20130820-巴黎银行证券-BNP_Paribas_STEER_11页_587kb

BNP Paribas STEER™ Summary

Core Content

BNP Paribas STEER™ (Short-Term Equilibrium Exchange Rate) is a model used to estimate short-term fair values of exchange rates based on interest rate differentials, equity markets, and commodity prices. The model identifies overvalued and undervalued currency pairs by measuring deviations from fair value using z-scores. A deviation greater than 1.5 z-scores indicates a potential for exchange rate movement in the coming weeks.

Main Views

G10 Currencies

• GBPUSD: Overvalued by 1.64 z-scores, with fair value at 1.5385. GBP is vulnerable to a decline against USD.
• EURGBP: Overvalued by 1.33 z-scores, with fair value at 0.8710. EURGBP is vulnerable to a move higher, and a long position is recommended.
• USDJPY: Undervalued by 1.1 z-scores, with fair value at 100.40. The pair has potential to move higher.
• EURNOK: Overvalued by 2.79 z-scores, with fair value at 7.7540. The pair is vulnerable to a decline.
• AUDUSD: Slightly undervalued, with fair value at 0.9235. The pair is still within the +/-1.5 z-score corridor.
• NZDUSD: Previously overvalued, but has since declined back in line with its STEER.
• USDCAD: Trading in line with its fair value of 1.0395.

Emerging Market (EM) Currencies

• CEEMEA:

  • EURPLN: Spot at 4.2290, fair value at 4.2580, deviation -0.75. Trading in line with fair value.
  • EURCZK: Spot at 25.7620, fair value at 25.8410, deviation -0.71. Trading in line with fair value.
  • EURHUF: Spot at 299.40, fair value at 298.50, deviation +0.41. Trading in line with fair value.
  • EURRON: Spot at 4.4390, fair value at 4.4830, deviation -1.28. Trading in line with fair value.
  • USDZAR: Spot at 10.1390, fair value at 10.1550, deviation -0.10. Trading in line with fair value.
  • USDTRY: Spot at 1.9460, fair value at 1.9570, deviation -0.79. Trading in line with fair value.
  • USDILS: Spot at 3.5600, fair value at 3.6290, deviation -1.78. Most undervalued in CEEMEA.
  • USDRUB: Spot at 32.9290, fair value at 32.9510, deviation -0.10. Trading in line with fair value.

• Asia:

  • USDKRW: Spot at 1121, fair value at 1126, deviation -0.64. Trading in line with fair value.
  • USDMYR: Spot at 3.2910, fair value at 3.2720, deviation +0.71. Trading in line with fair value.
  • USDIDR: Spot at 11113, fair value at 10697, deviation +5.20. Overvalued and vulnerable to decline.
  • USDINR: Spot at 63.6250, fair value at 61.6060, deviation +2.53. Overvalued and vulnerable to decline.
  • USDTHB: Spot at 31.6600, fair value at 31.5840, deviation +0.27. Trading in line with fair value.
  • USDSGD: Spot at 1.2780, fair value at 1.2700, deviation +0.94. Trading in line with fair value.
  • USDPHP: Spot at 43.9900, fair value at 43.0530, deviation +2.38. Overvalued and vulnerable to decline.
  • USDTWD: Spot at 30.0000, fair value at 30.0530, deviation -0.52. Trading in line with fair value.

• Latin America:

  • USDBRL: Spot at 2.3970, fair value at 2.3290, deviation +3.25. Overvalued and vulnerable to decline.
  • USDCLP: Spot at 518.50, fair value at 517.90, deviation +0.18. Trading in line with fair value.
  • USDMXN: Spot at 13.0360, fair value at 12.8260, deviation +1.84. Overvalued and vulnerable to decline.
  • USDCOP: Spot at 1912, fair value at 1894, deviation +1.93. Overvalued and vulnerable to decline.
  • USDPEN: Spot at 2.8060, fair value at 2.8200, deviation -0.97. Trading in line with fair value.

Key Information

• The model highlights that GBP is overvalued against USD and EUR, suggesting a potential decline.
• EURNOK is overvalued, with a z-score of 2.79, and is expected to move lower.
• USDJPY is undervalued, indicating potential for a move higher.
• In EM currencies, the sell-off has led to weaker currencies and higher CDS, with certain pairs like USDIDR, USDINR, and USDPHP showing significant overvaluation.
• CEEMEA currencies are broadly in line with their fair values, except for USDILS which is the most undervalued.
• The STEER model is not independent investment research and is subject to marketing communication. It may be influenced by conflicts of interest and is not guaranteed to be accurate or complete.

Summary Table

Forecast Bias

• GBPUSD: ↓
• EURGBP: ↑
• USDJPY: ↑
• EURNOK: ↓
• USDIDR: ↓
• USDINR: ↓
• USDPHP: ↓

Notes

• Forecast Bias indicates the direction of expected movement: ↑ for undervalued (likely to rise), ↓ for overvalued (likely to fall).
• 个*: Indicates that the signal is from a model which does not pass statistical co-integration tests, corresponding to lower forecasting power.
• The STEER model is not a substitute for professional judgment and is subject to change without notice.

Disclaimer

This document is not independent investment research and may be subject to conflicts of interest. It is a marketing communication and should not be relied upon as an authoritative source. BNP Paribas may have financial interests in the currencies mentioned and may have acted upon the information before publication.