedly low UK Trade Balance pushed the GBP index down, and it has ended the period with the worst result. August 8 was rich with news coming from Japan. Despite weaker exports, BoJ decided to keep monetary policy unchanged in August, and JPY index gained the week’s best value of 100.95. Nevertheless, the yen have finished the week with only the second-best result, losing 0.07% against CAD.



Rich with news releases, the end of the previous trading week was rather turbulent for the market. That caused several currency pairs to have a high percent of elevated volatility. Indeed, CAD/JPY Volatility Index spent almost 50% of the time above the historical level. However, the highest spike was provoked by the Aussie after unexpectedly bearish unemployment data came out on August 7. All in all CAD/JPY and AUD/CAD were the only currency pairs that finished the observed period with an average volatility higher than usual.



The past week can be apparently divided into two parts of weak and strong correlations between the Loonie’s crosses. The average correlation, which measures currency’s strength, was above its historical level during the period from Wednesday till Friday’s noon. The picture changed dramatically on Friday. During the rest of the period, in contrast to previous days’ average of 0.39, the mean value of the gauge reached 0.63 mark, which is notably higher than historical level. In fact, such a pattern can be explained by plenty of influential news on different countries’ economies at the end of previous trading week, but absence of such at the beginning of current week.

Highlights of the latest Marker Research release on EUR.
Full research available here​.



The Swedish krona became the top performer with a 0.77% gain over the week. The pound, in turn, have spent all the period below the baseline and suffered great 0.85% losses on Wednesday as BoE Quarterly Inflation Report dampened the hopes of future interest rate rises and cut wage growth forecast. As a result, GBP was the worst performer and lost 1.06% of its base value over the week. One more conspicuous moment was the CAD response to a pessimistic employment data on Friday, when it lost 0.65% of the value, but had fully recovered till the end of the observed period. The rate changes of other currencies under study remained in the range between -0.54% and 0.54 %.



The volatility of the Euro was very similar to market volatility in terms of both elevated volatility proportion and Volatility Index values. There were several times, when the spikes of Euro Volatility Index exceeded the DB Volatility Index peaks, indicating that the rises of turbulence were to some extent caused by the single currency’s movements. Such a pattern was observed on Friday’s morning after the release of French Industrial Output and Euro zone Economic sentiment announcement on Tuesday. Thursday’s releases of Euro zone CPI and Preliminary GDP, in turn, became the most volatile news on Euro during the week.



The past week was rather dynamic for the Euro significance measure and its components. Compared to the previous period, averages of the all components (containing EUR/USD) increased for 0.12 - 0.35 points. The exception was EUR/USD correlations with EUR/CHF. The Switzerland ZEW Economic Expectations report has strengthened the negative bond between mentioned pairs, the correlation coefficient reduced up to -0.52 mark, and week’s average became -0.37. In long-term values the bond between EUR crosses also became stronger and has increased for 0.09-0.25 points during the year. In turn, the composite has spent the period in the usual range, fluctuating between 0.12 and 0.33.

Highlights of the latest Marker Research release on USD.
Full research available here​.



The past week was a rather futile one for the U.S. dollar. None of the bursts and falls managed to start a trend, and the overall USD Index movement was flat. However, while the beginning of the week saw the index hold above the base value, Friday was marked by mounting losses, and the dollar posted negative weekly change against five out of its eight observed peers. The period’s best performers, the Canadian dollar and the Swedish krona, both gained around 0.75% against the Greenback, while the period’s losers, the pound and the yen, only gave up 0.37% and 0.29%, respectively.



The past week was rather tranquil for the U.S. dollar. Both the market and the USD Volatility Indexes held above the historical level in only around 20% of the time. The percent of elevated volatility of the components has also declined. Thus, the portion of the heightened volatility of USD/JPY, the most elevated pair of the previous period, has decreased by 37%. The most noticeable volatility spike happened on Wednesday, when GBP/USD volatility jumped to 5.88 mark following the BoE quarterly inflation report and Mark Carney speech. However, the event had limited effect on the market and USD volatility, whose corresponding peaks were only 1.79 and 1.52 high.



The correlations between USD pairs were rather strong during the observed period. Their distributions were notably skewed towards the greater historical values, pointing out relative significance of correlation positivity.
The composite started the period with two days of moderate values. In absence of influential news on the U.S. economy, and in light of Canadian housing starts release on Monday and disappointing data on New Zealand house prices and Euro zone economic sentiment on Tuesday, which notably influenced the domestic currencies, the USD significance measure was fluctuating around feeble 0.3 level.

Highlights of the latest Marker Research release on GBP.
Full research available here​.

The past period was extremely discouraging for the British pound, deepening the recent downtrend of the index and causing the currency to lose around 1% of its opening value. As a result, the GBP Index ended up being the period’s worst performer, and posted the second-greatest loss over the past 20 trading days. Longer term changes also lost some of their optimism, but managed to remain positive. Compared to the period ending on August 12, the long-term gap between current and past GBP Index’ values tightened by around 2%, with half-yearly growth slipping to 0.5% and yearly increase barely holding above 7%.

