Dukascopy Market and Economic Research

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



The EUR Index spent the whole period below the baseline and held steadily among the worst three performers. In this regard, the index ended the period second, deepening the loses of the past periods with a –0.69% weekly change. The longer-term developments also remained on the negative side, with the 18-nation currency showing one of the greatest half-yearly declines among its observed counterparts. The only peer to underperform the Euro was the Swedish krona, whose index was closely following that of the single currency throughout the period, but plunged after disappointing retail sales on Thursday.



Both the market and the Euro turbulence picked up compared to the period ending on August 26, with portions of elevated volatility rising closer to one third. EUR/CAD, EUR/CHF, and EUR/USD were most notable in that aspect, as their volatility indexes exceeded historical averages for over 40% of time. The most traded currency pair was also the one to reach the highest volatility peak, with its index spiking above 4 during the weekend. All in all, however, while the Euro was among the period’s leaders in terms of elevated turbulence, its greatest volatility spikes were well below average compared to other observed currencies.



Even though the period was not rich with European data releases, the composite, on average, was holding at the usual level of 0.28. Compared with the previous period, the sort-term values of components also remained almost unchanged. The most noticeable development was the 0.17 points rise in correlations between EUR/USD and EUR/CHF. In the meantime, the bond between EUR/USD and EUR/NZD has weakened. Comparing the current value with the ones of the previous week and the previous year, average correlations has decreased for 0.09 and 0.21 points, respectively.

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



The USD Index was not particularly strong in the past week, as it spent the biggest part of the period below the baseline. Nevertheless, it did manage to finish the period outside the depreciation region and notably outperform three of its observed peers, with the Greenback gaining 0.78% against the Swedish krona, 0.57% against the single currency, and 0.33% against the Swiss franc. The yearly change of the index slipped further into negative area compared to the period ending on Friday, while the monthly and half-yearly figures both went up. Meanwhile, the dollar weakened the most against its Canadian counterpart, losing 0.78% over the week, and yielded 0.33% and 0.26% to the Aussie and the pound.



Despite the fact that the week started with high volatility values, as a whole it was rather calm. The portion of elevated volatility for both market and USD was only 23%, which is lower than usual. Moreover, the fact that high volatility was observed in 16% of time for some components and 40% for others, pointed out that the turbulence on the market was caused by USD only in relatively few cases. Low volatility indexes readings – average values mostly below 0.9 – suggested the same. optimistic Australian private capital expenditure announcement and Canadian GDP release, respectively. The peaks of components’ volatilities also were not provoked by the news on U.S. economy.



The USD significance measure was gradually declining throughout the period, but still held above the significance threshold of 0.3. The composite was among the top-three in terms of maximum and average values, yielding only to the New Zealand’s significance gauge and sharing the levels with the Canadian and the Australian dollars. The component correlations with USD/EUR mostly kept within their historical limits, excepting the combinations with USD/GBP, USD/CAD, and USD/SEK that diverged from the norm by shifting up.

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



Though the markets were waiting for the Japanese Yen to start falling, it was not until the end of last week, when the bears finally took control of the situation and initiated a downward trend that still remains intact. Before that the value of the Yen was fairly stable, and even at some intervals it was attempting to gain some value, as was the case last Thursday, when continuously disappointing data from the Euro zone prompted investors into buying safer assets, and only surprisingly positive reading on the U.S. GDP prevented the Yen from appreciating even more. The next day proved to be critical for the Yen, as the risk-avoiding sentiment has somewhat subsided in the light of better worldwide macroeconomic background, heralding a new trend.



