德意志银行外汇博客是什么推动了高频FX-118895521

Rohini Grover, Ph.D.Strategist+44-20-75475907Christabel CharlesResearch Analyst Copper remains the primary driver of high-frequency FX movements, with USequities and rates ranking as the second and third most influential factors,respectively. While the number of currencies currently being driven by US equitieshas declined compared to last week, US equities have still influenced FX on moredays than any other driver over the past three months. This influence is particularlyevident in pairs like USD/CHF and AUD/JPY. For those anticipating a risk-offenvironment as the year concludes, we recently highlighted that buying one-monthAUD/JPY volatility offers an effective hedge against such moves. Meanwhile, copper serves as the primary driver for commodity currencies,including AUD/USD and NZD/USD. Over the past three months, its influence hasalso extended to movements in USD/ZAR and EUR/NOK. Concurrently, we observea moderate correlation between copper and gold, as well as with the Antipodeancurrencies, USD/ZAR, and USD/MXN. Digging deeper into specific pairs: nEUR/USD:Driven by EU equities and Copper.nUSD/JPY:Its movements are primarily driven by US equities.nGBP/USD:This pair is influenced by UK equities, UK rates, and Copper.nEUR/PLN: Driven by EU equities, EU rates, Copper, and EM equities. Finally,based on correlation-based Minimum Spanning Trees,EM equitiesconsistently stand out as the dominant contemporaneous driver of high-frequencyFX movements, with VIX and US rates emerging as significant secondary drivers. 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 agivencurrency in the recent period.Figure 11 looks at contemporaneouscorrelations. 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,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. 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. 17 November 2025FX Blog Figure 11: Cross-asset correlation Figure 12: Cross-currency correlation 17 November 2025FX Blog Figure 14: EM equities and AUD/USD are the most important focal point basedon 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/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. 17 November 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 transact