Dukascopy Market and Economic Research

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



The past week was quite successful for the single currency. The Euro Currency Index was ranging around the base line during almost the whole period, however, on Thursday, ahead of the ECB monetary policy meeting the index started to grow. Thus the EUR index ended the period with the third best result (100.56), losing only to the US dollar (100.71) and the Swiss franc (101.08).



In a terms of the elevated volatility, the market and the Euro continued the previous week tendency, and their volatility have declined even more. Thus the portions of elevated volatility of the aggregate and EUR were only 11% and 13% respectively. For the most of the components the past week also was rather tranquil, and they spent above the historical level 6% - 22% of the period. The exception were EUR/GBP and EUR/AUD, the components showed relatively high results, having held above the 1-point level 35% and 37% of the observed week. The highest peaks of the market and EUR volatility indexes did not even reach 2 points. Among the components, only EUR/CAD managed to overcome the 2-point level.



For the second week in a row the single currency significance measure continued to decrease. Thus in a five trading days the composite has weakened by 0.15 points. However, compared with the previous week the averages of the gauge and its components mostly remained unchanged. The most notable changes were in EUR/USD correlations with EUR/GBP and EUR/NZDaverages gained 0.08 and lost 0.08 points respectively. Most of the correlation distributions, have concentrated at the level of averages, almost entirely having lost the upper tail.

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



The period was unsuccessful for the Aussie – steadily depreciating during the week its index finished the period with almost 2% loss. A rest of the currency indexes in the end of the trading week were ranked between the 99.4 and 100.7 points levels. The Loonie shared the best performer’s position with the Euro, both indexes demonstrated 0.7% growth. The former notably surged on Tuesday, in reaction to more optimistic than expected GDP release. The Canadian dollar strengthened further against the background of manufacturing PMI and trade data releases. The Euro index, in turn, significantly grew on Thursday, when the ECB report on monetary policy meeting was published.



The past week was relatively tranquil for the market and all observed currencies. The Greenback and the market volatility indexes climbed above the historical level only in 15% and 11% of time, respectively. In terms of the portion of elevated volatility, the Aussie and the pound were the most turbulent currencies, both posting a reading above 20%. However, the values were not very high, pointing out that the economic events did not critically influence the currencies. Completely different situation was observed in Loonie’s and Greenback’s cases. The former notably reacted to the Canadian GDP release on Tuesday and its volatility index spiked to the 1.86 points level. The 3.0 peak of the USD Volatility Index was the highest among its peers. Nevertheless, their volatilities were above the average historical level for only 15% of time.



The dollar’s significance measure remained moderate, but stable, with only a few news-driven deviations from its mid-term average level of 0.5 points. The composite held above the majority of its peers throughout most of the period, highlighting relative dependence of the Greenback’s movements across the observed pairs. However, there were several times when other composites took the leading position. For example, the Aussie’s significance measure was richly supported by the currency’s prolonged weakening, while other top and bottom performers were changing too frequently to mark out any specific gauges.

March Release of Dukascopy Bank Sentiment Index
Full report available here.

1. One of the biggest stories on the global economic arena remains the weakness in commodity prices, particularly oil. Precipitous decline in crude oil over the past several months has been expected to be a net positive for many developed and emerging countries including the US, Europe, India, and China, which are net oil importers. However, oil and commodity exporters such as Canada and Australia have already been severely hit by decline in commodities. Adding to this diverging monetary policy around the world, we get a two-speed global economic recovery. Yet, both short and long term outlook continues to improve, as findings of Dukascopy Sentiment Index survey showed in March.
2. Professors sentiment towards Europes six month economic outlook skyrocketed in March, jumping to 0.49 up from 0.39 in the preceding month. It appears the the short and long term economic expectations have brightened as ECB has launched its massive 1 trillion QE programme on March 5 and Governor Mario Draghi's has stated a sustained economic recovery is finally taking hold in the currency bloc thanks to the central bank's stimulus as well as cheaper oil prices.
3. While uncertainty remains over the timing of US interest rate hike and Canada suffers from plunging oil prices, professors were confident in the regions economic future. Both six-month and three-year economic outlook improved in March.
4. Central banks in China, Australia, Japan and New Zealand decided to maintain their accommodative monetary policy stance in March to support their economies, further indicating that the regions economy has been struggling due to a number of international and domestic headwinds. Thus, six-month and three-year economic sentiment index declined in March, reflecting professors concerns over the Asian-Pacific economys health.

