Dukascopy Research Thread

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The Japanese Yen has been by far the most bearish currency for the last five trading days. On average, relative to the major counterparts, it erased 2% of the worth, while the second weakest currency, the Canadian Dollar, depreciated only 0.2% during the same period. The Bank of Japan is the one to be held accountable for such Yen’s performance. The increasing monetary policy cycle divergence between Japan and the rest of the world creates immense downward pressure on the value of the Yen, while the other currencies gain at its expense.

The most prominent examples of such behaviour were observed on Monday, when the market was expecting promising retail sales figure (in the end it turned out to be disappointing), pushing the U.S. Dollar up by 0.67%, but also pulled the Yen down by 0.74%, and on Wednesday, when the upbeat data on the U.K. labour market pushed Sterling’s index 0.78% up, at the same time the Yen suffered the most that day, falling by 0.55%.
However, we must note, that even though debasement of the JPY was the most impressive in the perspective of the past 5 (-2%) and 20 (-3.3%) days, in the longer term, namely in the recent six months, it was the Australian Dollar that has performed the worst—the equally-weighted index declined more than 10%.

[DRT]

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The single European currency has been preserving its neutrality throughout all five days of the previous week. For the period from July 15 to July 19 the Euro lost merely 0.1% of its value. The Swiss Franc experienced the same negligible weekly change of 0.1%, proving existence of a strong correlation between these two currencies. In a monthly perspective, however, this is not as evident, considering that the Euro gained 0.1%, but the Franc went down as much as 0.7%. The same is in a six-month perspective, where the Euro gained 3.6%, but the Franc 4.3%.

Such immovability of the 17-nation currency could be explained by a lack of news on the Eurozone, but also by their decreased importance in the Forex market. Neither usually influential ZEW economic sentiment report, nor the bloc’s current account data were able to elicit any response from the market participants, who, apparently, were focusing on completely different events, such as Ben Bernanke’s testimony. As a result, the Euro appreciated 1.7% against the most bearish currency, namely the Japanese Yen, and depreciated 1.5% against the most bullish currency, namely the Swedish Krona, strength of which does not seem to be the greatest worry of the Riksbank, it is the household debt now.

[DRT]

Full repot

The Dukascopy Bank research department continues the study of asset performance across a business cycle. The research focuses on asset dynamics under changing economic conditions and its meaning for an investor.

The current issue covers the performance of U.S. Treasury securities and the U.S. dollar.

Methodology
We have chosen to investigate three marketable types of Treasuries: 3 month T-Bills as short term, 10 year T-Notes as medium term, and 30 year T-Bonds as long term bonds. The currency is represented by the U.S. Dollar Index (DXY). Further explanations can be found in the appendix.
To describe the performance of assets numerically, we use logarithmic returns and volatility.
Correlations between different asset returns are examined to compare their performances and look for a general trend among asset classes.

Results
1. Profitability of government debt securities and national currency changes throughout an economic cycle.

2. Recession is the period of greatest volatility, while the most stable periods vary over asset classes.

3. T-Notes and T-Bonds are the only assets with stable strong correlation.

Conclusion
Analysing the U.S. indices and securities, we have established that changes in economic conditions do have an impact on financial assets.
Government debt securities seem to go in parallel with the business cycle. Returns and volatilities show that Treasuries are most profitable and stable during an economic upturn, and most unprofitable and volatile in recessions. National currency, on the other hand, performs dif-ferently. It makes a recession the period of both greatest returns and greatest volatility, while its lowest returns and smallest fluctuations oc-cur during slowdowns.
U.S. equities, which were covered in the previous issue, have yet another type of performance, sharing some characteristics with bonds and others with currency. Overall results for asset returns and volatility throughout an economic cycle are given in Table 5:

[DRT]

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Even though underperformance of the U.S. Dollar over the past five days was not as impressive as during the period Jul 10-Jul 16, it still has lost one per cent on average relative to its major counterparts since Jul 17, making it the second most bearish currency after the Japanese Yen, depreciation of which in turn totalled to 1.3%. The largest drop the Dollar experienced against the Swedish Krona, pressure on which from the national central bank was largely lifted, thus releasing bullish potential that resulted in a 1.6% gain of its equally-weighted index within five days.