On Monday the Japanese Yen kept on moving downwards, as there were no game-changing events due to a banking holiday in the United States. But Tuesday was a different story, but rather than reacting to the RBA rate statement or U.S. manufacturing data that was published later that day, these were rumours regarding the management of the world’s largest pension fund that triggered a massive exodus of money away from the Yen-denominated assets. The fund will now likely become more aggressive concerning its investment policy by diversifying more into foreign securities. As a result, the currency plunged 0.24% just within a few hours, with its index finishing the five-day period 0.7% below the base value. The loss was particularly substantial against the U.S. Dollar (-0.97%) and its Canadian counterpart (-1.05%), while the Swedish Krona was almost as bearish (-0.17%).

August Release of Dukascopy Bank SA
Full report

 

1. August was full of economic events from all around the globe which definitely have had an impact on professors’ perception of economic situation in the world. Experts’ six-month economic outlook continued its downward trend, reaching the lowest level since September 2013. In contrast, longer term sentiment index rebounded from the 12-month low reached in July, pointing to renewed optimism in the world economic strength three years from now.
2. While the U.K. expanded in a more rapid pace than previously estimated in the second quarter, outperforming the U.S., Japan, as well as European countries, the Euro zone leading economies have been losing steam, recording disappointing fundamentals in August. This in turn has translated into professors’ dimmed short and long term outlook for the region’s economy, as both indexes fell considerably in August.
3. Across the Atlantic, the index, designed to measure short-term economic expectations, stood unchanged from the previous month, while three-year sentiment index recovered from an unexpected slide in July.
4. Asia-Pacific continues to outperform other regions, as its six-month economic outlook reached the highest level this year, while three-year sentiment index hit the second highest point this year.

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



Euro finished last week on a weak footing, as German retail sales growth turned out to be negative. A little later demand for the currency slightly increased, but was damaged by the better-than-expected Chicago PMI. The situation improved on this week’s second day. First, weakness of the Yen due to speculations regarding Japan pension fund reform helped the Euro to negate its prior losses. Then, surprisingly good U.S. Manufacturing PMI benefited not only the U.S. Dollar, but also prompted investors into buying Euro and abandoning Sterling, Aussie and Kiwi. But Wednesday already revealed that appreciation of the Euro had its limits—Euzo zone retail sales contracted more that expected.



But the main events took place on Thursday, when the common currency lost 1.2% of its value, because the market turned out to be unprepared for what was coming. This day was destined to be characterized by elevated volatility, since apart from the ECB meeting, there were also the MPC meeting, BoJ statement and U.S. unemployment claims. However, very few believed the European monetary authority was going to cut the rates this meeting, most experts were lulled by Draghi’s hesitation to act before. Only six of 57 economists surveyed by Bloomberg were right. As a result, the Euro saw 0.9% depreciation since Aug 29.

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



The past week was quite successful for the Greenback. In contrast to the previous week, it spent most of the time above the baseline ending up as a second best performer of the period. The first place was taken by AUD, which had its biggest breakthrough on Thursday alongside with USD and CAD. The same day was crucial for European currencies, especially the Euro and the Swiss franc. They lost more than 1% of the opening value after unexpectedly bearish ECB Interest Rate Decision was announced. Nevertheless, GPB was the most unsuccessful of the currencies, as its index was constantly sinking during the period and, as a result, ended up below -1.5% mark.



Despite the serene start, overall last week was rather volatile with 39% portion of elevated volatility. Looking closer at the Greenback pairs, we can observe quite a variety. While some pairs like the EUR/USD and USD/CHF had a low proportion of elevated volatility— 23% and 25%, respectively, there were pairs whose volatility was elevated twice the amount of time, such being the USD/JPY and GBP/USD with 45% and 50%. In addition to high overall volatility, there could be observed huge surges and new highs in volatility levels. The most noticeable being GBP/USD pair, which, due to highlighted risk that Scotland might vote for independence next week, peaked at the 13.31 mark right at the end of the observed period.



During the week the correlations of USD pairs were mostly on and below its historical levels. The average correlation, which measures the significance of the U.S. dollar, experienced several surges and drops, which pointed out the moments, when the Greenback or its counterparts drove the market.
The first day of the week was spent in absence of news from the United States, so starting the period at 0.54 the gauge dropped to low 0.2 mark in the evening. However, it fully retrieved early Monday, when USD rose against its counterparts and all the USD correlations became significantly positive.

