Dukascopy Market and Economic Research

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



Index activity picked up in the past trading days, and most notably so for the Euros gauge that climbed to almost 200 points and finally posted the greatest weekly gain after previous sluggish months. Following the general pattern of the EUR Index during the week, the euro eventually became the best gainer among its counterparts. Similarly to the Euros measure, the SEK Index had its sharpest surge on Thursday afternoon, jumping from below the baseline to 1.40 points in three hours. Meanwhile, most of the other gauges dipped, with the NZD and the USD Indexes acting as the downslide leaders.



The past five trading days, much like the several previous periods, were tranquil for the observed currencies. The most volatile were USD and JPY composites, both with 37% portion of elevated volatility. The latter strongly reacted to the ECB President decision to cut the deposit rate further into negative territory, from -0.3% to -0.4%, while the main refinancing rate was surprisingly cut as well from 0.05% to 0.00% and the marginal lending facility was lowered by 5 basis points to 0.25%. The Pounds index, in turn, reached the lowest volatility peak among its counterparts. ll. It is worth noting that Thursdays ECB Monetary policy statement induced



The Euro significance measure had a few ups-and-downs and ranged from 0.2 to 0.88 during the past week. Nevertheless, its final change from the initial value amounted to only 0.13 points. The average values also remained almost unchanged from the past week, with 0.01-0.05 points strengthening of the composite and most of its EUR/USD components. The three components lifted their mean levels. Thus, EUR/USD mean correlations with EUR/GBP, EUR/CAD and EUR/JPY gained 0.50-0.58 points.

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



Unsurprisingly, the past period was most notable for the sharp movements of the major currencies, as three rate announcements from central banks caused some spikes and plunges on Wednesday and Thursday. The first to speak was the BoC, which expectedly left the rate unchanged in favour of waiting for the budget release. That, together with an uptick in the oil prices, helped the Loonie’s index climb out of the negative area and rise above most of its peers. Meanwhile, the RBNZ did surprise the market, as the official interest rate was cut and the regulator’s governor said further easing was not off the table. The Kiwi’s gauge lost 2% and fell below the 98 points line. Nevertheless, the ECB was the only bank that managed to evoke a palpable reaction from almost all observed indexes. As the bank announced a cut of all three benchmark rates, an expansion of QE and new TLTROs, the EUR and the CHF Indexes fell to 99 points, while most of their non-European peers enjoyed an uptick. Later, though, the press conference and Mario Draghi’s comments about there being no need for further rate cuts saw the Euro’s index skyrocket to 101.5 and its counterparts to plummet.



Volatility on the market remained largely subdued, as the overturbulence measure barely rose above one third, even with the big moves on Wednesday and Thursday. The week’s most active currency was the franc, which posted 46% of elevated volatility, with the krona’s 38% reading as the second highest. Meanwhile, the highest peaks were reached by the Kiwi’s and the Euro’s turbulence gauges spiking to 7.7 and 5.0 points at the respective interest rate announcements. The dollar’s and the franc’s readings of over 4.0 points were the next highest, both prompted by the market’s reaction to the ECB news.



During the past week the observed currencies produces no concrete leader in terms of significance, though there were several events which made the associated currencies become the market driving force at different points in time. However, the Greenback’s composite remained one of the weakest among the observed gauges, as the week was sparing of US economic news, and correlations between the dollar’s European and commodity pairs remained weak.

Dukascopy Community TV Webinars as of 15 March, 2016

Dear traders,

As always, we would like to welcome you to tune in to our daily webinars that are held on Telefision, Dukascopy broadcasting platform, where Dukascopy Community members share their trading strategies/ideas and discuss live trades on air starting from 7:00 GMT up until 18:00 GMT.

