After spending the previous period below the baseline and ending up with the largest loss, the Canadian dollar recovered and became the best performer of the week. However, all currencies ended the period with the change not exceeding 0.5% level. The unexpectedly low UK Trade Balance pushed the GBP index down, and it has ended the period with the worst result. August 8 was rich with news coming from Japan. Despite weaker exports, BoJ decided to keep monetary policy unchanged in August, and JPY index gained the week’s best value of 100.95. Nevertheless, the yen have finished the week with only the second-best result, losing 0.07% against CAD.
Rich with news releases, the end of the previous trading week was rather turbulent for the market. That caused several currency pairs to have a high percent of elevated volatility. Indeed, CAD/JPY Volatility Index spent almost 50% of the time above the historical level. However, the highest spike was provoked by the Aussie after unexpectedly bearish unemployment data came out on August 7. All in all CAD/JPY and AUD/CAD were the only currency pairs that finished the observed period with an average volatility higher than usual.
The past week can be apparently divided into two parts of weak and strong correlations between the Loonie’s crosses. The average correlation, which measures currency’s strength, was above its historical level during the period from Wednesday till Friday’s noon. The picture changed dramatically on Friday. During the rest of the period, in contrast to previous days’ average of 0.39, the mean value of the gauge reached 0.63 mark, which is notably higher than historical level. In fact, such a pattern can be explained by plenty of influential news on different countries’ economies at the end of previous trading week, but absence of such at the beginning of current week.
The Swedish krona became the top performer with a 0.77% gain over the week. The pound, in turn, have spent all the period below the baseline and suffered great 0.85% losses on Wednesday as BoE Quarterly Inflation Report dampened the hopes of future interest rate rises and cut wage growth forecast. As a result, GBP was the worst performer and lost 1.06% of its base value over the week. One more conspicuous moment was the CAD response to a pessimistic employment data on Friday, when it lost 0.65% of the value, but had fully recovered till the end of the observed period. The rate changes of other currencies under study remained in the range between -0.54% and 0.54 %.
The volatility of the Euro was very similar to market volatility in terms of both elevated volatility proportion and Volatility Index values. There were several times, when the spikes of Euro Volatility Index exceeded the DB Volatility Index peaks, indicating that the rises of turbulence were to some extent caused by the single currency’s movements. Such a pattern was observed on Friday’s morning after the release of French Industrial Output and Euro zone Economic sentiment announcement on Tuesday. Thursday’s releases of Euro zone CPI and Preliminary GDP, in turn, became the most volatile news on Euro during the week.
The past week was rather dynamic for the Euro significance measure and its components. Compared to the previous period, averages of the all components (containing EUR/USD) increased for 0.12 - 0.35 points. The exception was EUR/USD correlations with EUR/CHF. The Switzerland ZEW Economic Expectations report has strengthened the negative bond between mentioned pairs, the correlation coefficient reduced up to -0.52 mark, and week’s average became -0.37. In long-term values the bond between EUR crosses also became stronger and has increased for 0.09-0.25 points during the year. In turn, the composite has spent the period in the usual range, fluctuating between 0.12 and 0.33.
The past week was a rather futile one for the U.S. dollar. None of the bursts and falls managed to start a trend, and the overall USD Index movement was flat. However, while the beginning of the week saw the index hold above the base value, Friday was marked by mounting losses, and the dollar posted negative weekly change against five out of its eight observed peers. The period’s best performers, the Canadian dollar and the Swedish krona, both gained around 0.75% against the Greenback, while the period’s losers, the pound and the yen, only gave up 0.37% and 0.29%, respectively.
The past week was rather tranquil for the U.S. dollar. Both the market and the USD Volatility Indexes held above the historical level in only around 20% of the time. The percent of elevated volatility of the components has also declined. Thus, the portion of the heightened volatility of USD/JPY, the most elevated pair of the previous period, has decreased by 37%. The most noticeable volatility spike happened on Wednesday, when GBP/USD volatility jumped to 5.88 mark following the BoE quarterly inflation report and Mark Carney speech. However, the event had limited effect on the market and USD volatility, whose corresponding peaks were only 1.79 and 1.52 high.
