Dukascopy Market and Economic Research

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



The past trading week was rich for the sharp moves of the indexes, but saw little directional evolution as the gauges barely broke out of the 99.0-101.0 points tunnel. The most dynamic day of the period was Wednesday, when all the observed currencies displayed strong reactions to economic events. The day started with the release of weaker-than-expected CPI in Australia fueling expectations for another rate cut, and the AUD Index tumbled 0.8 points, losing its place in the appreciation area. Next up was the Riksbank, and as the regulator announced an increase of its QE program and its readiness to cut rates and intervene into the market, the krona rallied, nearly breaching the 101.0 mark. The main market-moving event of the day and the period, however, was the release of the Fed’s statement. As the market saw the regulator hinting to a December rate hike, the dollar surged, sending its index above the 101.0 level and sending its peers into different directions.



After a relatively calm previous week, the Euro’s elevated volatility portion shifted up from 18% to 32% in the past five trading days. Moreover, the measure of all observed currencies ranged from 26% to 32%. The only exception was the Swedish krona, which spent more than 40% above the historical level. The Riksbank’s monetary policy announcement and the increase of the Swedish retail sales forced the krona’s turbulence gauge to jump to 1.79 and 1.38 points, respectively. However, the most notable surge of the krona’s index, as well as the ones of the most of its peers, happened after the release of Fed’s statement.



With the head start from Mario Draghi’s press conference on October 22, the Euro’s correlation composite spent most of the period above its monthly average, shifting its distribution to the higher levels. Among the EUR/USD components, the strengthening was observed in the pair’s bonds with EUR/CHF and EUR/NZD, with the former raising its average to 0.46 from 0.15 in the previous period. Meanwhile, the Kiwi’s gauge signaled the strongest correlations, its composite posting an average of 0.64. The Aussie’s and the krona’s measures were close behind with the means of 0.59 and 0.53, respectively.

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



After finishing the previous period in the best performers position, the dollars index spent most of the week struggling to hold the level and ultimately posted a near-zero change. Meanwhile, the last weeks losers, the yens and the Loonies gauges, were showing upward trends during the period and together with the GBP Index became the top three performers. The Aussie, in turn, was lowering throughout the whole period and finished the week with a 1.42% loss, brought down by the Australian CPI numbers.



In the past trading week the Greenbacks volatility picked up, with overturbulence portions for all indexs components climbing above 25%. Among the dollars peers, the most turbulent currency was the krona, whose gauge spent 38% of time above the two-week average and posted the mean value of 0.98. Close behind were the Euro and the franc, both with readings of 35% and 0.95. Meanwhile, the dollar stood among moderately turbulent currencies, but its index reached the periods highest peak of 5.21 with the currencys sharp reaction to the Feds statement on Wednesday.



The dollars correlation composite retained its subdued stance, even though the boost from the Greenbacks reaction to the Feds statement pushed the measures weekly average up to the long-term readings. The post-Fed strength also shifted up the USD/EUR components distributions, most notably for the bonds with USD/CAD, USD/GBP and USD/AUD. The pairs correlations with USD/CHF, on the other hand, slid down, putting most of its values below the longterm median. Meanwhile, the Pacific currencies composites posted the strongest results, with the yens and the kronas measures close behind.

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



There are three major currencies, which are worth mentioning in this report. Canadian Dollar and British Pound were two best performing currencies among G8 majors last week. The former gained almost two full percentage points for the period ended Nov 3, while the UK currency traded around 100 basis points to the north during the researched five days. Australian Dollar was strongly depressed and traded firmly below the baseline until Monday, but regained enough strength in order to register a weekly spike in value of 0.18%. It rose the most against the Kiwi, which established itself as the main underperformer with a loss of 1.7%.



The Aussie acted decisively from the first minutes of the period. Volatility of this currency was mainly driven by domestic events in Australia, as well as by international news from US and Canada. Statistics from all above mentioned countries was successful in sending the AUD Volatility Index above the normal level of 1.00 points. Elevated volatility of the Aussie has therefore stayed below the market average, at 24% versus 32%, respectively. The most volatile crosses were AUD/NZD and AUD/CAD. The Kiwi was declining, while awaiting employment data from New Zealand on Tuesday, while Canadian Dollar was volatile after the GDP data back on Friday of the last week.