Today's agenda:
07:00 - Market Analysis Live in 3 Different Time Frames
08:30 - Catching Every Pip
10:00 - Introduction to Visual JForex in Chinese
11:00 - Introduction to Visual JForex in English
12:00 - Reviewing the impact of news and events on the FX market
12:20 - US Retail Sales Data Release
12:30 - Daily Technical Levels
13:00 - Algo war, tech talk and everything you wanted to know about the market but were afraid to ask
14:00 - Currencies of Interest
15:00 - 1 pip box renko price action scalping + 70 tick EURUSD + 4hr Majors and crosses overview
15:30 - Current Week in Focus
16:00 - FX Market Review

Feel free to tune in, as we are going to discuss the USA Retail Sales Data, which will be out at 12:30 PM GMT, however, we will start to give you insights on fundamentals and technicals of this specific data already at 12:20! Besides, our colleagues from the Research and Monitoring Team will give you two introductory webinars in Chinese and English.

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Your Dukascopy Research Team

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



Activity of the foreign exchange market was dampened throughout the period, but we make an exception for Wednesday and Thursday. Canadian Dollar traded on a positive side during all days of the week, and even the unexpected European Central Banks decision to cut all facility rates and expand monetary support was unable to completely derail the observed currency. Margin of safety was accumulated on Wednesday when the Bank of Canadas interest rate decision provided CAD with upward momentum. The period was finished with a gain of 30 basis points, just slightly behind its Australian counterpart that added 0.33%.



According to the tracking indicator for elevated volatility, the Canadian Dollar stayed turbulent in about a third of all time in the last five days. At the same time, market volatility was 36%. Without any surprises, the most active currency pair had to be NZD/CAD (44% of all time), given presence of many central bank and other fundamental events during the length of the whole period. Second in a row, the CAD/SEK cross was volatile in 37% of all moments over the period amid the previously mentioned Swedish inflation numbers that moved the Krona. Particularly the first three days of the week were quite choppy, owing to Canadian statistical data releases and the ECB meeting.



While volatility of the currency has a greater exposure to international events, correlations of different crosses of the same currency are influenced mostly by fundamentals released inside the respective region or country. Significance of the Canadian Dollar was high last week due to the BOC monetary policy event and employment data for the country. The mean correlation coefficient picked up to 0.52 points over the past five working days and exceeded the monthly average of 0.50 points. Moreover, six-month (0.48) and annual (0.44) readings were left even more behind.

February Release of Dukascopy Bank Sentiment Index Report

Full report is available here.

Summary

1. Having started the year on a disappointing note, seeing the weakest month-on-month growth for thirteen months in January, the global economy continued showing relatively weak performance over the last month. Concerns thrive over Chinese economic expansion prospects even with implementation of a new growth target range, while the possibility of ‘Brexit’ puts a shadow of doubt on the outlook for growth in Europe. Meanwhile, the effectiveness of negative interest rate regime, that is being introduced in many economies at the moment, has become questionable. However, despite these developments, business and consumer sentiment in February managed to climb modestly.
2. The persistent turmoil in financial markets and a steep drop in February’s Euro area’s PMI did not manage to sharpen prospects for downside risks in the near term, with the six-month outlook jumping 0.05 points, while the three-year sentiment climbed 0.07 points in the measured month.
3. North America saw mixed results in January, as the six-month sentiment index inched down slightly, while the three-year measure rebounded 0.06 points.
4. The negative sentiment for the Asia-Pacific region observed throughout 2015 does not seem to have carried in the Q1, as the both short and long term gauge soared in February. Against China continuing to pose downside risks to growth in the entire region, looser monetary policies in many countries managed to shore up economic activity, determining market participants’ risk appetite, business and consumer confidence.

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



The past week was quite successful for the Australian Dollar. The Aussie Currency Index was ranging around the base line during almost the whole period, however, on Thursday, the currency managed to reach its 9-month high, boosted by higher oil prices, positive domestic macro data and downgraded US Federal Reserve outlook. The latest Fed’s decision to scale back its rate hike forecasts, while keeping the target range for federal funds unchanged at 0.25%-0.50%. The currency index was only outperformed by Canadian Dollar index which ended the period with the first best result of 0.98%.