The correlations between USD pairs were rather strong during the observed period. Their distributions were notably skewed towards the greater historical values, pointing out relative significance of correlation positivity.
The composite started the period with two days of moderate values. In absence of influential news on the U.S. economy, and in light of Canadian housing starts release on Monday and disappointing data on New Zealand house prices and Euro zone economic sentiment on Tuesday, which notably influenced the domestic currencies, the USD significance measure was fluctuating around feeble 0.3 level.
The past period was extremely discouraging for the British pound, deepening the recent downtrend of the index and causing the currency to lose around 1% of its opening value. As a result, the GBP Index ended up being the period’s worst performer, and posted the second-greatest loss over the past 20 trading days. Longer term changes also lost some of their optimism, but managed to remain positive. Compared to the period ending on August 12, the long-term gap between current and past GBP Index’ values tightened by around 2%, with half-yearly growth slipping to 0.5% and yearly increase barely holding above 7%.
In terms of maximum peaks and highest average levels of volatility index, the pound was the most turbulent currency of the period. It also had third highest portion of elevated volatility, surpassed only by the New Zealand dollar and the Swiss franc. And while the periods of elevated volatility were largely affected by foreign events, the massive spikes were all reached in response to the British fundamentals. Among the pound’s crosses, GBP/CHF, GBP/NZD, and EUR/GBP spent the most time in the turbulent area, all holding their average volatility indexes above 1.
The short-term average correlations between GBP/USD and other observed pound crosses were rather close to long-term values, and varied between 0.22 and 0.66. The relatively high average correlations indicated solid positive relations between the pound’s pairs. There were only a few cases of negative correlation. Namely, Friday’s raise of the yen caused the weakening of bonds between the GBP/JPY and other GBP crosses, pushing the pair’s correlations with GBP/CAD and GBP/SEK to drop to -0.64 and -0.43 levels respectively. The overall significance measure of the pound had a lot of ups-and-downs during the period, and was fluctuating in a range from 0.17 to 0.90.
During the period the Euro Index remained mostly unchanged, with minor fluctuations around the baseline. The U.S. dollar, in turn, became the top performer of the period with 0.68% Index gain. The yen was constantly falling during the last two days, so it finished Thursday behind its counterparts with 0.85% loss over the base value. The most conspicuous in terms of Currency Index movement dynamics was the New Zealand dollar, which experienced several notable drops and recoveries. The Kiwi’s dip after the release of unexpectedly declining PPIs became the sharpest currency change over the period.
Compared to the period ending on August 19, the highest peaks, the average level, and the portion of elevated volatility all subsided for the Euro, and the single currency remained virtually indistinguishable from the market in terms of turbulence. The spikes of the observed Euro crosses were uncoordinated, keeping the composite EUR Volatility Index largely below the 2 point mark even as the individual components reached as high as 4. EUR/CHF and EUR/NZD were the pairs with highest percentage of elevated volatility, EUR/GBP, EUR/JPY and EUR/CHF volatility indexes reached the highest levels, but EUR/CHF, EUR/NZD and EUR/USD indexes had the greatest average values.
As was seen in both Currency and Volatility Indexes, the single currency did not experience any market shaking moves throughout the period. The observation was well supported by the Euro significance measure, that spent the period on a very feeble level and had the smallest average value among the observed currencies. The composite’s weakness was largely induced by negative correlations, originating mostly from EUR/CHF combinations, that on many occasions diminished strong readings of other components. The average composite value stood at 0.23, while the maximum value barely reached over 0.4.
After ending the previous period in the depreciation area, the U.S. dollar Index managed to recover and became the best performer of the past week. The second place was taken by AUD. In contrast to USD and AUD, that posted impressive gains of 1.18% and 0.96%, most of the other observed currencies were not so successful and finished the period below the baseline. The week was especially hard on the yen. After unexpectedly low Japan merchandise trade balance data, JPY began to decrease, and by the end of the period its index has dropped to -0.76%.