Contrast to low significance of the Australian Dollar in the middle of the period, this currency registered very high levels of correlations on Wednesday and Tuesday, the first and last days of the researched time period, correspondingly. For a long period of time we have not seen the composite reaching 0.92 points. This event happened Wednesday morning, when Australias inflation data was ready to be released. Divergence between different crosses of the Aussie started to be very noticeable on Oct 29. Then the weekly low was hit at 0.27 points for the composite. It resulted in longer tails for some of the components and especially for AUD/EUR & AUD/USD.

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



After a some positive movements in the beginning of the week, the Euro seemed to settle for a downtrend in the past three trading days. The single currency weakened against six of its eight observed peers, most notably against the Australian Dollar that added its own strengthening to the Euro’s decline. However, the EUR Index was not the one to posting the greatest loss among the observed gauges, the New Zealand Dollar, and the Swedish Krone outperformed the single European currency in its looses. Meanwhile, the most dynamic days of the period were Wednesday and Thursday, when the biggest amount of economic announcements was released.



Volatility remained subdued on the market in general, and even more so in its observed EUR components. The maximum values of volatility, however, were renewed, as Friday, Wednesday and Thursday brought in sharp peaks to both the market’s and the single currency’s indexes. Among the Euro crosses, EUR/GBP, EUR/CHF, and EUR/SEK reported the greatest portions of elevated volatility, while EUR/CHF and EUR/SEK spiked to highest values. There were two main reasons for such a significant change in how the volatility was distributed across the days, and both of them concerned the Euro zone.



After the slight increase of the Euro significance measure in the end of the previous period, the composite continued to hold on quite a low level, fluctuating within the range of 0.21-0.59. The mean values of most components also remained virtually unchanged. The only exceptions were EUR/USD correlations with EUR/NZD and EUR/SEK.

October Release of Dukascopy Bank Sentiment Index
Full research available here​.

Summary

1. The sentiment of professors continued to recover going into the final quarter of the year after a precipitous fall in August when China’s equity market crashed, causing a spillover effect across the globe. Nevertheless, slowing growth in emerging economies, particularly in China, remains a topical issue on the agenda of economists and central bankers.
2. Even though academia experts short-term outlook for Europe’s economy improved strongly, the gauge remained in negative territory for six months in a row, indicating pessimism continued to prevail. The reading came after official data showed a negative growth in consumer prices in the Euro region, suggesting ECB stimulus measures have yet to bring desired results. The three-year outlook remained firmly in green zone, as the ECB reassured that it stood ready to deploy extra stimulus package to support the economy.
3. The six-month sentiment index for North America remained unchanged in October, whereas the long-term gauge declined slightly by 0.02 points. Professors' mood appeared to be unaffected by the Fed’s decision to keep rates on hold at the long-anticipated September meeting.
4. Despite ongoing concerns over economic health of developing countries, the six-month outlook for Asia-Pacific surged in October, while the reading which tracks professors confidence in the region’s prospects in the three years from now edged up modestly.

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



The past week was slow for the observed indexes, as most of them held parallel to the baseline in the narrow range between –1% and +1%. Notable exceptions were the dollar’s and the Pacific gauges. In the appreciation area, the Aussie’s index entered Tuesday on an upsurge, finding support in RBA’s rate statement, and then made another break with narrowing trade deficit reported on Wednesday. The Kiwi’s measure, on the other hand, went North, undermined by falling dairy prices and weak labour data, and ultimately ended the period with the greatest weekly loss. Among other gauges, the pound’s index distinguished itself by tumbling 1.2 points on Thursday, when the dovish mix of the BoE announcements and Carney’s speech pushed the national currency down.



During the trading week all the volatility indexes without exceptions spent most of time below the average historical level. The Greenback with 16% portion of elevated volatility turned out to be among the most tranquil currencies, however, its higher than 4.5 spike was the most conspicuous past week. Meanwhile, the Kiwi became the most volatile currency, but its Pacific peer, the Australian dollar, was the calmest against the turbulent historical background with only 11% portion of elevated volatility.



The past week was a period of rather weak correlations between the USD pairs, with the US dollar significance measure making only a few jumps above the 0.4 level. But the Friday’s surge was exceptionally strong, and thus the measure fluctuated from 0.18 to 0.89 points. Averages of the composite and most of the USD/EUR components have risen, gaining 0.01-0.17 points over the monthly values. The only exception was the bond between USD/EUR and USD/GBP. A slight weakening was observed through the whole period, and the dovish tone of the BoE on its “Super Thursday” pushed the component into the negative area.