The period was notably lacking turbulence, as most elevated volatility portions stood below 1.0 mark. However, some indexes managed to lift its average to at least 2 points. The Euro was amongst the volatile currencies, with only Yen, Krona and Frank surpassing it in stability. Meanwhile, the Canadian dollar and the feeblish pound were the least tranquil, their over turbulence percentage at 20 and average volatility at 0.79. Additionally, the Greenback and the New Zealand Dollar reached the highest volatility peaks, both a little over 3.00 points. The dollar’s index spiked on Wednesday as traders digested a set of new macro updates from the US, namely upbeat core CPI.



The single currency’s significance measure was showing a strong downward trend during the past week. However, the movement was smooth, but the composite still had a few ups-and-downs and ranged from 0.15 to 0.80 points. Nonetheless, averages of the composite and its EUR/USD components were almost in row with the previous week’s values. The most notable changes occurred in EUR/USD correlations with EUR/CHF (-0.13 points).

Dukascopy Community TV Webinars as of 21 March, 2016

Dear traders,

As always, we would like to welcome you to tune in to our daily webinars that are held on Telefision, Dukascopy broadcasting platform, where Dukascopy Community members share their trading strategies/ideas and discuss live trades on air starting from 7:00 GMT up until 18:00 GMT.

Today's agenda:
07:00 -
08:00 - Catching Every Pip
08:30 - Strategy Contest Winner February 2016
09:00 - Catching Every Pip
10:00 -Market Analysis Live in 3 Different Time Frames
11:00 - Reviewing the impact of news and events on the FX market
11:30 - Daily Technical Levels
12:00 - Dukascopy Research Webinar
13:00 - Algo war, tech talk and everything you wanted to know about the market but were afraid to ask
14:00 - Currencies of Interest
15:00 - 1 pip box renko price action scalping + 70 tick EURUSD + 4hr Majors and crosses overview
15:30 - FX Market Review

Feel free to tune in, as we will have our traditional Research Webinar at 12:00 GMT, where we will cover our latest Trade Ideas, Technical Analysis as well as Market Research and many more.

See you there!

Your Dukascopy Research Team

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



During previous days, the observed currencies managed to go through some notable ups and downs. However, the yen, which started the week with the most impetuous appreciation against the background of weakening oil prices and neutral BoJ’s message on the rates, held its position till the end of the observed period and became the leader with the 1.32% growth of the index. The dollar, in turn, was among the worst performers and, furthermore, found itself outpaced by the former loser GBP Index on Thursday, when the BoE’s decision to leave the interest rate and asset-purchasing program untouched helped the domestic currency to improve its positions after Tuesday’s drop on another wave of “Brexit” concerns.



Aside from a few separate major moves, the past week was very tranquil, and the portion of overturbulence on the market reached only 17%. The Greenback was also relatively calm, with its portion of elevated volatility only marginally higher than the market’s, but was noteworthy for posting the week’s highest volatility spike. Among other currencies, the Kiwi was the only one to push its index above the 3-points mark. In terms of elevated volatility, the krona was the most turbulent currency and, against the background of the Swedish CPI and unemployment rate reports, has spent 26% of the period above the historical level.



After shooting up with the post-ECB turmoil on March 10, the dollar’s correlation composite spent most of the past week above the significance threshold. The gauge also managed to pull its 5-day average just below a solid level of 0.5 and thus above all long-term readings. Among the USD/EUR components, the most notable changes took place in the bond with commodity currencies’ pairs, as the gauges cut their negative tails and put their averages from near-zero levels to 0.4-0.5 points.

Dukascopy Community TV Webinars as of 22 March, 2016

Dear traders,

As always, we would like to welcome you to tune in to our daily webinars that are held on Telefision, Dukascopy broadcasting platform, where Dukascopy Community members share their trading strategies/ideas and discuss live trades on air starting from 7:00 GMT up until 18:00 GMT.