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



The Sterling had the bearish bias from the very beginning—already last Wednesday the market started to slowly sell-off the currency, even though the fundamental background favoured an increase in demand because of the better-than-expected services PMI. A similar picture was observed the next day—the Pound lost even more ground, as the BoE remained unwilling to raise the rates, citing slow inflation and weak wage growth. At the same time, it is interesting to note that GBP was the least sensitive currency to the rate cut by the ECB—while most of the other currencies moved 0.5% or more, the Sterling just moved 0.11%.



Friday’s events, even though largely disconnected from the United Kingdom, shook the Sterling a little more, but it was the Scotland independence referendum poll results that had the most effect on the currency. Compared to the value late Friday, the Pound was 0.85% cheaper when the markets opened this week. Before the noon the currency was attacked by the bears once again. But these losses have been negated since then, having no fundamental ground behind them—only falling growth of home prices. There was a good reason to buy the Pound yesterday, with Mark Carney saying that “the recovery has exceeded all expectations”, but the gains were limited—merely a 0.22% advance within a day.

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

The Euro Index spent the past five trading days recovering from its more than 1% slump on September 4, when ECB’s unforeseen decision to cut interest rates shook the single currency. In the course of the past period, the Euro managed to regain its pre-fall positions against most of its peers, lacking in strength only in pairs with the Greenback, the pound, and the Canadian dollar. As a result, the EUR Index finished the period as second-best, posting a virtual tie with the USD measure and largely outperforming its other observed counterparts. The longer-term index change remained negative, but notably improved compared to the previous readings.

The past period appeared to be even more turbulent than the one ending on September 9, with Wednesday and Thursday adding 3% to the market’s portion of elevated volatility and putting it at 59%. However, the Euro, in its gradual recovery and general absence of shocking factors, was the least volatile of all observed currencies, both in terms of average volatility index values and the percentage of its higher-than-historical readings. As the single currency lacked fundamentals that would support synchronised exchange rates movements, the peaks reached by the EUR Volatility Index were mostly caused by the individual components, with EUR/GBP, EUR/CHF, and EUR/AUD bringing the most turbulence to the composite.

The Euro significance measure largely confirmed the idea implied by the volatility data — the single currency was indeed far from being the main market driver of the past period. Both the average and the minimum values of the EUR composite correlation were lower than the ones of its peers, and the composite itself spent the period among the weakest measures, joined at different time moments by the Swiss franc’s, the Swedish krona’s, and the yen’s gauges. The component correlations were diverse and unstable, and their distributions notably shifted away from the high values.

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



The USD Index continued its strengthening trend, closing this year’s most successful period with a 1.42% weekly gain. Backed up by a heightened expectations of a rate hike, the Greenback yielded only to the pound and stroke a virtual tie with the Euro, leaving all other peers far behind. On the longer-term scale, the appreciation gained momentum as well, with the index monthly change reaching +3.54%, while both half-yearly and yearly gains exceeded 4%. With such readings, the U.S. dollar came to be the period’s top performer amongst the observed currencies.



The week turned out to be slightly less turbulent than the period ending on September 11, but on a bigger scale was still exceptionally volatile. With the 58% of elevated volatility, the dollar appeared to be more unstable than the market, and was surpassed only by its Australian counterpart that posted a reading of 63%. AUD/USD and USD/CAD were the most turbulent dollar pairs, having their portion of elevated volatility at over 60%, while EUR/USD and USD/CHF, with the measure reaching slightly above 40%, were the most stable.



The average values of correlations between USD/EUR and the rest of the dollar pairs varied from 0.4 to 0.9, and have noticeably risen compared to their long-term values. In turn, lower tails of correlation distributions have shifted closer to averages, pointing to the stability of the relationships during the week. The only exception was the bond between USD/EUR and USD/GBP, whose mean correlation was only 0.4 as against 0.48 in the previous period. Furthermore, for the first time in weeks almost all components held above zero throughout the entire period.