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



Despite an overall short period of analysis, namely three days from Wednesday till Friday of the previous week, there are plenty of economic events that are worth mentioning and that were driving currency markets last week. The undisputed leader of the period was US Dollar, which surged by 1.72% on the back of ultra-positive US employment data. Countrys companies added 271,000 jobs in October, way above 181,000 expected by the markets. The Pound lost 1.85% versus the Greenback. Meanwhile, the Sterling managed to advance only against the Euro (+0.21%) and Australian Dollar (+0.09%) as they weakened amid stronger American currency.



Volatility of the Sterling exceeded average reading for the market, owing to surprising news from the Bank of England on Thursday and positive US labour market and wage numbers. Elevated volatility for the Sterling amounted to 23%, which was somewhat below the numbers we have seen several weeks before. GBP/JPY and GBP/SEK crosses helped to outpace the mean market elevated volatility of just 16%, being that they posted these indicators at 30%. We could expect all currency pairs of the Canadian Dollar to be turbulent as well. Indeed, the GBP/CAD pair registered the third-largest maximum volatility for the period at 4.68 points after GBP/USDs 5.59 and GBP/JPYs 5.23 points.



Significance of the Pound Sterling could be very low for the period ended November 10. However, this indicator was helped by the Bank of Englands data on Thursday, which pushed the composite significantly to the north and improved the mean correlation coefficient, which surged to 0.43 points. This reading was above 0.34-0.36 points posted for the past month, six months and last year. Traditionally low correlations were posted by first and second most traded GBP crosses, namely the Cable and EUR/GBP. As a result, this particular component had longer tails than others as it used to fall deeply into red on Friday and Monday.

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



The Euro index continued to strengthen the tendency of decline throughout the week, moving in the narrow band between 98.9 and 100.0. It reached its lowest point on Thursday morning, losing more than one per cent of the initial value. The index was highly affected by European Central Bank President Mario Draghi comments who underpinned expectations for further stimulus, possibly as soon as next month. Nevertheless, later on, the index started its slow growth and climbed to 99.81 points mark by Friday. The EUR index managed to outperform other indices in terms of the Thursday’s development showing the biggest grow. With that the EUR index significantly outranged the JPY and the SEK indices, and took the lead over its AUD and NZD.

Attached Image

Elevated volatility of the European single currency was hovering around the median readings of several preceding weeks, as it stood at 20% versus 16% for the market during a five-working-day period from November 6 until November 12. These numbers were also reflected in the mean volatility index, which reached only 0.81 points. There were only two major spikes in turbulence registered throughout the week, and one of them has been created solely by the dollar, which posted considerable reaction after the surprisingly strong US monthly payrolls. Therefore, EUR/USD was turbulent in 30% of all time.



The Euro significance measure had a few ups-and-downs and ranged from 0.27 to 0.61 during the past week. The average values also remained almost unchanged from the previous period. Only three components lifted their mean levels. Thus, EUR/USD mean correlations with EUR/JPY, EUR/GBP and EUR/CAD gained 0.03-0.08 points. In terms of long-term values, current averages of almost all observed correlations shifted up, pulling the overall Euro significance with them.

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



The Greenback’s increase caused by the better-than-expected US labour data on November 6 was replaced by the downward trend, and the dollar spent the whole period in the negative area. The UK economic data report on Wednesday made the pound the best performer of the week. The Aussie nearly matched the Sterling's strength. On Thursday, the encouraging Australian employment data pushed the AUD index to 101.23. However, afterward the Aussie has slightly declined and ended the period with 0.79% gain. Thursday also was marked by the several speeches of the ECB and Fed leaders. Thus the Euro index has lost 0.31 points after Mario Draghi said that the ECB is planning re-examine monetary easing at the December meeting. However, a few hours later the Euro started to grow and reached the 101.12 mark against the background of the Fed’s Yellen’s speech.



Despite all the shifts in the currency indexes, volatility on the market was borderline subdued, with most overturbulence portions below 20% and maximum index values around 1.5 points. The Aussie and the krona were the only exceptions. Volatility of the former skyrocketed on early Thursday just after the announcement of 0.3% decreasing unemployment. As a result, the AUD Volatility index reached the 4.36 mark, but the AUD /USD measure spiked to 4.59 level. In addition, the market’s index reached the week’s high at 1.54. The krona, in turn, was zigzagging throughout the week against the background of inflation and other less notable Swedish economic releases and, thus, having 27% elevated volatility portion became the most turbulent in terms of it.