Today's agenda:
08:30 - Catching Every Pip
09:20 - UK CPI Data Release
10:00 -Market Analysis Live in 3 Different Time Frames
11:00 - Reviewing the impact of news and events on the FX market
12:00 - Current Week in Focus
13:00 - Algo war, tech talk and everything you wanted to know about the market but were afraid to ask
14:00 - Currencies of Interest
15:00 - 1 pip box renko price action scalping + 70 tick EURUSD + 4hr Majors and crosses overview
15:30 - FX Market Review (Majors)
16:00 - FX Market Review (Metals and crosses)

See you there!

Your Dukascopy Research Team

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



Somewhat mixed performance was recorded by the British currency last period, which started on March 16 and ended on Tuesday of this week. News from the Bank of England on Thursday managed to push the currency above the baseline, while unexpected attacks in Brussels made the British currency the worst performer on Tuesday. Markets are worried that instability in mainland Europe is going to boost the Leave campaigns support to get the UK out of the EU after the referendum on June 23. At its weekly peak on Friday, GBP was posting the third best return, just behind the Kiwi and Canadian Dollar.



We have decided to mark three distinct time slots with volatility much above historically normal levels. In two of three cases the turbulence was fuelled by mainly domestic issues, while on Wednesday the Federal Reserve used to be the determiner of all market changes. Owing to Tuesdays Brussels events, the elevated volatility of the Pound rose to 22%, compared to only 17% for the whole market. It proclaims that the GBP Volatility Index stood above the 1.00 threshold for a bit more than one fifth of all time during the March 16-22 period. On the back of the Feds monetary policy decisions and Dollars plunge, the GBP/USD cross was the most volatile and posted the elevated volatility figure of 35%.



Significance of the Pound, calculated as an average correlation between various crosses of this currency, was quite high during the period ended March 22. This is evidenced by the mean correlation coefficient, which, at 0.46 points, has more than enough outperformed the monthly average of 0.42 points and 130/250-day averages of 0.40 and 0.39 points, accordingly. As for the reasons that have pushed up significance of the Pound, the primary one seems to be a busy economic calendar, both locally and abroad. Major events are normally uniting different currency pairs and they start moving in a similar direction.

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



Despite a bunch of fundamental data from Europe, and it was a surprise that the single currency managed to change only by 0.16% compared to its counterparts. Moreover, the most traded currency pair was almost unchanged over the observed period. With almost 63% of opened position being short on EUR/USD and with the single currency being sold in 37% of the time, it was not a surprise that the Euro index remained around the base value in the first half of the week and moved lower closer to Friday. However, the US Dollar index lost around 1.56% even despite lack of economic announcements.



Financial markets remained rather calm during the last week, with an average volatility being mostly below the historic values, while elevated market volatility was registered only in 23% of the time. Thus the portions of elevated volatility of the aggregate and EUR were only 3% and 2% respectively. For the most of the components the past week also was rather tranquil, and they spent above the historical level 1% - 18% of the period. The highest results were demonstrated by EUR/CHF and EUR/JPY, the components showed relatively high results, having held above the 1-point level 18% and 16% of the observed week.



For the fourth week in a row the single currency significance measure continued to decrease. Thus in a five trading days the composite has weakened by 0.1 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/GBP correlations with EUR/GBP and EUR/NZD—averages lost 0.22 and lost 0.09 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 past week was largely tranquil for the observed currencies, as most of the indexes stagnated on the levels between -0.5% and +0.5%. A notable exception in the negative area was the pound’s gauge, which failed to derive long-term benefit from the post-Fed surge and plummeted on Tuesday, when tragic events in Brussels drove investors away from the European currency. Already weakened by the growing “Brexit” concerns, the GBP Index lost around 1.3 points by afternoon and remained close to 98.5 points mark till the end of the week.

As suggested by the currency indexes, the past week was extremely undervolatile for the market. Even against the background of the previous period’s tranquility, the observed indexes hardly managed to reach above the reference line, with the aggregate measure posting the elevated volatility portion of 4% and the krona’s gauge offering the highest reading of 17%. Two highest peaks of the indexes themselves stood just below 1.6 points and were both reached on Tuesday, when the pound tumbled and the safe-haven yen jumped.