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



Even though the Australian Dollar performed in the most negative way among major currencies in the beginning of the period, this currency managed to overcome weakness and finish the trading week ahead of four its counterparts. All in all, the Aussie has only decreased by 0.12% from Wednesday of the previous week till Tuesday of this week. At the same time, the most significant decline was registered by the Swedish Krona and Japanese Yen, which slumped 1.04% and 0.62%, respectively. Moreover, the Nordic currency is also currently having the strongest yearly plunge which amounts to 15.22%.



The past week was marked by the higher portion of the elevated volatility, compared with the market average level, while the AUD Volatility Index held above the historical level for more than 32% of the observed period, still remaining broadly silent. Market elevated volatility, in turn, was as low as just 17%. Among Aussies index components, AUD/CAD currency pair was elevated in 44% of the time, followed by AUD/NZD with 38%. Nevertheless, with the exception of a few peaks, volatility indexes did not exceed a 1.5 points level. The most noticeable volatility spikes occurred in pairs AUD/JPY and AUD/CAD, whose indexes surged to 5.55 and 6.08 marks, respectively.



The AUD composites correlations held on exceptionally high levels throughout the period, compared with the many other currencies from our previous reviews. The average level of the week stood as high as 0.56 points, helped by many currency pairs of the Australian Dollar that moved in a pretty much the same direction. It resulted in the shorter than usually tails of violins, which prolonged below zero only in a few cases. In the meantime, the composite itself used to be volatile and registered a number of important spikes and falls, helped by some particular data releases in different countries, especially the US.

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



After a quite successful month the single currency and the Swiss franc again have become the worst performers of the week. Loosing against all other observed currencies, the Euro has depreciated by 1.6%. The decrease of the franc was a little less — 1.44%. For the other observed European currencies, GBP and SEK, as well as for the yen the past week also was failed. At the same time, the most notable growth was observed in the Pacific currencies, which managed to recover from drop of the previous period. During five trading days the Kiwi and the Aussie have gained 1.59% and 2.42%, respectively.



The week was rather tranquil with only few events that notably influenced the market volatility. The most volatile in terms of both, the index’s values and elevated volatility portion, was the Aussie. Its volatility measure has spent 19% of time above the 1.0 level, which indicates the average historical level. Moreover, on Tuesday morning, after the publication of RBA rate statement, the gauge reached the 4.52 points mark, which was the highest value among its counterparts during the period. Friday’s release of disappointing US nonfarm payrolls was one more event, which significantly affected the domestic currency’s volatility – the USD Volatility index met the 3.14 points mark and the market volatility index surged to the 1.95 points. Thus, it became the most resonant event of the period.



The past week was marked by a several ups-and-downs of the Euro significance measure. The composite was fluctuating in a range of 0.22 to 0.55. Despite the generally upward trend, the average values of the composite and most of its EUR/USD components stayed almost unchanged, gaining or losing 0-0.08 points. The most notable development occurred in the bond between EUR/USD and EUR/CHF. Thus the average value has strengthened by 0.21 points. Compared with the long-term values, all observed averages were in line with the monthly values.

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



The past week was almost a mirror image of the one ending on April 3, as many indexes switched sides around the baseline. The dollar and the Aussie made the most noteworthy recoveries, rising their indexes from the two worst to the two best positions. Both gauges enjoyed steady growth after early sharp jumps, the Greenback’s measure crossing above the baseline as the demand for the currency rose back from the Friday’s low on Monday, while the Aussie’s index surged on Tuesday, when the RBA surprised the market by leaving the interest rate at 2.25%. Conversely, the Euro’s, the krona’s, and the franc’s gauges were tumbling down throughout the period, erasing previous gains and ultimately ending the week well below their peers.



The week was relatively calm for the market in general and all the observed currencies in particular. The Aussie was the most volatile currency, with its index holding above the average historical level in 19% of time and reached a 4.46 peak on Tuesday after the RBA rate statement publication. The most conspicuous 1.55 points peak of the market volatility index took place a few hours later, when the Euro zone and the UK services PMI were announced. Moreover, the volatility of both EUR/USD and GBP/USD pairs reached the week’s maxima at that moment. Wednesday’s turbulence was fully associated with news on the US economy, but the volatility spike on Friday was provoked by the release of optimistic Canadian housing data.