In terms of maximum peaks and highest average levels of volatility index, the pound was the most turbulent currency of the period. It also had third highest portion of elevated volatility, surpassed only by the New Zealand dollar and the Swiss franc. And while the periods of elevated volatility were largely affected by foreign events, the massive spikes were all reached in response to the British fundamentals. Among the pound’s crosses, GBP/CHF, GBP/NZD, and EUR/GBP spent the most time in the turbulent area, all holding their average volatility indexes above 1.

The short-term average correlations between GBP/USD and other observed pound crosses were rather close to long-term values, and varied between 0.22 and 0.66. The relatively high average correlations indicated solid positive relations between the pound’s pairs. There were only a few cases of negative correlation. Namely, Friday’s raise of the yen caused the weakening of bonds between the GBP/JPY and other GBP crosses, pushing the pair’s correlations with GBP/CAD and GBP/SEK to drop to -0.64 and -0.43 levels respectively. The overall significance measure of the pound had a lot of ups-and-downs during the period, and was fluctuating in a range from 0.17 to 0.90.

Highlights of the latest Marker Research release on EUR.
Full research available here​.



During the period the Euro Index remained mostly unchanged, with minor fluctuations around the baseline. The U.S. dollar, in turn, became the top performer of the period with 0.68% Index gain. The yen was constantly falling during the last two days, so it finished Thursday behind its counterparts with 0.85% loss over the base value. The most conspicuous in terms of Currency Index movement dynamics was the New Zealand dollar, which experienced several notable drops and recoveries. The Kiwi’s dip after the release of unexpectedly declining PPIs became the sharpest currency change over the period.



Compared to the period ending on August 19, the highest peaks, the average level, and the portion of elevated volatility all subsided for the Euro, and the single currency remained virtually indistinguishable from the market in terms of turbulence. The spikes of the observed Euro crosses were uncoordinated, keeping the composite EUR Volatility Index largely below the 2 point mark even as the individual components reached as high as 4. EUR/CHF and EUR/NZD were the pairs with highest percentage of elevated volatility, EUR/GBP, EUR/JPY and EUR/CHF volatility indexes reached the highest levels, but EUR/CHF, EUR/NZD and EUR/USD indexes had the greatest average values.



As was seen in both Currency and Volatility Indexes, the single currency did not experience any market shaking moves throughout the period. The observation was well supported by the Euro significance measure, that spent the period on a very feeble level and had the smallest average value among the observed currencies. The composite’s weakness was largely induced by negative correlations, originating mostly from EUR/CHF combinations, that on many occasions diminished strong readings of other components. The average composite value stood at 0.23, while the maximum value barely reached over 0.4.

Highlights of the latest Marker Research release on USD.
Full research available here​.



After ending the previous period in the depreciation area, the U.S. dollar Index managed to recover and became the best performer of the past week. The second place was taken by AUD. In contrast to USD and AUD, that posted impressive gains of 1.18% and 0.96%, most of the other observed currencies were not so successful and finished the period below the baseline. The week was especially hard on the yen. After unexpectedly low Japan merchandise trade balance data, JPY began to decrease, and by the end of the period its index has dropped to -0.76%.



The past trading week was rather calm for the market, with only 24% of elevated volatility and 2.15 maximum peak of the Volatility Index. The dollar’s volatility exceeded the market in terms of both high turbulence proportion and index values, pointing out several events that significantly influenced the Greenback. The most conspicuous spike of the USD Volatility Index, as well as the greatest peaks of almost all its components, took place during the weekend against the background of Jackson Hole Symposium.



The USD significance measure’s movements were pronouncedly directional throughout the period, with the rather high average level of 0.5 serving as both support and resistance mark. Nevertheless, the composite showed modest results among the observed currencies, exceling in neither highest peaks nor strongest average level. The feebleness was especially noticeable in the first half of the period, when the USD average correlation produced third-weakest values. At the same time, the bonds in the USD/EUR components notably strengthened compared to their longer-term values, and the pair’s correlations with USD/AUD, USD/CAD, and USD/SEK gained as much as 0.1-0.15 points.

Highlights of the latest Marker Research release on GBP.
Full research available here​.



The pound’s evolution throughout the past five trading days was wavy, but, after the plunge on August 19 CPI data, the base value for the currency was not high, and the GBP Index managed to hold above the baseline for most of the period. The index posted a 0.22% weekly gain, significantly improving its results compared to the past few periods. Three of the observed currencies — the U.S, the Australian, and the Canadian dollars, — were steadily surpassing the pound, and ended up reporting greater advances. The other currency indexes finished the period well below the baseline. Meanwhile, the monthly change of the GBP Index remained negative.



The period was modest in terms of volatility, with both the market and GBP indexes holding above historical average for only one fifth of the time. GBP/NZD was the only pound’s cross with the portion of elevated volatility greater than 30%, and with that posted the greatest average volatility index value. Meanwhile, the EUR/GBP and GBP/CHF indexes reached the period’s highest peaks, both against the background of the BoE minutes release.



The observed period was marked with low correlations of GBP/USD and GBP crosses. All the distributions were significantly skewed down, which brought mean correlations closer to zero. One reason for that could be the period covering only a few UK data releases in contrast with a host of data from other countries. Thus, the average correlation of GBP pairs, which measures significance of the currency, started the period on a relatively strong 0.56 position, but weakened shortly and was varying in range from 0.20 to 0.48 for the rest of the time.