In the absence of any major moves from the dollar its correlation composite remained close to the significance threshold of 0.3 points during the week. Its average pulled back from the previous week’s firmer reading, and the distribution shifted back towards the long-term average, cutting the positive tail short. Similar weakening was observed in the USD/EUR components, with the only the pair’s bond with USD/JPY standing out with a palpable drop below zero. The change was, however, fully attributable to Tuesday’s developments and did not spread further than Wednesday morning.

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



With a decline of 0.83%, the Japanese Yen became the worst-performing major currency over the period of the last five days. Risk-on sentiment across the globe was driving the whole market, despite hawkish remarks that were made twice by the St. Louis Fed President James Bullard. Yens specific selloff was additionally fuelled by largely depressing domestic statistics. On the other hand, one of the riskiest currencies, the Kiwi, appreciated by 1.37% over the period. Until Tuesday the New Zealand Dollar was the fifth best performer, but it turned to become the undoubted leader after a dovish tone set by the Fed Chair Janet Yellen.



Volatility of the Japanese currency had little to do with its real downside movement throughout the past five trading days. Very limited information can be extracted from the JPY Volatility Index, which is indicating this currency was turbulent is just 3% of all time during the observed period. It is even less than 4% registered for the market as a whole. Partly, this is because Easter holidays in a number of regions worldwide diminished trading volume and dragged the volatility lower as well. It is very clearly reflected in the main chart, where on Friday and Monday the red line was placed deeply below one point, which divides a turbulent market from tranquil conditions.



Significance of the researched currency, normally measured by the average correlation coefficient between individual pairs of this currency, was declining day-by-day in course of the period we are looking at. In spite of that, the overall mean correlation coefficient settled at 0.54 points, which is four basis points lower than the 20-day average. At the same time, it exceeded the six-month mean by four basis points and the annual average by as many as ten basis points. The base USD/JPY cross was relatively well correlated to the Yens rate with the Euro, Swedish Krona and Canadian Dollar.

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 0.3% gain for the EUR Index while the major gainer was New Zealand Dollar which rose 1.88%, while Australian and Canadian dollar posted the same results, 0.29%, respectively. On the other side of the baseline, the Dollar remained the major leader in its looses and posted a 1.9% weekly drop. Meanwhile, the Yen continued to be second worst performer on the long-term basis, whereas the Pound’s gauge as well as Frank’s gauge stood among the weakest four.



The week was extremely calm for the market in terms of both portion of elevated volatility (only 12%) and values of the Volatility index (with maximum of 1.45 points). It is worth noting that relative tranquility of the period was pointed out by the volatility indexes of all observed currencies. The most volatile was GBP with 20% portion of elevated volatility and 1.79 being the highest peak of the index, which was reached on Wednesday morning, right after the Fed Yellen’s dovish statement that central bank will move cautiously with further rate hikes. The Yen, in turn, was the calmest, as its index never reached the average historical level.



The past period was quite mixed for the Euro significance measure, as the composite has opened the week on 0.25 mark and finished the observed period slightly lower 0.22 level. Moreover, the strengthening was observed in almost all correlation components. Thus, EUR/USD correlations with EUR/CAD gained about 2.1 points past week. A notable raise also took place in combinations containing EUR/CHF, which gained around 1.87 points on average. The lowest performance was observed in bond between EUR/USD and EUR/CHF. The development was also observed in average values of correlations. Averages of observed components have gained in terms of both short- and long-term values.

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



The past week was a steady one for the observed currencies, as most of the indexes waved around moderate levels with little to no directional movements. Among notable exceptions were the NZD Index’s surges on Tuesday and Wednesday, backed by the Greenback’s weakness and strong building permits data coming from New Zealand. The jumps put the Kiwi’s gauge at +2.4%, and the measure yielded only 0.7 points by the end of the period, posting the greatest weekly growth. On the other side of the baseline, the longest downside was suffered by the pound’s index, which failed to shake off its general “Brexit”-fuelled feebleness and lost over one point after a disappointing manufacturing PMI release on Friday.