Despite the fact that the dollar started the week with a sharp drop, the average values of the Greenback’s significance measure and most of the USD/EUR components have increased comparing with the both the short-term and long-term values. The most notable strengthening was observed in bond with Pacific currencies. Thus USD/EUR correlations with USD/AUD and USD/NZD exceeded the previous averages by 0.22 and 0.18 points respectively. The USD composite, in turn, added 0.06 points comparing with the previous period. However, the aggregate ended the week with the 0.39 points lost.

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



Australian Dollar and British Pound were two major competitors for leadership during the researched time period ended Tuesday of this week. Initially the UK currency was the best performing currency. At the same time, the Aussies spike on November 12 made it clear that South Pacific currency will become the weeks best performer. Overall, a weekly rise for AUD Index reached 1.4%, while GBP rallied by circa 1% over five trading days. Another commodity-linked currency, the Kiwi, was depressed by unchanged inflation expectations from the Reserve Bank of New Zealand, which tried to raise them by losing policy requirements. NZD Index was therefore down 1%.



Volatility Index for the Sterling was ironically quite turbulent itself, judging by the picture drawn in the main chart. Some local spikes in volatility were immediately changing by huge dips down to 0.4-0.5 points, and we observed no stability during the whole time period from Nov 11 until Nov 17. As the Pound volatility spent most of its time below the historical average, it forced the reading of elevated volatility to decline to just 17%. However, even in this situation the GBP surpassed market average of just 14%. The least turbulent cross was GBP/NZD (9%), being that the Kiwi was gradually losing ground, while Pound used to rise steadily. Top volatility was posted by GBP/SEK at 26% last week.



Significance of the Pound, measured as an average correlation between different pairs of this currency, has slightly exceeded the readings we observed earlier in our previous reports on the Sterling. Mean correlation coefficient reached 0.38 points and overshot 20, 130 (half-year) and 250-day (annual) averages of 0.36 points. Two least volatile and therefore well-correlated components were the ones of EUR/GBP with GBP/CHF (0.72 points) and GBP/SEK (0.79). At the same time, traditionally the least correlated component included the Cable as European and US session were pushing EUR/GBP and GBP/USD in different directions.

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



Continuing the negative trend the single currency and the Swiss franc again have become the worst performers of the week. Loosing against all other observed currencies except Swiss frank, the Euro has depreciated by 1.6%. The decrease of the franc was a little less — 0.68%. For the other closely observed currencies, CHF and SEK, as well as for the New Zealand dollar the past week also was failed. At the same time, the most notable growth was observed in the dollar currencies. During five trading days the Greenback and the Aussie have gained 0.19% and 1.1%, respectively.



The week was rather tranquil with only few events that notably influenced the market volatility. The most volatile in terms of the elevated volatility portion, was the Swedish krona. Its volatility measure has spent 24% of time above the 1.0 level, which indicates the average historical level. However, the biggest index’s values was obtained by EUR/JPY, namely 2.5 points mark, after the announcement of Japanese Gross Domestic Product. Japan’s economy shrank again in the third quarter, underscoring the challenges Prime Minister Shinzo Abe faces in trying to engineer a sustainable recovery.



The period was marked by the high values but a general downtrend in the average correlation between Euro crosses, which suggests great amount of economic announcement from other regions. In Tuesday's morning, the Euro went down notably despite data showing that German investor confidence rebounded this month, as the diverging monetary policy outlook between the Federal Reserve and the European Central Bank weighed. However, the release of the weak US Housing Starts pushed the single European currency higher, but remained close to the seven-
month trough set in the previous session. Despite a number of falls, on Thursday the measure has started to rebound and ended the week at the 0.39 level.

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



The period was fairly smooth for the observed indexes, as most of them did not sway farther than +/-0.5% from the baseline. A notable exception was the Aussie’s gauge that rallied throughout the second half of the week and posted a 2% growth over its Monday value. Another rally was coined by the Kiwi’s index, as both Pacific currencies seemed to have benefited from the Greenback’s post-FOMC feebleness. Meanwhile, the franc’s gauge posted the greatest loss after spending the whole week on a downtrend.