The US dollar’s significance measure showed a downward trend during the past week. Thus, in a five-day period the measure has lost more than 0.3 points. Nonetheless, the average values of the composite and its USD/EUR components stayed on their usual levels. Compared with the previous period, when the average correlations declined slightly, the past week’s values gained from 0.01 to 0.19 points.

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



Despite rather volatile movements throughout the seven-day period between April 8 and April 14, the British currency was broadly unchanged on a weekly basis. The mixed situation could also be observed with other currencies on the market. As a result of that, the Sterling managed to gain value against three other major currencies, while declining versus five of them. Most noticeably, the Pound surged 1.41% in its currency pair with the Euro, which has been a clear under-performer of the period and lost 1.53%. On the other hand, the Yen jumped the most by 1.17% during period, and EUR/JPY alone falling by 0.99%.



The British Pound continued to show moderate volatility numbers during the period ended April 14. However, this time we could definitely observe major spikes and downturns throughout the week, when strongly tranquil periods were surprisingly changed by turbulence indicators above the norm. In the meantime, elevated volatility of the British currency stayed as low as 29%, meaning that the Pound remained silent for most of the time from Wednesday of last week till Tuesday of this week. Nevertheless, this number still managed to exceed the market mean of just 22%. The most turbulent currency pair, however, used to be GBP/AUD, which was volatile 32% of all time.



The period was rich with influential economic releases on all the major currencies, thus posting rather volatile correlations. Despite that, the distributions of the components had quite short but wide tails in the majority of all cases, except GBP/EUR with GBP/USD. The composite itself, which measures the significance of the Pound on the market, stayed at 0.44 on average, higher than both 20 and 130-day averages, and just slightly above the level seen two weeks ago in our previous review. Meanwhile, GBP/USD and GBP/EUR, along with GBP/EUR and GBP/JPY demonstrated one of the lowest correlations during the week, at 0.14 and 0.27 points on average, respectively.

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



The EUR Index slowed down in the descent that took off on April 6, but continued to move in a downward direction, finishing the period below most of its peers. The only currency to lose to the Euro was the Greenback, whose weakening began with disappointing retail sales on Tuesday and was further supported by negative manufacturing index and worse-than-expected industrial production reported on Wednesday. On the other side of the baseline, the Canadian dollar took the lead after Governor Poloz’s optimistic comments at the BoC press conference. The index gained 1.8 points in two and a half hours and ended up more than 1 point above its closest peer.



The past two trading days added plenty of disturbance to the market, lifting the elevated volatility portions from around 20% for the period ending on April 14 to over 45% in the latest readings. The Euro was one of the most volatile observed currencies, thought mostly due to the separate pairs’ sharp reactions to developments in the peer economies. Among other currencies, the Canadian and the Australian dollars reached the highest volatility peaks, both on an upsurge, as the Loonie spiked against the background of the BoC conference, and the Aussie was pushed up by remarkable employment numbers. Additionally, the Loonie, coupled with the Euro, produced the two greatest elevated volatility portions.



The Euro significance measure remained around its usual level throughout the past week. Thus, compared with the previous period’s values, averages of the composite and most its EUR/USD components have changed by only 0-0.07 points. The exception was the bond between EUR/USD and EUR/SEK, which has strengthened by notable 0.18 points. The same pattern was observed in relation to the long-term readings, with most of the latest averages staying close to their monthly values, and EUR/USD-EUR/SEK measure exceeding its by over 0.1 points.

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



After enjoying a week of steady growth in the previous period, the USD Index was again hit by disappointing fundamentals, sending the measure into a downslide and ultimately putting it over 1% below its closest peer. Meanwhile, most of the other observed indexes were more tranquil, with their changes less sharp and their trends less pronounced. Notable exceptions were the Loonie’s and the Aussie’s gauges, with the former surging against the background of the BoC conference and inflation and sales numbers, and the latter dipping in response to the poor Chinese trade balance and then jumping on optimistic Australian labor data.



The past week saw the portion of elevated volatility rise above 50% for the first time in two months, but the burst of activity could be easily explained by the host of influential economic releases. The most conspicuous volatility peaks were associated with the news on Canada’s economy. Optimistic BoC Governor Poloz’s statement and bullish monetary policy report drove the currency’s volatility measure to the 3.95 mark. But that proved not to be the limit, as on Friday, after the announcement of surprisingly high CPI, it reached the 5.0 level. Thus, the event became the most resonant during the week, and the market volatility surged to the 2.15 mark.