The past trading week was rather calm for the market, with only 24% of elevated volatility and 2.15 maximum peak of the Volatility Index. The dollar’s volatility exceeded the market in terms of both high turbulence proportion and index values, pointing out several events that significantly influenced the Greenback. The most conspicuous spike of the USD Volatility Index, as well as the greatest peaks of almost all its components, took place during the weekend against the background of Jackson Hole Symposium.
The USD significance measure’s movements were pronouncedly directional throughout the period, with the rather high average level of 0.5 serving as both support and resistance mark. Nevertheless, the composite showed modest results among the observed currencies, exceling in neither highest peaks nor strongest average level. The feebleness was especially noticeable in the first half of the period, when the USD average correlation produced third-weakest values. At the same time, the bonds in the USD/EUR components notably strengthened compared to their longer-term values, and the pair’s correlations with USD/AUD, USD/CAD, and USD/SEK gained as much as 0.1-0.15 points.
The pound’s evolution throughout the past five trading days was wavy, but, after the plunge on August 19 CPI data, the base value for the currency was not high, and the GBP Index managed to hold above the baseline for most of the period. The index posted a 0.22% weekly gain, significantly improving its results compared to the past few periods. Three of the observed currencies — the U.S, the Australian, and the Canadian dollars, — were steadily surpassing the pound, and ended up reporting greater advances. The other currency indexes finished the period well below the baseline. Meanwhile, the monthly change of the GBP Index remained negative.
The period was modest in terms of volatility, with both the market and GBP indexes holding above historical average for only one fifth of the time. GBP/NZD was the only pound’s cross with the portion of elevated volatility greater than 30%, and with that posted the greatest average volatility index value. Meanwhile, the EUR/GBP and GBP/CHF indexes reached the period’s highest peaks, both against the background of the BoE minutes release.
The observed period was marked with low correlations of GBP/USD and GBP crosses. All the distributions were significantly skewed down, which brought mean correlations closer to zero. One reason for that could be the period covering only a few UK data releases in contrast with a host of data from other countries. Thus, the average correlation of GBP pairs, which measures significance of the currency, started the period on a relatively strong 0.56 position, but weakened shortly and was varying in range from 0.20 to 0.48 for the rest of the time.
The EUR Index spent the whole period below the baseline and held steadily among the worst three performers. In this regard, the index ended the period second, deepening the loses of the past periods with a –0.69% weekly change. The longer-term developments also remained on the negative side, with the 18-nation currency showing one of the greatest half-yearly declines among its observed counterparts. The only peer to underperform the Euro was the Swedish krona, whose index was closely following that of the single currency throughout the period, but plunged after disappointing retail sales on Thursday.
Both the market and the Euro turbulence picked up compared to the period ending on August 26, with portions of elevated volatility rising closer to one third. EUR/CAD, EUR/CHF, and EUR/USD were most notable in that aspect, as their volatility indexes exceeded historical averages for over 40% of time. The most traded currency pair was also the one to reach the highest volatility peak, with its index spiking above 4 during the weekend. All in all, however, while the Euro was among the period’s leaders in terms of elevated turbulence, its greatest volatility spikes were well below average compared to other observed currencies.
Even though the period was not rich with European data releases, the composite, on average, was holding at the usual level of 0.28. Compared with the previous period, the sort-term values of components also remained almost unchanged. The most noticeable development was the 0.17 points rise in correlations between EUR/USD and EUR/CHF. In the meantime, the bond between EUR/USD and EUR/NZD has weakened. Comparing the current value with the ones of the previous week and the previous year, average correlations has decreased for 0.09 and 0.21 points, respectively.