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



The Australian dollar continued on a steep downtrend that started with a slump on September 9. Losing 1.23% from its Wednesday value, the AUD Index showed the worst results among the observed currencies for the third consecutive period. The index still managed to hold in the appreciation area on a longer-term scale, but its monthly change slipped below zero.



The past week was marked by the incredibly high portion of the elevated volatility, as the AUD Volatility Index held above the historical level for more than 70% of the observed period. Almost all Aussie’s index components were elevated for more than 60% of the time, with the measure for AUD/USD reaching as high as 78%. Nevertheless, with the exception of a few peaks, volatility indexes did not exceed a 2 points level. The most noticeable volatility spikes occurred in pairs AUD/NZD and AUD/USD, whose indexes surged to 6.95 and 6.04 marks, respectively. Meanwhile, the portion of elevated market volatility has slightly come down compared to the previous week.



The AUD composite correlation held on such exceptionally high levels throughout the period, that its minimum value ended up greater than the maximums of the Euro and the yen measures. The strengthening was palpable in all AUD/USD components, as their period’s averages exceeded the historical values for 0.1-0.2 points, and 5-day distributions cut their lower tails short. Admittedly, however, it was the case when the growth in the significance measure originated from the currency’s weakening across the board.

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



The EUR Index was steadily growing after its slump over the ECB’s rate cut on September 4, but this week seemed to see its long recovery come to a halt. The single currency posted loses against four of its observed peers and came at a tie with the Greenback, thus outweighing only the yen, the Aussie, and the Kiwi. The fallback, however, was not major enough to critically affect the index long-term performance — its monthly and half-yearly loses stayed around the same level, while the yearly change slid from +0.1% to slightly below zero.



The period saw the turbulence subside from the extraordinary levels of the previous week, with the portion of elevated volatility falling back below 50% for the market and closer to usual 30% for the Euro. The maximum values of volatility, however, were renewed, as Wednesday and Thursday brought in sharp peaks to both the market’s and the single currency’s indexes. Among the Euro crosses, EUR/SEK, EUR/NZD, and EUR/AUD reported the greatest portions of elevated volatility, all gauges reaching above 40%, while EUR/SEK and EUR/CHF spiked to highest values, both posting maxima of over 5 points.



After the sharp drop of the Euro significance measure in the beginning of the previous period, the composite continued to hold on quite a low level, fluctuating within the range of 0.07-0.36. The mean values of most components also remained virtually unchanged. The only exceptions were EUR/USD correlations with EUR/AUD and EUR/NZD, whose bonds have noticeably weakened and even became strongly negative right after the PBoC announcement. Compared to the long-term values, averages of all components were reduced, and correlation distributions shifted down.

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



After the persistent uptrend of September 8-12 week, the movements of the USD Index became less ordered as the gauge wound around the baseline. By the end of the period the index came to be the last among gain-posting currencies, with the dollar outperforming only a half of its observed peers. A 0.15% gain over the base value proved to be moderate compared to 1% advancements the index was posting in the previous periods, and slowed down monthly and half-yearly growth. The yearly change, however, gained 1% to report a 5% increase. With that the USD Index turned out to be second-best on a longer-term basis, yielding, on different timeframes, to the pound and the Loonie.



The market seemed to have returned to the usual order of calmer Monday and Tuesday and more turbulent second part of the week, but the portions of elevated volatility still remained increased. The dollar was among the majority of currencies for whom the measure reached as high as 50%, but also reported to be 1% calmer than the market — a change from several previous periods when the standings were opposite. For the second week in a row all USD volatility components had their average values above the normal level, with most reaching maxima of over 4 points.



