FX博客是什么驱动高频FX-115479960

Global What is driving high-frequency FX? Rohini Grover, Ph.D. Main highlights of the High-Frequency monitor: nUS equities continued to be a major factor in short-term FX fluctuations.However, our forward-looking statistical analysis indicates that VIX andcopper have become more influential, while emerging market equities andUS rates have decreased in importance compared to last week. Avijit NandyResearch Associate Christabel CharlesResearch Analyst nThe dynamic where EUR/USD influenced other asset classes, observed inApril and early May, has reversed, likely due to the US and China agreeingto suspend tariff increases for 90 days. Now, EUR/USD is the leadingcurrency pair driven by the highest number of other asset classes, closelyfollowed by AUD/USD. nContemporaneously,EUR/USD is also more correlated to coppercompared to a week and month ago. Additionally, many other currenciessuch as AUD/USD, NZD/USD, USD/CAD, XAU/USD, USD/MXN and USD/ZAR have also shown a stronger correlation to copper. nWe also plot minimum spanning trees that identify assets that exertsignificantinfluence on multiple assets based on correlation.Ourcorrelation-based MSTs show copper as the biggest contemporaneousinfluencer of high-frequency moves in FX, followed by US rates and EMequities. On the flip side, bitcoin appears to be most influential for non-FXassets. Figure 1, Figure 3 and Figure 11 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 11 shows the relative importance of each asset in driving agivencurrency in the recent period.Figure 9 looks at contemporaneouscorrelations. We show the top-3 correlations between FX pairs and other assetclasses. Figure 10 shows intra-FX correlations. We use Granger causality tests tomeasure causality. All statistics measured at 5-minute frequency. For furtherdetails, please see our updated methodology. For a summary of our FX quant tools,please also see DB FX research quant tools. 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. Figure 9: Cross-asset correlation Figure 10: Cross-currency correlation 19 May 2025FX Blog 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/Disclaimer. Investors are strongly encouraged to review this information before investing. 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 viewin this report. Rohini Grover. 19 May 2025FX Blog 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 theaccuracy or security controls of those websites. 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 within Deutsche Bank,including strategists, sales staff and other analysts, may take views that are inconsistent with those taken in this researchreport. Deutsche Bank issues a variety of research products, including fundamental analysis, equity-linked analysis,quantitative analysis and trade ideas. Recommendations contained in one type of communication may differ fromrecommendations con