The USD Index was not particularly strong in the past week, as it spent the biggest part of the period below the baseline. Nevertheless, it did manage to finish the period outside the depreciation region and notably outperform three of its observed peers, with the Greenback gaining 0.78% against the Swedish krona, 0.57% against the single currency, and 0.33% against the Swiss franc. The yearly change of the index slipped further into negative area compared to the period ending on Friday, while the monthly and half-yearly figures both went up. Meanwhile, the dollar weakened the most against its Canadian counterpart, losing 0.78% over the week, and yielded 0.33% and 0.26% to the Aussie and the pound.
Despite the fact that the week started with high volatility values, as a whole it was rather calm. The portion of elevated volatility for both market and USD was only 23%, which is lower than usual. Moreover, the fact that high volatility was observed in 16% of time for some components and 40% for others, pointed out that the turbulence on the market was caused by USD only in relatively few cases. Low volatility indexes readings – average values mostly below 0.9 – suggested the same. optimistic Australian private capital expenditure announcement and Canadian GDP release, respectively. The peaks of components’ volatilities also were not provoked by the news on U.S. economy.
The USD significance measure was gradually declining throughout the period, but still held above the significance threshold of 0.3. The composite was among the top-three in terms of maximum and average values, yielding only to the New Zealand’s significance gauge and sharing the levels with the Canadian and the Australian dollars. The component correlations with USD/EUR mostly kept within their historical limits, excepting the combinations with USD/GBP, USD/CAD, and USD/SEK that diverged from the norm by shifting up.
Though the markets were waiting for the Japanese Yen to start falling, it was not until the end of last week, when the bears finally took control of the situation and initiated a downward trend that still remains intact. Before that the value of the Yen was fairly stable, and even at some intervals it was attempting to gain some value, as was the case last Thursday, when continuously disappointing data from the Euro zone prompted investors into buying safer assets, and only surprisingly positive reading on the U.S. GDP prevented the Yen from appreciating even more. The next day proved to be critical for the Yen, as the risk-avoiding sentiment has somewhat subsided in the light of better worldwide macroeconomic background, heralding a new trend.
On Monday the Japanese Yen kept on moving downwards, as there were no game-changing events due to a banking holiday in the United States. But Tuesday was a different story, but rather than reacting to the RBA rate statement or U.S. manufacturing data that was published later that day, these were rumours regarding the management of the world’s largest pension fund that triggered a massive exodus of money away from the Yen-denominated assets. The fund will now likely become more aggressive concerning its investment policy by diversifying more into foreign securities. As a result, the currency plunged 0.24% just within a few hours, with its index finishing the five-day period 0.7% below the base value. The loss was particularly substantial against the U.S. Dollar (-0.97%) and its Canadian counterpart (-1.05%), while the Swedish Krona was almost as bearish (-0.17%).
Full report
[ul]
[li]August was full of economic events from all around the globe which definitely have had an impact on professors’ perception of economic situation in the world. Experts’ six-month economic outlook continued its downward trend, reaching the lowest level since September 2013. In contrast, longer term sentiment index rebounded from the 12-month low reached in July, pointing to renewed optimism in the world economic strength three years from now.
[/li][li]While the U.K. expanded in a more rapid pace than previously estimated in the second quarter, outperforming the U.S., Japan, as well as European countries, the Euro zone leading economies have been losing steam, recording disappointing fundamentals in August. This in turn has translated into professors’ dimmed short and long term outlook for the region’s economy, as both indexes fell considerably in August.
[/li][li]Across the Atlantic, the index, designed to measure short-term economic expectations, stood unchanged from the previous month, while three-year sentiment index recovered from an unexpected slide in July.
[/li][li]Asia-Pacific continues to outperform other regions, as its six-month economic outlook reached the highest level this year, while three-year sentiment index hit the second highest point this year.
[/li][/ul]
Euro finished last week on a weak footing, as German retail sales growth turned out to be negative. A little later demand for the currency slightly increased, but was damaged by the better-than-expected Chicago PMI. The situation improved on this week’s second day. First, weakness of the Yen due to speculations regarding Japan pension fund reform helped the Euro to negate its prior losses. Then, surprisingly good U.S. Manufacturing PMI benefited not only the U.S. Dollar, but also prompted investors into buying Euro and abandoning Sterling, Aussie and Kiwi. But Wednesday already revealed that appreciation of the Euro had its limits—Euzo zone retail sales contracted more that expected.