One of the peculiarities related to performance of the U.S. Dollar recently was the difference in its degree of sensitivity to the positive and negative U.S. data published lately. Jul 18 in this case is the best example when the greenback stayed indifferent to the promising unemployment claims and manufacturing index. The daily change of the currency was only +0.2%, despite these figures carrying substantial weight in defining the well-being of the economy. On the other hand, when disappointing news on home sales and house prices came out, the index went down by 0.5% in each case, even though these numbers should be considerably less influential on the valuation of the buck.

[DRT]

Full research

The Dukascopy Bank SA research department starts a series of research on statistical properties of currency pair returns. In several issues we will investigate different characteristics to answer two main questions. Firstly, can we confirm or refute general assumptions about the nature of returns? And secondly, how do our findings affect the real-life use of the theory?

In the current issue we focus on the relation between past and present returns and address subjects of distribution and dependency. Associated concepts, such as normality and independence, are crucial for models in risk analysis, prediction making, etc. That is why it is important to know whether the necessary assumptions hold, and therefore be able to estimate the accuracy of methods used in investing and trading.
We have chosen to study four pairs, trying to involve both popular and diverse currency couples: EUR/USD, EUR/GBP, EUR/JPY, and USD/CAD.

Methodology
To see whether a set of historical data forms a pattern with known characteristics, we test it for having a certain type of distribution.
Therefore, knowing the distribution of returns, we would be able to estimate a probability of an exchange rate to take any value at any time. In this paper we concentrate on two types of distributions: normal and stable, - as they are frequently mentioned regarding currency pair returns.

Results
1. In general, logarithmic returns of the currency pairs are not normally distributed.

2. Currency pair returns are not always independent from their earlier selves.

3. Distributions of returns are asymmetric and heavy-tailed.

Conclusion
We have investigated currency pair logarithmic returns, looking for patterns or laws that would describe price movements. The study showed that, in general, the returns are independent, heavy-tailed and skewed towards negative values. Thus the exchange rates move chaotically on a small time scale and often exhibit losses greater than gains. The returns also proved to have zero mean and infinite variance. All these properties result in the inaccuracy of normality-assuming models and consequently underestimation of risk, as strongly negative values appear more frequently than expected. Some samples, however, did demonstrate normality, proving that the properties of returns tend to vary for different time intervals and for different currency pairs. Thereby preliminary data testing is important, as some datasets are fitting for popular financial methods, but others require application of more complex and general models.

[ClarkFX]

Great research, I will be sure to attempt to replicate this!

Clark

[DRT]

Glad you liked it! Next week we will publish some of the other researches we have done here as well. By the way, there was a wrong link to the full research in the previous post, now it is corrected.

[DRT]

Full research available here.

Due to absence of any major updates on the state of the Swiss economy, the Swiss Franc was trading calmly over the past five trading days, deviating insubstantially from its starting point. At the very end, however, the currency index leaped 0.5%, breaking forth to the second place after the New Zealand Dollar, bullishness of which was unchallenged because of hawkish comments of the RBNZ. Since Jul 19 NZD/CHF has gone up by 0.5%, whereas the greatest contribution to the Swissie’s overall appreciation has been made by its cross with the U.S. Dollar (USD/CHF) that has fallen 1.7%.

Interest of investors in the Swiss Franc on Friday was greatly increased against the background of positive data coming from the Eurozone, which has a tendency to benefit the value of the Franc as a result of tight correlation between CHF and EUR. The coefficient of interdependence that was as high as 0.7 during the past five days. These promising statistics were good manufacturing and services PMI figures, as well as improving business climate in Germany, they pulled the currency index higher. Moreover, weakness of the U.S. Dollar, which was triggered by close-to-disappointing reports on core durable goods and unemployment claims, exacerbated the effect.