The past period was peculiar for the US dollar’s significance measure, as it had a clear competitor in the form of its Canadian counterpart. The two major falls of the USD composite — one on Wednesday and one on Friday, — were both caused by the weakening of bonds between USD/CAD and other pairs, and took place amid the surges of the Loonie’s measure. The Australian dollar’s composite was another gauge that aimed for the top place. It dominated over its peers during the first day of the period, though failed to bring any serious disturbances to the Greenback’s measure.

Full Report

So far this year, the markets have been calm, being characterised by persisting trends. Nonetheless, we can hardly describe the first quarter as dull. The impact of some of the events during the first three months of 2015 extended beyond the changes in the exchange rates; to a certain degree, they even changed the landscape of the forex industry.

Meanwhile, growth in the developed world remains elusive, and the emerging markets fail as a good alternative. However, the prospects are bright, and we finally seem to be at the dawn of a healthy recovery outside the United States. Draghi has finally launched the QE last quarter, the Fed is about to hike the interest rate, and the Bank of Japan remains committed to fight off deflation despite the setbacks in the past.

The topics that will define the new quarter are largely related to Europe: the general election in the United Kingdom and the debt crisis in Greece. In the second half of the year, the focus should fully shift to the path of the interest rates in the United States and to the question of more stimulus measures to prop up growth in Japan, and we are sure to expand more on this in the next issues of our quarterly report.

We retain an upbeat outlook on the themes of the next three months, as they should eventually reach a logical and positive closure. Indeed, it must be acknowledged that there is still a heap of problems, and they may well stay us even after 2015, but we are encouraged by receding unease and growing confidence in the market. However, this does not mean we should let our guard down. These periods tend to conceal significant risks so, on the contrary, vigilance should be increased.

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



The Canadian Dollar could certainly be considered one of the most active currencies of the April 15-21 time period. The CAD Index hovered above the baseline for the vast part of the week, which provided this currency with the third biggest increase in weekly value which amounted to 0.68%. The index showed a positive trend right from the second part of Wednesday until Mondays evening, when it fell marginally. Meanwhile, the currency rose against the majority of its observed peers, including USD and JPY by 1.74% and 1.89%, while it declined only against NZD and CHF by 0.38% and 0.15%, respectively.



The beginning of the analysed time period proved to be significantly more turbulent than last two days of it, still leaving the overall market volatility uplifted. Elevated volatility for the Canadian currency was located just above the market average at 54 versus 52 points, respectively. The CAD/CHF currency cross seemed to have the highest indicator of elevated volatility at 56 points, while the AUD/CAD pair was the least volatile with just 44%. Concerning the maximum volatility index, the Canadian Dollar has also significantly exceeded the market mean at 5.24 vs 2.15 points.



The Canadian Dollars correlations were on a rather high level throughout the period. Significance of the Canadian currency, calculated as an average correlation between different CAD crosses, was mixed with lots of ups and downs. Such strong movements were mostly caused by big portions of news both from Canada, Europe and US, as the significance index swung between 0.85 and 0.35 during different time periods. Among currency pairs, the highest correlation coefficient of CAD/EUR pair was observed with CAD/SEK cross during the period, namely 0.78 points.

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



The past period was hugely successful for the British pound. Spending the first three days at the base level, the GBP Index surged to 101.5 right after the UK BoE minutes were published. From there on, the Index held well above the baseline and maintained the leading position. The week was much less fortunate for the Asia-Pacific currencies and the Swedish krona. Thus, during the April 22-23 Asian session, the Kiwi’s measure has lost more than 2 points and became the main loser of the period. The krona, in turn, held below its peer currencies for the whole period. Among other currencies, the franc suffered the sharpest downslide when the SNB announced a cut in exemptions from its negative rate policy. The CHF index reached the week’s minimum of 98.7, but pared the losses almost as swiftly as it incurred them, and ended the period with a 0.14% gain.