But the main events took place on Thursday, when the common currency lost 1.2% of its value, because the market turned out to be unprepared for what was coming. This day was destined to be characterized by elevated volatility, since apart from the ECB meeting, there were also the MPC meeting, BoJ statement and U.S. unemployment claims. However, very few believed the European monetary authority was going to cut the rates this meeting, most experts were lulled by Draghi’s hesitation to act before. Only six of 57 economists surveyed by Bloomberg were right. As a result, the Euro saw 0.9% depreciation since Aug 29.
The past week was quite successful for the Greenback. In contrast to the previous week, it spent most of the time above the baseline ending up as a second best performer of the period. The first place was taken by AUD, which had its biggest breakthrough on Thursday alongside with USD and CAD. The same day was crucial for European currencies, especially the Euro and the Swiss franc. They lost more than 1% of the opening value after unexpectedly bearish ECB Interest Rate Decision was announced. Nevertheless, GPB was the most unsuccessful of the currencies, as its index was constantly sinking during the period and, as a result, ended up below -1.5% mark.
Despite the serene start, overall last week was rather volatile with 39% portion of elevated volatility. Looking closer at the Greenback pairs, we can observe quite a variety. While some pairs like the EUR/USD and USD/CHF had a low proportion of elevated volatility— 23% and 25%, respectively, there were pairs whose volatility was elevated twice the amount of time, such being the USD/JPY and GBP/USD with 45% and 50%. In addition to high overall volatility, there could be observed huge surges and new highs in volatility levels. The most noticeable being GBP/USD pair, which, due to highlighted risk that Scotland might vote for independence next week, peaked at the 13.31 mark right at the end of the observed period.
During the week the correlations of USD pairs were mostly on and below its historical levels. The average correlation, which measures the significance of the U.S. dollar, experienced several surges and drops, which pointed out the moments, when the Greenback or its counterparts drove the market.
The first day of the week was spent in absence of news from the United States, so starting the period at 0.54 the gauge dropped to low 0.2 mark in the evening. However, it fully retrieved early Monday, when USD rose against its counterparts and all the USD correlations became significantly positive.
The Sterling had the bearish bias from the very beginning—already last Wednesday the market started to slowly sell-off the currency, even though the fundamental background favoured an increase in demand because of the better-than-expected services PMI. A similar picture was observed the next day—the Pound lost even more ground, as the BoE remained unwilling to raise the rates, citing slow inflation and weak wage growth. At the same time, it is interesting to note that GBP was the least sensitive currency to the rate cut by the ECB—while most of the other currencies moved 0.5% or more, the Sterling just moved 0.11%.
Friday’s events, even though largely disconnected from the United Kingdom, shook the Sterling a little more, but it was the Scotland independence referendum poll results that had the most effect on the currency. Compared to the value late Friday, the Pound was 0.85% cheaper when the markets opened this week. Before the noon the currency was attacked by the bears once again. But these losses have been negated since then, having no fundamental ground behind them—only falling growth of home prices. There was a good reason to buy the Pound yesterday, with Mark Carney saying that “the recovery has exceeded all expectations”, but the gains were limited—merely a 0.22% advance within a day.
The Euro Index spent the past five trading days recovering from its more than 1% slump on September 4, when ECB’s unforeseen decision to cut interest rates shook the single currency. In the course of the past period, the Euro managed to regain its pre-fall positions against most of its peers, lacking in strength only in pairs with the Greenback, the pound, and the Canadian dollar. As a result, the EUR Index finished the period as second-best, posting a virtual tie with the USD measure and largely outperforming its other observed counterparts. The longer-term index change remained negative, but notably improved compared to the previous readings.