The overall performance of the USD significance measure remained unchanged from the previous period. The composite ranged from 0.37 to 0.78 and was mostly holding below the average level, while almost all components rose slightly compared to their long-term values. The most noticeable growth was observed in correlations between EUR/USD and AUD/USD, where the bond has strengthened by 0.16 points. In turn, the biggest loss occurred in EUR/USD correlation with USD/SEK, but it only made up 0.06 points. Distributions of the component correlations have pulled lower tails closer to the center, and some of them even made their upper tails heavier.

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

​

The GBP Index was recovering during the past two weeks after the hard blow it took from the Scottish independence poll on September 8, and at the end of the period posted its greatest weekly growth this year. The index dominated its counterparts throughout the whole period, and with a final 1.86% advance over the base value became the period’s top performer, leaving the second-best USD gauge almost 1% behind. The pound rose more than 1% against most of its observed peers, reporting the highest gains over the Australian dollar (+3.51%), the New Zealand dollar (+2.33%), and the yen (+2.17%).



The beginning of the period was immensely turbulent – the pound’s Volatility Index has spent about 70% of the first three days above its historical level. The highest portion of elevated volatility in these days was observed in GBP/AUD, GBP/NZD, and GBP/CAD, whereas the highest spike was reached by the GBP/JPY index. Nevertheless, the overall level of GBP volatility peaks was not particularly high and its index did not exceed 3 points. For comparison, the U.S. dollar Volatility Index reached a 3.99 mark in the time of the Fed’s conference, while the Loonie’s turbulence gauge jumped as high as 4 points right after the release of the Canadian CPI numbers.



The pound’s significance measure continued to hold on a very high level, with its average value at least 0.05 points higher than those of its peers. It largely overtopped its counterparts in the middle of the period and by the ended of it was only outrun by the Australian and the New Zealand dollars’ composites. The strife was apparent throughout the whole period as GBP/USD combinations with the GBP/AUD and GBP/NZD reported the weakest bonds and were the only ones to produce negative values. Aside from that, all GBP/USD components lifted their means above long-term readings, with most distributions exhibiting shortened lower and heavier upper tails.

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



Compared to the period ending on September 18, the EUR Index showed a similar result of close to no change over the five trading days, albeit spent considerably more time below the baseline. The index long-term changes remained unsettled, as monthly progress exceeded zero after the previous reading of –0.59, while yearly decrease deepened from –0.01 to –0.67. The Euro depreciated against three out of eight observed peers, most notably the dollar and the yen, which gained more than 1% over the single currency. The only currency to lose as much against the Euro was the Kiwi that tumbled down at the end of the period.



With the turbulence of the previous week’s events almost out of the sample, volatility notably subsided in the past period, and both peak highs and portions of overturbulence generally decreased. The Euro with its 39% of elevated volatility was the second calmest currency after the Swedish krona, and one of three currencies that ended up with their average volatility index values below one. In terms of volatility index levels, the past period was the most tranquil one for the single currency since late August.



The single currency’s significance measure spent the past five trading days on unusually weak levels. Holding around its average value of 0.19, the composite failed to exceed even the 0.35 points mark. Compared to the previous short-term readings, almost all Euro correlation components lowered their average values. The most noticeable drop occurred in the correlations with EUR/CAD. The Canadian CPI report has caused the rise of the CAD Index and, as a consequence, made the bond between EUR/USD and EUR/CAD negative. EUR/USD correlations with the Pacific currencies were the only ones to show some strengthening.

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



The strengthening of the USD Index has been gaining pace since the Fed’s monetary policy press conference on September 17, and by the end of the past period finally drove it to become the top performer. The index posted a 1.62% growth over the past week, almost 0.5% above its closest counterpart, as the dollar gained more than 1% over six of its observed peers. The USD Index also took a clear leading position in respect to the long-term advancements, with both half-yearly and yearly growth standing at over 6%, and monthly change reaching above +4%.



