什么是驱动高频外汇的因素：外汇交易博客

What is driving high-frequency FX? Strategist+44-20-754-75907 backdrop,our high-frequency analysis shows a further strengthening in Usequity-FX connectivity,with equity markets now driving more than 60% of thecurrencypairsinoursample. increased, underscoring their growing importance as a cross-asset driver. Oil'scontribution to currency moves was broadly unchanged, while EM equities andcopper saw a modest increase in influence, pointing to a slight broadening in theset of riskand commodityfactors shapingFXperformance. Impact across individual FX pairs: US equities remain the dominant driver ofhigh-frequencymoves aredrivenprimarilyby a combinationof US equities andUS rates, highlighting the joint importance of risk sentiment and interest-ratedynamics.Elsewhere,oil remainsthekeyinfluenceonEUR/NOK,consistent withthe pair's close relationship with energy markets. USD/CHF is influenced by abroader mix of factors, with Us equities, Us rates and copper all playingimportant roles. Historical impactoverthepastthreemonths: USequities have been thedominantdriverofUSD/CHF,USD/SGDandNZD/USD,explainingmarketmovesonmorethan 90% of trading days.US rates have been especially influentialfor NZD/USDandUSD/CNH,accountingformorethan 60%of trading days.EMequitieshavehad the strongest impact on USD/CAD, EUR/NOK and USD/MXN, contributingonmore than 20%of trading days.Oil remains the defining factorforEUR/NOK,driving the pair on more than 90% of trading days. Correlation structure: Underlying cross-asset correlations continue to show aclassic risk-on/risk-off pattern.US and EM equities are generally positivelycorrelated with pro-cyclical assets,including AUD,NZD,GBP,EUR,SGD,MXNZAR,gold (XAU)andbitcoin(XBT),reflectingtheirshared sensitivityto globalgrowth and investor risk appetite. By contrast, oil is negatively correlated withseveral currencies against the US dollar, notably ZAR, SGD, CHF, CNH, NZDXAU and AUD. US rates also maintain broadly negative correlations with majorcurrencies,with the strongest inverse relationships inSGD,ZAR,JPY,CHF,NZD,AUD,XAU,EURandGBP. Network view: Beyond predictive linkages, the correlation-based MinimumSpanningTree (MsT)showshow contemporaneouscross-marketrelationshipsare structured.The network continues to identify US interestrates as theprimaryhub in high-frequency FX dynamics, with the VIX remaining the second mostimportant source of cross-asset connectivity.WithinFX,USD/ZAR retains its roleas a key bridge currency, linking rates, equities and commodities. Its central importantchannelforcross-marketspillovers. currencies whose moves can be statistically predicted by other asset classes.Figure 3 ranks the drivers of FX (highest to lowest number of currencies, drivenby a given asset). Figure 15 shows the relative importance of each asset in drivinga given currency in the recent period. Figure 13 looks at contemporaneouscorrelations. We show the top 3 correlations between FX pairs and other assetclasses. Figure 14 shows intra-FX correlations. We use Granger causality tests tomeasure causality. All statistics measured at 5-minute frequency. For furthertools, please also see DB FX research quant tools. Source: Deutsche Bank Research rce:DeutscheBankResearch FAV up (strorengercorrelotion/down/weakercorrelation)againstlostmonth5-daycorrelations5 Day Source: Deutsche Bank Research FX Blog Appendix 1 The views expressed in this report accurately reflect the personal views of the undersigned lead analyst(s). In addition, the undersigned lead analyst(s) has not and will not receive any compensation for providing a specificrecommendation orview inthis report.Rohini Grover, Ph.D.. Prices are current as of the end of the previous trading session unless otherwise indicated and are sourced fromlocal exchanges via Reuters, Bloomberg and other vendors . Other information is sourced from Deutsche Bank, subjectcompanies, and other sources. For further information regarding disclosures relevant to Deutsche Bank Research,pleasevisitourglobal disclosurelook-uppage onourwebsite athttps://research.db.com/Research/Disclosures/FICCDisclosures. Aside from within this report, important risk and conflict disclosures can also be found at https://research.db.com/Research/Disclosures/Disclaimer. Investors arestronglyencouragedtoreviewthisinformationbefore investing. '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 tocontentnorisresponsiblefortheaccuracyorsecuritycontrolsofthosewebsites.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 ordiscussed in another communication (oralorwritten)froma Deutsche Bankanalyst, DeutscheBank mayact as principal for its own accountor as agentforanotherperson. ownaccount orwith customers,ina mannerinconsistentwit