The past period appeared to be even more turbulent than the one ending on September 9, with Wednesday and Thursday adding 3% to the market’s portion of elevated volatility and putting it at 59%. However, the Euro, in its gradual recovery and general absence of shocking factors, was the least volatile of all observed currencies, both in terms of average volatility index values and the percentage of its higher-than-historical readings. As the single currency lacked fundamentals that would support synchronised exchange rates movements, the peaks reached by the EUR Volatility Index were mostly caused by the individual components, with EUR/GBP, EUR/CHF, and EUR/AUD bringing the most turbulence to the composite.
The Euro significance measure largely confirmed the idea implied by the volatility data — the single currency was indeed far from being the main market driver of the past period. Both the average and the minimum values of the EUR composite correlation were lower than the ones of its peers, and the composite itself spent the period among the weakest measures, joined at different time moments by the Swiss franc’s, the Swedish krona’s, and the yen’s gauges. The component correlations were diverse and unstable, and their distributions notably shifted away from the high values.
The USD Index continued its strengthening trend, closing this year’s most successful period with a 1.42% weekly gain. Backed up by a heightened expectations of a rate hike, the Greenback yielded only to the pound and stroke a virtual tie with the Euro, leaving all other peers far behind. On the longer-term scale, the appreciation gained momentum as well, with the index monthly change reaching +3.54%, while both half-yearly and yearly gains exceeded 4%. With such readings, the U.S. dollar came to be the period’s top performer amongst the observed currencies.
The week turned out to be slightly less turbulent than the period ending on September 11, but on a bigger scale was still exceptionally volatile. With the 58% of elevated volatility, the dollar appeared to be more unstable than the market, and was surpassed only by its Australian counterpart that posted a reading of 63%. AUD/USD and USD/CAD were the most turbulent dollar pairs, having their portion of elevated volatility at over 60%, while EUR/USD and USD/CHF, with the measure reaching slightly above 40%, were the most stable.
The average values of correlations between USD/EUR and the rest of the dollar pairs varied from 0.4 to 0.9, and have noticeably risen compared to their long-term values. In turn, lower tails of correlation distributions have shifted closer to averages, pointing to the stability of the relationships during the week. The only exception was the bond between USD/EUR and USD/GBP, whose mean correlation was only 0.4 as against 0.48 in the previous period. Furthermore, for the first time in weeks almost all components held above zero throughout the entire period.
The Australian dollar continued on a steep downtrend that started with a slump on September 9. Losing 1.23% from its Wednesday value, the AUD Index showed the worst results among the observed currencies for the third consecutive period. The index still managed to hold in the appreciation area on a longer-term scale, but its monthly change slipped below zero.
The past week was marked by the incredibly high portion of the elevated volatility, as the AUD Volatility Index held above the historical level for more than 70% of the observed period. Almost all Aussie’s index components were elevated for more than 60% of the time, with the measure for AUD/USD reaching as high as 78%. Nevertheless, with the exception of a few peaks, volatility indexes did not exceed a 2 points level. The most noticeable volatility spikes occurred in pairs AUD/NZD and AUD/USD, whose indexes surged to 6.95 and 6.04 marks, respectively. Meanwhile, the portion of elevated market volatility has slightly come down compared to the previous week.
The AUD composite correlation held on such exceptionally high levels throughout the period, that its minimum value ended up greater than the maximums of the Euro and the yen measures. The strengthening was palpable in all AUD/USD components, as their period’s averages exceeded the historical values for 0.1-0.2 points, and 5-day distributions cut their lower tails short. Admittedly, however, it was the case when the growth in the significance measure originated from the currency’s weakening across the board.
The EUR Index was steadily growing after its slump over the ECB’s rate cut on September 4, but this week seemed to see its long recovery come to a halt. The single currency posted loses against four of its observed peers and came at a tie with the Greenback, thus outweighing only the yen, the Aussie, and the Kiwi. The fallback, however, was not major enough to critically affect the index long-term performance — its monthly and half-yearly loses stayed around the same level, while the yearly change slid from +0.1% to slightly below zero.