Activity on the market and among the dollar’s pairs rose slightly from the readings of the previous week, though the latest level of turbulence still remained rather low. The Greenback’s aggregate volatility index spent 21% of the time above its historical level and largely pointed to the dollar’s overturbulence compared to the market, as it held above the overall measure during the past week. Thus the Greenback became one of the most volatile currencies of the observed period, with only the pound posting a greater overturbulence portion of 29%. Moreover, the dollar’s index also reached the highest spike compared with its peers, surging to 2.42 points.



The week was associated with the strengthening of the bonds between the USD instruments. The average levels of the correlations between the USD/EUR and the non-European USD pairs were above their long-term values, while the components containing two European pairs continued to demonstrate high correlation. As a result, the composite’s average gained 0.08 to 0.17 points against the long-term readings, which pointed out exceptional significance of the Greenback that week. Meanwhile, the Kiwi became the dollar’s main competitor in terms of its market driving power, as it strongly reacted to its US counterparty’s losses and gains.

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



For the first two days of the period the Pound was able to hold to moderate losses along with a number of its peers. However, by clearly indicating that the sell-off was not going to stop, this currency established itself as a clear outsider of the period ended April 5. Until Thursday the last place in overall rankings of currencies was shared with the Japanese Yen and US Dollar. However, the former commenced an unprecedented comeback by the second half of the period, spiked on the back of flight to safety and thereby finished the five-day long period with a gain of 2%. Another safe haven, the Swiss Franc, was placed second with a climb of 1.16%.



Researched currency was one of the most volatile components in the market, in case we take into account the performance of G9 most traded currencies across the board. Elevated volatility is clearly confirming this fact. It indicates that the Sterling stayed turbulent in 37% of all time during the period, namely when the GBP Volatility Index was placed above the 1.00 mark. Market as a whole, on the other hand, posted a reading of only 23%. It was quite difficult to distinguish any particular component that was fuelling this action, because literally all currency pairs of the Pound were bold and aggressive in terms of changes.



Although significance of the Sterling was in decline over Wednesday and first part of Thursday of the previous week, correlations of all crosses managed to recover substantially throughout the second part of the five-day researched period. The mean coefficient for all correlations was 0.45 points and equaled to the 20-day average reading. We saw quite a lot of divergence between different components that altogether create the composite blue line on the main chart. Some of them posted completely negative correlations, and this is reflected in the massively long distribution tails.

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



The EUR Index continued to go narrow during the first days of spring, finishing on the position of last best performer. The index to fare better was the Japanese Yen measure, which held on a steady uptrend since Monday and took its conclusive advance on Thursday, hitting a fresh 17-month high. The Yen was positively affected by Japanese Prime Minister Shinzo Abe announcement, that countries should avoid weakening their currencies with arbitrary intervention as well as by dovish Fed’s statements. On the other side of the baseline, the Pound remained the leader as Brexit concerns overshadow the return of risk sentiment after oil prices bounced back from one-month lows.



The past five trading days, compared to the several previous periods, were volatile for the observed currencies. The most volatile were JPY and GBP composites, both with almost 50% portion of elevated volatility. The yen extended its winning streak and rose to the highest level since October 31 2014 highs due to increased risk sentiment as well as impressive domestic wage data. The sterling strongly reacted to the advanced oil prices which bounced higher, after touching one-month lows, on the back of a 4.6 million barrel draw in the latest API data, showing the biggest draw since the beginning of the year. Eventually, market gained 2.15 points spike of the overall index.



The Euro significance measure had a few ups-and-downs and ranged from 0.09 to 0.55 during the observed period. Moreover, its final change from the initial value amounted to 0.30 points, showing a pure positive tendency. The average values in turn remained almost unchanged from the past week. Some of the components lifted their mean levels. 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 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 three Asia-Pacific gauges. The yen’s index steadily appreciated throughout the trading week against the background of growing concerns about the Fed’s interest rate future as well as slumping crude oil prices and soured sentiment in stock market. Such conditions weakened the yen’s main counterparts, and allowed its index to gain more than 3.5% over the base value. Meanwhile, the Pacific currencies became the main losers, with their indexes finishing the week below the 98.5 level.