Market volatility evolved in an ordinary pattern during the week, showing moderate turbulence during the European trading session and decreasing overnight. The most changeable and thus the most volatile was the Swiss franc, whose index spent 50% of time above the 1.0 point level. The Aussie, in turn, was the most tranquil in terms of elevated volatility portion, though its index spiked notably several times in reaction to RBA Stevens’ speech and meeting minutes, as well as the CPI announcement. The most conspicuous surge of the market volatility was observed on Friday – the Canadian CPI managed both the DB and the EUR Volatility Indexes to cross the 2.0 points level, while the Loonie’s volatility measure almost met the 5.0 points mark.



The Euro’s significance measure covered the whole spectrum of its historical values in the past period, with the lower readings affected greatly by the franc’s tumble after the SNB announced the expansion of its negative rate policy. The reaction was well seen in the EUR/USD-EUR/CHF correlation distribution, which slid down to its lowest long-term values, cutting its average to 0.29 points from the previous period’s 0.51. Among other EUR/USD components, there was virtually no shifts neither from the previous readings nor from the long-term records.

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



The past period proved to be a bumpy ride for the USD Index, as it struggled and failed to recover from the previous week’s loses, ultimately winding up slightly below the baseline. Among other losers, the franc’s measure suffered the sharpest fall after the SNB announced the expansion of its negative rate policy on Wednesday. The Kiwi’s gauge, in turn, went into the lengthiest downslide when the RBNZ’s assistant governor McDermott said the bank could consider lowering interest rates on signs of worsening inflationary situation. Meanwhile, the GBP Index posted the greatest weekly gain, pushed up by the hawkish BoE minutes.



The past week was quite turbulent for both the market and the US dollar, as the Greenback’s and the DB volatility indexes held above their historical levels for the 33% and 38%, respectively. However, the latest values were lower than the previous readings, making the past five trading days 7%-34% less volatile for the USD index and its components. The exception was the USD/CHF index, whose portion of elevated volatility rose by 44%, indicating the greatest turbulence among the dollar’s pairs. As for the values of volatility itself, the peaks were rather low, with the highest spike of the USD index not reaching even the 1.5 point mark.



The average correlation of the USD pairs was very changeable during the week, varying in a wide range of 0.33-0.71 points. The mean levels of almost all USD/EUR components were below their monthly readings, which pointed out relative insignificance of the Greenback. At the same time, USD/CHF was the only instrument whose bond with the most traded pair was weaker than its yearly measure. It is worth noting that the Swiss franc was one of the main competitors for the dollar, as its significance measure surged to the 0.89 points mark on Wednesday, which managed the USD gauge to drop to 0.3-0.4 points – the lowest level of the week.

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



The British currency stayed strong throughout the vast part of the period from April 22 till April 28, by out-performing the majority of its counterparts and registering the second largest gain on a weekly basis. Except the first part of Wednesday, the Sterling traded well above the baseline in course of other days of the period. Until Friday, the Pound was leading market gains; however, a strong advance in the value of the Australian Dollar pushed GBP to the second place. In the meantime, last weeks major losers used to be the US Dollar and Swiss Franc, as both of them posted an equal slump in value that amounted to 1.73%.



As can be seen from the main volatility chart, periods with exceptionally high turbulence indicators were usually changed by time slots with low volatility of the Pound. The portion of elevated GBP volatility at 33% was slightly below that of the market average of 36%. The highest elevated volatility indicator was posted by GBP/CHF currency pair, as this cross used to be increasingly volatile in 50% of all time. On the other hand, GBP/AUD registered the lowest volatility among all major currency pairs of the Sterling, as it remained tranquil in 86% of all time during the period from last Wednesday until Tuesday of this week.



Significance of the GBP, calculated as an average correlation between different crosses of this currency, was at rather high levels during the reported trading period. It can be observed that the composite developed in many ways on a positive side from the historical average level of 0.35, as the mean correlation coefficient stayed at 0.37 points. Especially high correlations of different Sterlings currency pairs were seen in the beginning and in the end of the period, while weekly lows were reached in the night between Thursday and Friday just around 0.10 points.

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



April 28 proved to be a defining day of the period, as the indexes that until then held compactly around the baseline suddenly diverged, putting themselves well into depreciation and appreciation areas. The EUR Index was among those that started to rise, and eventually managed to outpace all of its counterparts. The single currency posted weekly gains of over 1% against seven out of its eight major peers, with the greatest strengthening falling at EUR/JPY and EUR/USD. The only currency to post virtually no losses against the Euro was the krona, whose index got a kick-start from Riksbanks decision to keep interest rates unchanged, and dominated over the single currencys measure until Thursday afternoon.