Volatility generally normalized during the past week, with the portions of overturbulence going down from their recent extreme levels and holding closer to the previous month’s numbers. The USD Volatility Index reported an average of less than 1 for the first time since late August, but still indicated greater instability than the overall market’s measure. The dollar was fourth both in terms of the index levels and the portion of elevated volatility, with its readings exceeded by those of the Asia-Pacific currencies on both accounts. Consistently, AUD/USD and NZD/USD were the only components with the portions of elevated volatility as high as 50%.



The Greenback’s significance measure and its components were strengthening throughout the period, raising their average values above the historical levels. Nevertheless, the USD/EUR correlations with other European currencies’ pairs were the only ones to gain some points over the previous period’s short-term values. The strengthening was especially noticeable in the bond between USD/EUR and USD/SEK. In turn, components with Pacific currencies have lost in both long-term and short-term values, lowering by over 0.1 points from the previous period.

Highlights of the latest Market Research release on JPY.
Full research available here​.



Almost a month-long decrease of the yen index, caused by the Japan’s Pension Fund reform, seemed to have come to an end, and the past periods saw it start to recover. During the past five trading days the JPY Index was sharing the second-best’s status with the CAD gauge, but disappointing Canadian GDP pushed the Loonie down, and the yen ended the period losing only to the Greenback. The 2.08% decrease made the Kiwi the main loser of the period. The NZD Index was on a downtrend since the beginning of the period, and the confirmation of the RBNZ intervention in the currency market last month resulted in a dramatic fall of the Kiwi to its new one-year low.



The period was associated with moderate volatility values and medium portion of elevated volatility for both the market and the yen. As can be seen from tables, the New Zealand dollar was the period’s most volatile currency – its the Volatility Index reached the 5.27 level early on Monday. Moreover, the greatest peak of the market volatility took place at the same moment, and the JPY Volatility Index reached its maximum of 1.69 a couple of hours later. Despite the fact that a host of influential news on Japan’s economy was released during the period, there was no evidence of significantly growing turbulence which means no strong reaction to them.



During the period the correlations of JPY pairs were mostly on their historical average levels. Only Tuesday stood out for low correlations that are reflected in the heavy lower tails of the component distributions.

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



After a week of moving back and forth around the baseline, the Euro seemed to settle for a downtrend in the past three trading days. The single currency weakened against five of its eight observed peers, most notably against the Swedish krona that added its own strengthening to the Euro’s decline after a surge in the country’s retail sales. Consequently, the EUR Index was on its way to posting the greatest loss among the observed gauges, but managed to rebound and outpace the pound, the New Zealand dollar, and the Swiss frank. The monthly change came to have the post-September-rate-cut level as a base, and showed that the index only gained slightly more than half a percent over those values.



The observed period was rather turbulent for both the market and the single currency as the proportions of elevated volatility were near 50%. The New Zealand dollar remained the most volatile currency, and early on Thursday its volatility index reached the 5.31 points mark, taking the market’s index up to its maximum.



Putting aside the Tuesday’s peak, the Euro significance measure held on its usual feeble levels with an average of 0.2 points. For the third consecutive period, abnormally frequent negative values appeared in many EUR/USD components, with heavy lower tails of correlation distributions especially pronounced in combinations with EUR/JPY, EUR/AUD, and EUR/NZD. EUR/USD-EUR/NZD component was also notable for strengthening of its unusual negative bond, as its average shifted to –0.16 from the previous readings of –0.01 and to an even sharper contrast with the historical values. Another anomaly was the EUR/USD-EUR/SEK component that lifted its average 0.15 points above historical levels.

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



After a period of rapid growth in the end of September, the USD Index spent the previous week much closer to the baseline, mostly holding among average performers. However, Friday proved to be a defining day, as the index jumped above its top-three counterparts and finished the period with the greatest weekly gain. Its long-term changes also came to stand on the highest levels among the observed currencies, with monthly gauge at around +4%, and half-yearly and yearly measures at over +7%. The dollar gained more than 1% against half of its peers, including greater than 1.6% growth against the pound and the Swiss franc.



