什么在驱动高频外汇走势？

Rohini Grover, Ph.D.Strategist+44-20-75475907 Christabel CharlesResearch Analyst 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 growthtriggers. While our top drivers generally remain consistent across volatility regimes,US equities tend to drive riskier currencies on a relatively greater number of days ina low volatility regime compared to a high volatility regime. During higher volatilityperiods, the number of connections between other asset classes (outside of equity)and FX also tends to become simultaneously important as assets become moreconnected. 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-frequency correlation remains low, suggesting that the low correlation trendremains at the micro level and European investors with exposure to US equitiesshould continue to find their volatility-minimizing hedge ratios closer to 100%. 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 onmore than 40% of days. Meanwhile, EM equities influenced EUR/NOK on more than50% of the days. 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 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 contemporaneous 9 February 2026FX Blog 9 February 2026FX Blog 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. 9 February 2026FX Blog Figure 11: Cross-asset correlation Figure 12: Cross-currency correlation 9 February 2026FX 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. 9 February 2026FX 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 re