Even against the background of several tranquil weeks, volatility on the market remained extremely subdued, with both the Greenback’s and the aggregate measures holding below the two-week means for 90% of time. Moreover, elevated volatility portions of all observed currencies did not exceed the 15% level, and the spikes of the indexes did not reach even 2.0 points. The Aussie looked the most tranquil, put against the background of several relatively turbulent weeks, and reached only 6% of overturbulence.



After the previous week’s lowering, the Greenback’s significance measure showed an upward trend. The composite was fluctuating in a range between 0.21 and 0.65, but its average gained only 0.01 points over the previous period’s reading. Most of the USD/EUR components also showed a slight increase. The most notable rise was observed in the pair’s bonds with the USD/AUD and USD/NZD, which gained 0.12 and 0.07 points, respectively. The average value of the component with USD/GBP, in turn, has lost 0.07 and 0.04 points compared with the short-term and long-term values.

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



Last week was extremely busy, with different types of fundamental data releases. Apparently, almost all of them were published outside Australia, which is the main currency of discussion this time. Despite the mentioned fact on the lack of news, the Aussie used to be the most bullish currency of the period ended November 24. During the first part of the week it shared leadership with the New Zealand Dollar, which eventually gained 1.08% in five trading days, while AUD rallied by 1.84%. A clear loser was the British Pound, which was actively depreciating on Tuesday after comments from BOE Governor Carney who said that interest rates will rise very slowly.



The Aussies volatility was broadly following other countries events, which made it quite dependent on other regions to see somewhat more active trading throughout the weekly period ended on November 24. Considering lack of local statistics, the AUD elevated volatility of 15% can be logically justified. Moreover, it lingered behind the all-market uplifted volatility indicator of 19%. Only the AUD/USD cross was shaken up slightly more than other components, mainly due to large presence of US fundamentals last period, including second-revision GDP and FOMC meeting minutes. Here the elevated volatility reached 23%.



Significance of the Australian currency calculated as an average correlation between various pairs of this currency and measured by the composite indicator stood at largely high levels from last weeks Wednesday until Tuesday of this week. Initially correlations used to be subdued, partly due to behaviour of several separate components that turned red at some points of time. The vast majority of components, however, hovered firmly in green but failed to completely avoid situations with low or negative correlations. As a result of that, some components used to have their tails extending somewhat below zero last week.

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



The period, which put most of the observed indexes either on or above the baseline, resulted in a 0.8% loss for the EUR Index, making it the weeks second worst performer. The only peer to fall behind the Euros measure was the Pound gauge, which was weighted down by the decent data in the US and dovish sentiment coming from the Bank of England at Parliament's Treasury Select Committee hearing set the dollar off on a tear on Tuesday. On the other side of the baseline, the Aussie remained the leader and posted a 0.84% weekly gain, greatly supported by the strong prices on the countrys export commodities while RBA Governor Stevens' speech also weighed.



In a terms of the elevated volatility, the market and the Euro continued the previous week tendency. Thus the portions of elevated volatility of the aggregate and EUR were 24% and 22%, respectively. For the most of the components the past week quite turbulent. The major gainers were EUR/CHF, EUR/CAD and EUR/SEK, the components showed relatively high results, having held above the 1-point level 28% and 31% of the observed week. The highest peaks of the market and EUR volatility indexes even manage to reach 2 points. Among the components, EUR/CHF, EUR/AUD and EUR/CAD managed to overcome the 2-point level.



For the second week in a row the single currency significance measure managed to rebound. Thus in a three trading days the composite has strengthened by 0.35 points. However, the distributions of the EUR/USD components shifted down slightly, though most of their average decreased compared to the previous readings. The most notable loss was observed in the component containing EUR/CHF, which showed the downward trend throughout the period and lost 0.11 points to its average.

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



The range containing the indexes narrowed again, keeping most of the gauges only 0.5% away from the base value. The period’s greatest tumble, suffered by the pound’s index after dovish comments of the BoE officials voiced on Tuesday, barely took the measure below the 99.0 points line. The week’s high was even more moderate, the NZD Index’s Mon-Thu rally coming to a peak just 0.9 points above the baseline. The rally was interrupted on Tuesday, when the investors abruptly turned to the safe haven currencies, but returned with greater strength later in the day.