Overturbulence measure crept back to 50% after seemingly returning to its historical levels at the end of September. With 47% of elevated volatility, the dollar was more turbulent than the pound, the Swedish krona, and the Loonie, but much calmer than its Pacific peers, whose gauges stood at around 60%. The USD Volatility Index posted the average of over 1 point and the second highest maximum, reaching above 3 points for the first time since the Fed’s monetary policy press conference on September 17. Its most turbulent component was NZD/USD index, while EUR/USD gauge reported the highest spike.



The U.S. dollar’s significance measure was fluctuating around 0.59 points mark during the period, and managed to rise up to the level of 0.82 at the end of the week. Almost all components showed the upward trend, and average correlations strengthened compared to the previous values. Correlations between EUR/USD and USD/SEK were the only ones to deviate from the pattern. Releases of the European manufacturing PMI weakened the bonds with pairs containing European currencies, with especially significant fall observed in pairs with the Sweden krona.

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



The Japanese yen was the best performing currency in the period from October 1 till October 7, as its currency index advanced considerably on growing service sector of the economy and unchanged monetary policy stance from the Bank of Japan. The largest increase was seen exactly on Friday, when the BoJ made its final decision on interest rates, as it helped the Japanese currency to end period with a jump of 1.23%. Among worst performers, the British Pound’s index dropped 1.14% on disappointing news on manufacturing and services activity, even though construction sector expanded. The single European currency, in turn, ended the period virtually unchanged.



Both the elevated volatility proportions and the values of Volatility Indexes of the AUD/USD currency pair were above market average levels during the period. It is worth pointing out that especially the AUD/NZD cross was unusually dynamic and became the most volatile pair in terms of elevated volatility proportion past week. The highest peak of the volatility was also reached by exactly the same currency pair, even though released data was not supposed to drive this pair so much. However, the largest point for volatility index for this pair was reached at 6.15 points.



The components of the Australian dollar significance measure showed strong correlations over the observed period. The short-term correlations between AUD/USD and other AUD crosses varied from 0.58 to 0.78. The only exception was correlation with AUD/NZD, where a drop into negative territory provided the component the weakest result of the week, as its correlations stood at minus 0.17. Compared to the 20-day values, most of the correlation pairs have lost 0.01-0.20 points, but AUD/JPY pair added 0.03.

September Release of Dukascopy Bank Sentiment index
Full report

Summary

1. September’s release of Dukascopy Sentiment Index report shows that professors around the world remain pat on the global sentiment, as the corresponding short and long-term gauges were unchanged from the previous month. The index stayed at 0.59 and 0.69 for the six-month and three-year outlooks, respectively. The major economies continue to combat slowing inflation, the malaise which has been spreading among such countries as the US, UK, the Euro zone members, Japan etc. On top of that, political instability continues to weigh on experts’ outlook.
2. Not only business climate and consumer morale continued to deteriorate in the Euro bloc: experts who participated in the September’s poll have also been losing faith. The short-term outlook has been clouded by dangerously low inflation, historically high unemployment rate, and ongoing geopolitical crisis in Ukraine, which has jeopardized economic growth in the Europe’s number one economy. The ECB was forced to act again in September to save the flagging economy. However, the long term outlook improved slightly.
3. Sentiment index for the North American economy rebounded from the last month, with both indexes increasing. The US economy continues to show moderate pace of expansion and remains the leader in the region, while Canada’s economy unexpectedly stalled in July, suggesting the pace of the country’s recovery might have eased in the third quarter.
4. While China is experiencing bumpy business activity in both manufacturing and services sectors, as well as property slump, and Australia’s economy is seen to remain weak this year, New Zealand continues to surprise economists with its sound economic growth, and officials in Japan remain upbeat on the economy. Experts also were upbeat on the region’s short and long term prospects.