高频外汇的驱动因素是什么？

Foreign ExchangeFX Blog What is driving high-frequency FX? Rohini Grover, Ph.D.Strategist Main highlights of the High-Frequencymonitor: With Geopolitics in focus recently, US equities have remained the main driver ofhigh-frequency moves in FX. While FX volatility remains low, connections fromother asset classes to FX have picked up slightly. Notably, US rates and copper Christabel CharlesResearch Analyst Historical impact of key asset classes on FX:Our historical analysis over the pastthree months reveals that US equities have impacted USD/ZARand USD/CHF onover 80% of days. US rates have also exerted influence onUSD/CHF, on more Digging deeper into specific pairs: XAU/USD: The pair is mainly driven by US equities. AUD/JPY:This has been the top currency pair driven byAU, US and EM equities GBP/USD, NZD/USD, USD/CHF and USD/SGD: These currencies are particularlyinfluenced byUS equities and rates. Contemporaneous effects between FX and other assetclasses:Strong positivecorrelations with US equities are evident inthe Antipodean, XBT/USD andXAU/USD. US rates demonstrate a strong positive relationship with USD/JPYand USD/CHF, and a strong negative relationship with GBP/USD, EUR/USD, the Figure1,Figure3andFigure13look at causality in FX.Figure1shows the currencieswhose moves can be statistically predicted by other asset classes.Figure3ranks the drivers of FX (highest to lowest number of currencies, driven by a given asset).Figure13shows the relative importance of each asset in driving a given currencyin the recent period.Figure11looks at contemporaneous correlations. We show Source:Deutsche Bank Research Source:Deutsche Bank, EBS, Reuters; Total number of currencies = 19 Source:DeutscheBank, EBS, Reuters; 4-week rolling average connections Source:Deutsche Bank Research * % of days since 1st April 2021 each currency isdriven by other assets. For example, USDCHF is driven by US rates 60% of the days. Source:Deutsche Bank Research * % of days since 1st April 2021 each currency isdriven by other assets. For example, USDCHF is driven by US rates 60% of the days. Source:Deutsche Bank Research * % of days since 1st April 2021 each currency isdriven by other assets. For example, USDCHF isdriven by US rates 60% of the days. Source:Deutsche Bank, EBS, Reuters. We compute daily correlations using log pricechanges sampled at 5 minutes frequency and take an average of the daily correlationsover the past five days to arrive at the final 5-day correlation numbers. Source:Deutsche Bank, EBS, Reuters; 4-week rolling average connections Appendix 1 Analyst Certification The views expressed in this report accurately reflect the personal views of the undersigned lead analyst(s). Inaddition, the undersigned lead analyst(s) has not and will not receive any compensation for providing a specific Important Disclosures 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 https://research.db.com/Research/Disclosures/FICCDisclosures. Aside from within this report, important risk andconflict disclosures can also be found athttps://research.db.com/Research/Disclosures/Disclaimer. Investors are Additional Information The information and opinions in this report were prepared by Deutsche Bank AG or one of its affiliates (collectively'Deutsche Bank'). Though the information herein is believed to be reliable and has been obtained from public sourcesbelieved to be reliable, Deutsche Bank makes no representation as to its accuracy or completeness. Hyperlinks to If you use the services of Deutsche Bank in connection with a purchase or sale of a security that is discussed in thisreport, or is included or discussed in another communication (oral or written) from a Deutsche Bank analyst, Deutsche Deutsche Bank may consider this report in deciding to trade as principal. It may also engage in transactions, for itsown account or with customers, in a manner inconsistent with the views taken in this research report. Others withinDeutsche Bank, including strategists, sales staff and other analysts, may take views that are inconsistent with thosetaken in this research report. 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 Opinions, estimates and projections constitute the current judgment of the author as of the date of this report. Theydo not necessarily reflect the opinions of Deutsche Bank and are subject to change without notice. Deutsche Bankprovides liquidity for buyers and sellers of securities issued by the companies it covers. Deutsche Bank research term ratings. Some trade ideas for equities are listed as Catalyst Calls on the Research Website(https://research.db.com/Research/) , and can be found on the genera