什么在驱动高频外汇走势？

What is driving high-frequency FX? Rohini Grover, Ph.D.Strategist+44-20-75475907 Last week, we highlighted copper's importance in driving high-frequency moves inFX. This has moderated slightly, as copper, while still among the top three drivers,now influences a fewer number of currencies than last week. US equities and EMequities, on the other hand, have maintained their influence, with US equitiescontinuing to be the top driver of high-frequency FX. We recently also highlightedthat we expect FX vols to remain subdued in the absence of lower US growth Christabel CharlesResearch Analyst Contemporaneously, US equities show the strongest positive correlation withBitcoin, followed by other G10 and EM currencies such as a positive correlation withAUD, NZD, MXN, ZAR, and CAD versus the dollar. Similar correlations are alsoobserved between these pairs and EM equities. EUR/USD and US equities' high- Historical impact of key asset classes on FX: Our historical analysis over the pastthree months reveals that US equities have influenced USD/CHF and USD/ZAR onmore than 70% of days. Copper continues to impact USD/CNH and USD/ZAR on Contemporaneous effects between FX and other asset classes:Copper continuesto display a strong positive correlation with XAU, NZD, AUD, ZAR, and SGD versusthe dollar. Based on correlation-based Minimum Spanning Trees, EM equities Figure 1, Figure 3 and Figure 13 look at causality in FX. Figure 1 shows thecurrencies whose moves can be statistically predicted by other asset classes. Figure 3 ranks the drivers of FX (highest to lowest number of currencies, driven bya given asset). Figure 13 shows the relative importance of each asset in driving a correlations. We show the top 3 correlations between FX pairs and other assetclasses. Figure 12 shows intra-FX correlations. We use Granger causality tests tomeasure causality. All statistics are measured at 5-minute frequency. For furtherdetails, please see our updated methodology. For a summary of our FX quant tools, Source :Deutsche Bank, EBS, Reuters Source :Deutsche Bank, EBS, Reuters % of days since 1st April 2021 each currency is driven by other assets. For example, USDCHF is driven byUS rates 60% of the days. We compute daily correlations using log price changes sampled at 5 minutes frequency and take anaverage of the daily correlations over the past five days to arrive at the final 5-day correlation numbers. Source :Deutsche Bank, EBS, Reuters We compute daily correlations using log price changes sampled at 5 minutes frequency and take anaverage of the daily correlations over the past five days to arrive at the final 5-day correlation numbers. We compute daily correlations using log price changes sampled at 5 minutes frequency and take anaverage of the daily correlations over the past five days to arrive at the final 5-day correlation numbers. Source : Deutsche Bank, EBS, Reuters; 4-week rolling average connections Figure 12: Cross-currency correlation Appendix 1 Important Disclosures *Other information available upon request *Prices are current as of the end of the previous trading session unless otherwise indicated and are sourced from localexchanges via Reuters, Bloomberg and other vendors . Other information is sourced from Deutsche Bank, subject companies,and other sources. For further information regarding disclosures relevant to Deutsche Bank Research, please visit our globaldisclosure look-up page on our website at https://research.db.com/Research/Disclosures/FICCDisclosures. Aside from withinthis report, important risk and conflict disclosures can also be found at https://research.db.com/Research/Disclosures/ Analyst Certification The views expressed in this report accurately reflect the personal views of the undersigned lead analyst(s). In addition, theundersigned lead analyst(s) has not and will not receive any compensation for providing a specific recommendation or view Additional Information The information and opinions in this report were prepared by Deutsche Bank AG or one of its affiliates (collectively 'DeutscheBank'). Though the information herein is believed to be reliable and has been obtained from public sources believed to bereliable, Deutsche Bank makes no representation as to its accuracy or completeness. Hyperlinks to third-party websites in thisreport are provided for reader convenience only. Deutsche Bank neither endorses the content nor is responsible for the If you use the services of Deutsche Bank in connection with a purchase or sale of a security that is discussed in this report, oris included or discussed in another communication (oral or written) from a Deutsche Bank analyst, Deutsche Bank may act asprincipal for its own account or as agent for another person. Deutsche Bank may consider this report in deciding to trade as principal. It may also engage in transactions, for its own accountor with customers, in a manner inconsistent with the views taken in this research report. Others w