The portion of elevated volatility across the observed currencies held around 40% for the third week in a row, signaling continuous acceleration of activity on the market. The most turbulent currency was the Kiwi, whose index held above its historical level for 50% of time. It also reached the highest volatility peak as the discouraging statement form the RBNZ on Wednesday pushed the currency down, raising its volatility index to the 5.3 mark. The Swiss franc, in turn, was one of the most tranquil currencies of the past week. However, on Wednesday, the SEK index jumped to 3.74 points with the Riksbanks interest rate decision, thus posting the second highest result of the period.



The Euros significance measure spent a notable part of the period on subdued levels, with most downward pressure coming from the Swiss francs components. The effect was most pronounced in the EUR/CHF correlation with EUR/AUD, EUR/GBP, and EUR/USD, which went as far as to cross into the negative area. Distribution plots also showed some weakening in the EUR/USD bond with the EUR/SEK, EUR/GBP, EUR/AUD, and EUR/NZD. Meanwhile, the most traded pairs correlation with the EUR/JPY cross was notably elevated, with the periods average more than 0.3 points above the long-term values.

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



The week was rather unsuccessful for the Greenback as throughout the week its currency index remained in the negative area and finished the period at the level of 0.5 points below the baseline. However, there were several currencies, which significantly appreciated during the week. The Euro and the krona were evident leaders in this term. They both started to grow on Wednesday and, besides, the day was full of “surprises” for different currencies. The krona’s 1% surge in the morning followed the Riksbank’s decision to keep the repo rate unchanged and to extend bond-buying programme, the franc experienced the same change few hours later, but the evening was marked with 1% drop of the Kiwi’s index, which was provoked by the RBNZ’s monetary policy statement.



The period could be divided in two parts according to the market turbulence. If the portion of elevated market volatility during the first two days of the week was only 25%, then during the rest of the period the market volatility measure was above the 1-level (which indicates the average historical level) in 58% of time. The franc was the most turbulent at the beginning of the week, however, full of influential news Wednesday managed readjustments and some conspicuous spikes were observed in other currencies’ volatility. The immediate krona’s reaction to the Riksbank’s monetary policy decisions was reflected in the 3.71 points spike of the SEK Volatility Index as well as the RBNZ’s monetary policy statement induced the 5.23 peak of the Kiwi’s turbulence measure. It is worth noting that NZD was the most volatile currency that week.



During the week the correlations of the USD pairs were very close to the average monthly levels. Moreover, the composite was varying in narrow range around the monthly average with several drops and surges of the gauge pointing out the relative significance of the news releases and thus the currencies, which reacted to the news.

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



Last week, we have observed a clear divergence between gainers and losers. Swiss Franc, Euro and Swedish Krona were the only periods positive performers, and all of them surged more than 2%. On the other hand, other currencies dropped, and the Aussie used to be among them. Overall, during the weekly time this currency fell by 0.84%, while a clear underperformer was the Kiwi (-3.41%), which registered the most noticeable slump for a second week in a row. It gave the opportunity for the Aussie to register its fastest advance of 2.32% exactly against its New Zealands peer.



The past week was marked by very high portion of the elevated volatility, compared both with our previous reports on this currency and with the market average level, as the AUD Volatility Index held above the historical level for more than 52% of the observed period. Market elevated volatility, in turn, was slightly below at 51%. Among Aussies index components, AUD/SEK currency pair was elevated in 60% of the time, followed by AUD/NZD with 56%. Nevertheless, with a few exceptions, volatility indexes did not exceed a 2 points level. The most noticeable volatility spikes occurred in pair AUD/NZD, whose index surged to 5.77 points during the peak.



The AUD composites correlations continued to hold on exceptionally high levels throughout the period, particularly compared with the many other currencies from our previous reviews. The average level of the week stood as high as 0.55 points, which has been slightly above both monthly, 6-month and yearly figures. It resulted in the shorter than usually tails of violins, which prolonged below zero only in a few cases, such as AUD/EURs correlation with AUD/CAD. In the meantime, the composite itself used to be tranquil in terms of volatility and registered only one strong spike, helped by news from the Australias central bank on Tuesday.