Activity on the market continued to grow compared to the previous periods, and the aggregate volatility index spent over one third of the week in the turbulent area. A similar tendency was observed among the individual measures, for which most readings ranged between 33% and 40%. Notable exceptions were the yen’s and the Kiwi’s gauges. The former posted a 55% portion of elevated volatility, mostly fuelled by the currency’s rapid growth on Tuesday and Thursday and some fluctuations seen on Friday. The Kiwi, in turn, was the calmest of the observed currencies, as it evened out after the previous week’s surges and only managed to hold its volatility measure above the 2-week average for 19% of the time.



Despite a notable uplift in the middle of the period, the Greenback’s significance measure showed a general downward trend, falling to its lowest levels at the end of the week, when the yen’s movements pushed the USD/JPY components into the negative area. The USD/EUR components, in turn, did not suffer any dramatic changes. On average, the pair’s bonds with other European currencies containing rates strengthened, with the corresponding means gaining 0.02-0.11 points on the previous values, while the readings for the commodity currencies components lost 0.06-0.12 points.

March Release of Dukascopy Bank Sentiment Index Report

Full report is available here.

Summary

The global economy seems to have stabilized in the previous month, following a turbulent ride in the beginning of the year. The overall economic sentiment was mainly boosted by renewed optimism over the state of Chinese economy along with higher oil prices, which were, in turn, bolstered by expectations that the world’s major producers could come to an agreement to freeze crude oil extraction. Despite that, the persistent economic uncertainty and recent political tensions, namely, the possibility of ‘Brexit’ and approaching elections in many countries, including the US, played a decisive role in determining professors’ sentiment in March, seeing both gauges sliding in the observed month.

Facing a number of threatening economic and political issues, including ‘Brexit’ fears, an extremely high refugee inflow as well as the recent terrorist attacks in Belgium, the confidence in the Euro bloc’s performance has shaken over the measured month, with six-month outlook sliding 0.11 points, while the three-year sentiment plummeted 0.09 points in the measured month.

With the Federal Reserve maintaining a more cautious stance regarding lifting rates in the coming months, North America saw disappointing results in March, as the six-month sentiment index inched down slightly, while the three-year measure shed 0.08 points.

The positive sentiment for the Asia-Pacific region based on rising demand in China seems to have continued in March, as the short-term gauge soared 0.04 points in the observed month. However, with growing skepticism about the ability of Abenomics to rekindle Japan’s economy, market participants’ risk appetite, business and consumer confidence was somewhat dampened in the long term.

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



Until the end of calendar week ended April 8, the Yen, without any suspicion, was the best-positioned currency across the board, given shaky conditions under which it was forced to trade. Analysts are concerned about efficiency of the Bank of Japans negative interest rate policy and success of Abenomics. Some crosses have risen to the highest level since 2014, definitely in favour of the Yen. Another active component was the Canadian Dollar, which eventually became the boss of the period, by outpacing its Japanese peer on Tuesday amid clambering oil prices. In the meantime, others have remained widely silent and hovered, for the most part, below the base line.



Owing to extreme changes, at first to the upside and then to the downside, that the Japanese currency has experienced over the last five trading days, it has also managed to lift its volatility gauge quite considerably. Throughout two thirds of all periods time the Yens Volatility Index stood above 1.00 points, while for the whole market this indicator hit only 48%. Nevertheless, this was a adequate enough turbulence in order to drive the FX markets overall volatility to the maximum level in five years. Among especially volatile crosses, it is worth mentioning the AUD/JPY (72%) component, even though Australia has not had any dominant events over the last five days.



Almost all crosses of the Yen posted a unique homogeneity of reactions to important news last week. Significance, which is displayed as the blue composite correlations line on the chart, was one of the highest we have ever observed for the Yen. The average coefficient for all correlations came at 0.69 points, way above all multi-period means including the previous month (0.60) and year (0.45). As for longer tails among some violins, they indicate that several components attempted to violate the informal rule of uniform development the Yen established for itself.