Volatility on the market picked up compared to the previous tranquil period, with the splashes of activity mostly covered by the European sessions and amounting to 24% of overturbulence, with the peaks resulting largely from a single currency’s movements. On Monday such defining currency was the Canadian dollar, whose volatility index reached its high of 2.3 points as the Loonie zigzagged with the oil prices. Tuesday’s uptick was fueled by the Aussie’s dip, while Friday’s spike came from the franc’s measure surging to the week’s absolute high of 3.4 on the back of the currency’s tumble that might be attributed to the SNB. Wednesday’s splash of turbulence was the only one supported by several currencies at once, as the krona’s, the Euro’s, and the franc’s falls pushed their volatility indexes to the 1.5 points mark.



The past week was marked by a few ups-and-downs of the Greenback’s significance measure. The composite was fluctuating in a range of 0.15-0.58. The most notable changes occurred in bonds between the USD/EUR and its Asia-Pacific peers. The average of the component with USD/JPY gained 0.15 points, but correlations between USD/EUR and USD/AUD and USD/NZD lost 0.28 and 0.13 points, respectively. Moreover, the Pacific currencies turned out to be the major market drivers in the past week, as their composites spent the period above their counterparts. Compared with the long-term values, all observed averages, save that of the USD/AUD component, were in line with the monthly values.

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



Australian Dollar spent most of the time below the base line during the last four days of November. However, positive but expected impetus provided by the RBA decision to keep interest rates unchanged helped the currency to escape the red territory. As a result of that, the AUD Index was the second-best performing component this time, which rose by 90 basis points in five days. Weekly leader was the Kiwi, which added 1.72%, even though this currency also had lagged behind the majority of it peers, especially in the middle of the period. Meantime, the Swiss Franc tumbled by 1.16%, on the back of expectations that SNB will be forced to cut interest rates further into negative zone, in case the European Central Bank decides to expand/extend stimulus measures at its meeting on December 4.



Even though the overall volatility of the Australian currency was light during the observed period, at some points of time the Volatility Index registered a number of very important spikes which reflected incoming fundamentals from both Australia and other countries. Elevated volatility stayed at 22% last week, missing the average market reading by one full percentage point. EUR/AUD and AUD/CHF were among the most volatile crosses. The Euro has become increasingly turbulent, as the ECB meeting is looming, while the Franc is largely dependent on the single currency due to monetary policy interconnection between the Euro zone and Switzerland.



Significance of the Australian Dollar held at more or less uplifted levels during the period from November 25 until the first day of winter. As a result of that, the mean correlation coefficient hovered at 0.59 points. The reading surpassed all monthly, 6-month and yearly averages of 0.54-0.56 points. Only on Wednesday and Monday the composite coefficient indicator has been located below the weekly average, but in all times it managed to commence a quick recovery. The only correlations, namely those with the Kiwi, used to spend short periods of time in red, and it was reflected in longer tails for these components.

November Release of Dukascopy Sentiment Index Report
Full research available here.

Summary

1. While all eyes now turn to the US as investors, economists and ordinary people with great anticipation are waiting for the Fed’s decision in December in regard to the borrowing costs, the rest of the world remains in a somewhat shaky condition.
2. The European economy continues to struggle to recover solidly, weighed down by ongoing geopolitical turbulence, refugee crisis and stubbornly weak inflation. While ECB President Mario Draghi has refrained from ramping up stimulus measures so far, he provided investors with the strongest hint yet that the central bank will initiate a new round of fresh stimulus measures at its December meeting. The decision is likely to impact sentiment among investors and economists.
3. In the North American region everyone is watching closely the economic developments in the US, as the Fed’s decision in December will definitely influence markets and economies worldwide, as well as further actions of major central banks.
4. Emerging economies in Asia-Pacific continues to falter due to a slowdown of the Chinese economy, the region’s economic powerhouse. In the South Pacific area, policy makers monitor closely how their monetary policies impact the pace of economic growth. Meanwhile, Japan, the world’s third biggest economy, continues to recover moderately.

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



The Euro index, few weeks being in the opposite end, was surprisingly one of the best performers last week. It was followed by the Swiss franc index which experienced the same development over the period. Monday was rather calm day, all of the indices, spent the day +/- 0.1% around the base (opening) value. Tuesday’s data releases/events pretty much shaped the most of the period for the NZD, AUD and some of the other currencies. The New Zealand dollar gained 1% during the day and closed 1.2% above the base value. The currency hit the highest level since November 3 and was boosted by bullish sentiment on Asian equity markets, despite factory activity in China remaining in contraction.