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



The EUR Index lost the momentum it accumulated during the last days of the previous period, making its movement less directed and thus less successful. Among more determined indexes, the franc’s measure retained the uptrend it took up on April 29 and strengthened it at the end of the period, supported by the dollar’s weakness and the global bond sell-off. The krona’s gauge also managed to pick up in the past two days, outpacing its peers despite some disappointing Swedish releases. Together with the Euro’s gauge, these indexes formed the top three performers’ list for the period.



During the period, the market volatility was on its average historical level. While the Euro volatility index’s values were very close to those of the market, the Kiwi became the most turbulent currency. Its index spent 46% of time in the area of elevated volatility and reached the 3.84 mark on Tuesday evening, after the disappointing unemployment rate announcement. The peak became the second most notable after the Thursday’s 5.88 spike of pound’s volatility against the background of the UK parliamentary election exit poll release. Moreover, the event became the most resonant for the market, as on Thursday evening the DB Volatility Index surged to the 1.82 points level.



The Euro’s significance measure held at its usual level throughout the past period. Thus compared with the short-term values, averages of the aggregate and its components changed for 0.01-0.08 points. Most of the components started the period at a rather high level, but declined by the end of the week. The drop was most notable in the components containing EUR/CHF, especially in correlations with EUR/AUD and EUR/GBP, which fell into the negative area on Thursday. Most correlation distributions, in turn, shortened their lower tails and concentrated around the averages.

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



The New Zealand dollar became the worst performer of the period for the third week in a row, this time hit by unexpectedly high unemployment rate released on Tuesday. The week was also far from successful for the Greenback, and the USD Index spent the period in the negative area, ultimately posting the second worst result. Meanwhile, the pound’s gauge, which also showed a downslide, managed to recover, boosted by the UK parliamentary election, and posted one of the greatest weekly gains.



The dollar was largely “underturbulent” compared to the market, holding its volatility measure below the composite index for most of the past week. Its elevated volatility portion and average turbulence also lacked behind those of its peers, and the Loonie’s readings were the only ones to signal calmer behavior. The least stable, in turn, were the Kiwi and the pound. The former kept its volatility index above the historical average for 51% of time, the measure reflecting the uneven tumble of the currency after a disappointing unemployment release. The pound, heavily influenced by the UK parliamentary elections, was little behind its peer, with its longest period of overturbulence starting on late Thursday and lasting throughout the whole Friday’s European session.



The dollar’s significance measure held on a relatively low level during the week, with its USD/EUR components losing 0.05-0.23 points. The most notable decrease was observed in the pair’s bonds with the Pacific currencies, whose composites kept leading positions throughout the week. Such superiority could be explained by a host of Australian news releases, such as RBA interest rate decision, retail sales, employment change, as well as New Zealand’s unemployment rate. The pound was another currency to produce high significance readings. The UK parliamentary election exit poll announcement on Thursday evening managed the pound to appreciate against its peers and, thus, strengthened bonds between its crosses. As a result, the pound’s significance measure reached the 0.9 mark.

April Release of Dukascopy Bank Sentiment Index
Full research available here

 

1. All but one region faced a decline of professors sentiment in April due to intense headwinds blowing in every part of the world. Yet, Europe appeared to be a bright spot, as its short-term economic outlook improved in the reported month, despite political and economic turmoil on the continent and British Isles. The North America was the biggest downside contributor to the global economic outlook, as the region saw the biggest deterioration in economic forecasts, as both six-month and three-year economic sentiment indexes fell dramatically.
2. While in the UK growth has been supported by the services and manufacturing sectors, as well as robust consumer spending, in the Euro zone there were signs that a recently launched QE programme supported the Euro areas economic recovery. Yet, political uncertainty continues to weigh on regions leaders. Hence, short-term economic sentiment inched up last month, albeit to a limited extent. Long-term outlook, however, slightly worsened, according to academia experts view.
3. The recent data from the worlds number one economy questions a possibility of the monetary policy normalization, which is considered to be a sign of sturdy economic performance. Meanwhile, in Canada the negative impact of lower oil prices on the nations economy has yet to fade away, while the January rate cut has begun to help put the nations economy back on track. The uneven economic performance of the region forced to trim professors economic projections both for the upcoming six-month period and for the next three years.
4. In the Asia-Pacific region worries are mounting over the Chinese economy, which saw the slowest quarterly growth pace in six years. In Japan, the worlds third biggest economy, officials delayed the timing of hitting the price target. Consequently, professors economic sentiment deteriorated in April compared to the previous month.