The period saw the turbulence subside from the extraordinary levels of the previous week, with the portion of elevated volatility falling back below 50% for the market and closer to usual 30% for the Euro. The maximum values of volatility, however, were renewed, as Wednesday and Thursday brought in sharp peaks to both the market’s and the single currency’s indexes. Among the Euro crosses, EUR/SEK, EUR/NZD, and EUR/AUD reported the greatest portions of elevated volatility, all gauges reaching above 40%, while EUR/SEK and EUR/CHF spiked to highest values, both posting maxima of over 5 points.
After the sharp drop of the Euro significance measure in the beginning of the previous period, the composite continued to hold on quite a low level, fluctuating within the range of 0.07-0.36. The mean values of most components also remained virtually unchanged. The only exceptions were EUR/USD correlations with EUR/AUD and EUR/NZD, whose bonds have noticeably weakened and even became strongly negative right after the PBoC announcement. Compared to the long-term values, averages of all components were reduced, and correlation distributions shifted down.
After the persistent uptrend of September 8-12 week, the movements of the USD Index became less ordered as the gauge wound around the baseline. By the end of the period the index came to be the last among gain-posting currencies, with the dollar outperforming only a half of its observed peers. A 0.15% gain over the base value proved to be moderate compared to 1% advancements the index was posting in the previous periods, and slowed down monthly and half-yearly growth. The yearly change, however, gained 1% to report a 5% increase. With that the USD Index turned out to be second-best on a longer-term basis, yielding, on different timeframes, to the pound and the Loonie.
The market seemed to have returned to the usual order of calmer Monday and Tuesday and more turbulent second part of the week, but the portions of elevated volatility still remained increased. The dollar was among the majority of currencies for whom the measure reached as high as 50%, but also reported to be 1% calmer than the market — a change from several previous periods when the standings were opposite. For the second week in a row all USD volatility components had their average values above the normal level, with most reaching maxima of over 4 points.
The overall performance of the USD significance measure remained unchanged from the previous period. The composite ranged from 0.37 to 0.78 and was mostly holding below the average level, while almost all components rose slightly compared to their long-term values. The most noticeable growth was observed in correlations between EUR/USD and AUD/USD, where the bond has strengthened by 0.16 points. In turn, the biggest loss occurred in EUR/USD correlation with USD/SEK, but it only made up 0.06 points. Distributions of the component correlations have pulled lower tails closer to the center, and some of them even made their upper tails heavier.
The GBP Index was recovering during the past two weeks after the hard blow it took from the Scottish independence poll on September 8, and at the end of the period posted its greatest weekly growth this year. The index dominated its counterparts throughout the whole period, and with a final 1.86% advance over the base value became the period’s top performer, leaving the second-best USD gauge almost 1% behind. The pound rose more than 1% against most of its observed peers, reporting the highest gains over the Australian dollar (+3.51%), the New Zealand dollar (+2.33%), and the yen (+2.17%).
The beginning of the period was immensely turbulent – the pound’s Volatility Index has spent about 70% of the first three days above its historical level. The highest portion of elevated volatility in these days was observed in GBP/AUD, GBP/NZD, and GBP/CAD, whereas the highest spike was reached by the GBP/JPY index. Nevertheless, the overall level of GBP volatility peaks was not particularly high and its index did not exceed 3 points. For comparison, the U.S. dollar Volatility Index reached a 3.99 mark in the time of the Fed’s conference, while the Loonie’s turbulence gauge jumped as high as 4 points right after the release of the Canadian CPI numbers.
The pound’s significance measure continued to hold on a very high level, with its average value at least 0.05 points higher than those of its peers. It largely overtopped its counterparts in the middle of the period and by the ended of it was only outrun by the Australian and the New Zealand dollars’ composites. The strife was apparent throughout the whole period as GBP/USD combinations with the GBP/AUD and GBP/NZD reported the weakest bonds and were the only ones to produce negative values. Aside from that, all GBP/USD components lifted their means above long-term readings, with most distributions exhibiting shortened lower and heavier upper tails.