The volatility was rather calm during the observed period, except Wednesday. The fourth day of the week was special not just with many events, but also with the ECB President Mario Draghi decision. The single European currency jumped to a one-month high, as traders digested the ECB decision that extended the length of QE. Meanwhile, the macro calendar shifted into a faster gear, unveiling a set of manufacturing data, starting with a sluggish Chinese manufacturing PMI, as the gauge dropped to a three-year low at 49.6 points in November. A similar downbeat picture was also seen in the US, as the Institute for Supply Management (ISM) posted its manufacturing index at 48.6 points in November.



During the first four days of the observed period the significance measure of the Euro followed a descending pattern, as there were no economic releases from the Euro zone that could notably influence the bonds between the single currency’s pairs and the market was preparing to Thursday’s ECB meeting. Thus, the distributions of the correlations between the most traded pair and its EUR counterparts were significantly skewed towards the zero level. However, the period was associated with several notable spikes of other currencies’ significance, which followed the news from the European side.

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



The week was associated with strong Pacific currencies and the ECB monetary policy statement, which turned out to be the most resonant event of the period. As a result, by Friday the observed currencies formed two well-separated groups, with the members of one gaining 0.6-1.9%, and members of the other loosing 1.2-2.1% of their base values. ECB changed the situation notably, and all the European currencies excepting the pound took the leading positions from their Pacific counterparts, which were rallying against the background of economic releases such as improving manufacturing sector performance and growing GDP.



After a long period of tranquility, the past week was quite turbulent for the Greenback, and the USD Volatility Index spent 44% of the period above the historical level. Elevated volatility portions of most of the observed currencies were even higher, with the francs reading at 56%, and the markets and the pounds at 48%. Meanwhile, the Euro suffered the highest spike of volatility on Thursday, right after the ECB monetary policy statement release, its index jumped to the 8.9 level. The EUR/USD component reached the high of 10.5 points.



In the past week the dollars correlation composite showed a pattern of stepwise strengthening, with only a few dips between the jumps. The measures average remained on the long-term level, even as some of its USD/EUR components experienced sight weakening. Thus, the pairs bonds with USD/CHF and USD/SEK produced unusually many weak values, while correlations with USD/AUD, USD/CAD, and USD/NZD were generally downward-biased. Nevertheless, the dollar's composite showed average strength compared to its peers, outpaced in its mean value only by NZD (0.61), CHF (0.52), and CAD (0.51).

Highlights of the latest Market Research release on CAD.
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Following the long-awaited, but disappointing ECB decision to expand the monetary policy less than it was initially estimated, the foreign exchange market divided itself into two camps. In the first group, which included the Swiss Franc, Euro and Swedish Krona, we observed a strong rally starting from Thursday of the previous week. The 19-nation currency appreciated by more than 2%, but the Franc had an even sharper gain of 3.21% on a five-day basis. Alongside, the Canadian Dollar and other currencies found themselves below the base line, and the Loonie plunged the most by 2.29% during the period. Meantime, the Kiwi made an attempt to recover on Friday, but bounced back amid a deepening decline in oil prices, which put extra pressure on commodity-linked currencies.



Elevated volatility of the Canadian Dollar held at a healthy 50% level during the period ended Tuesday, December 8, even despite falling short of the pan-markets 56% reading. The most turbulent currency pairs were EUR/CAD (54%), CAD/CHF and CAD/SEK. The Euro, Franc and Krona were three components, against which the Canadian Dollar tumbled the most last week. In the meantime, USD/CAD was increasingly volatile in just 41% of all time, in spite of important US fundamentals including the payrolls report on Friday and ISM non-production PMI on Thursday.



Significance of the fifth most held reserve currency in the world is considered to have been high in course of the first week of December. Canadian Dollar was helped by the busy fundamental calendar, which included a number of important domestic events. Moreover, oil price developments had a major impact on the Loonie, which is one of the main commodity-driven currencies. Overall, the mean correlation coefficient was 0.53 points last week, up from 0.43-0.46 points on the monthly, 6-month and annual time frames. This fact is only affirming the importance of CAD, while long tails for the majority of the components shows that the CAD crosses were not fully unanimous during all time of the period.