[DRT]

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Unlike most of its major counterparts, the single European currency was not subjected to wide fluctuations in its the value. The five-day change totalled to merely 0.04%, whereas at the same time the New Zealand Dollar gained 0.86% and the U.S. Dollar plunged 0.97%. Other currencies finished the trading week somewhere in between. Accordingly, the Euro appreciated the most against the U.S. Dollar, namely 0.9%, but at the same time underperformed relative to the kiwi and the Yen—0.72 and 0.75 per cent respectively.

The farthest positive point from its base value the Euro’s equally-weighted index reached on Jul 24, when it surged up to 100.35 amid the promising statistics on the bloc’s secondary and tertiary sectors, even though the global sentiment suffered from the disappointing data on Chinese manufacturing industry that failed to pick up. The rally in the Euro, however, was stopped by the reports on the well-being of the U.S. economy, real estate and manufacturing of which seem to be improving.
The farthest negative level (99.77) was hit a day earlier, although there were no specific reasons for the investors to reduce their exposure towards the common currency. On the contrary, the context favoured bullish tendency, since the consumer sentiment appears to be gradually ameliorating, but was not realised.

[DRT]

Full report

The Dukascopy Bank SA research department continues its work on statistical properties of currency pair returns. The previous part of the research marked out relationships amongst returns. It was therefore dedicated to a somewhat determinate aspect of their behaviour. In this issue we look into uncertainty of the movements and investigate the parameters that can help reduce it.

The most widely quoted measure of uncertainty in asset movements is volatility. Some sources position it merely as a measure of risk, while others go as far as proposing associated trading strategies. Therefore we set a goal to investigate properties of volatility and see what information it can actually carry.

We base the study on our five top traded currency pairs: EUR/USD, GBP/USD, USD/JPY, USD/CHF and EUR/JPY, - as they seem to be of the greatest interest to our clients. The data used are different frequency exchange rates (2012 ten minute and one hour rates, and 2000-2012 one day rates).

Methodology
Although we mostly use volatility to describe exchange rates per se, the calculations are not based on prices directly. Instead, we derive volatility from returns.
Returns reflect the changes of prices, and asset instability gets captured in their fluctuations. Namely, interchanging positive and negative returns of great magnitude define high instability, while smaller variations indicate calmer movements (see Figure 1).

Volatility Calculation
There are several commonly used formulas for calculating volatility, but they all reflect similar ideas. In fact, the most popular ones – squared returns, return absolute values, and return standard deviations, - are derived from the same notion.

Results
1. Each currency pair has a specific volatility range.

2. Volatility tends to linger on the achieved level.

3. Volatility of high frequency rates is periodical.

4. Volatility scaling often gives significantly inaccurate results.

Conclusion
In this research we have looked into instability of exchange rates and possibilities to reduce its effects. It appeared that under certain circumstances some prognoses are possible. Their accuracy, however, is limited to expecting one or the other level of volatility.

We have found that the magnitude of exchange rate fluctuations changes gradually, and that less stable times generally last longer than calm ones. In addition, high frequency rates seem to be more volatile in the middle of the day, while evenings and mornings offer a calmer picture. This might be useful for both risk-averse and risk tolerant investors while choosing a more preferable trading time.

Scaling appeared to be a rather inaccurate way to convert volatility. It tends to under or overestimate risks, depending on the magnitude of the scaling factor. However, sometimes it is impossible to manage without conversion. In such cases it is important to estimate not only the value, but also its possible error.

Finally, we have established that each currency pair has a typical volatility level, and that some pairs are more unstable than others. Thus, it is possible to balance risks and profits by taking into account this “instability ranking” of currency pairs. However, we have also seen that the levels can change over time. Therefore, to try to use volatility, one must monitor it closely to capture any changes in behaviour.

[DRT]

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The data published lately concerning the U.S. economy have been mixed, giving neither distinctively positive nor distinctively negative signal. While reports on home sales and manufacturing showed somewhat promising figures, unemployment claims and, more recently, consumer confidence took away a significant portion from the optimism. Respectively, the U.S. Dollar, failing to find strong support from the fundamental side, was moving calmly and in close proximity to its base value (100) and therefore stayed largely directionless.

In the end, the Dollar’s equally-weighted index managed to lift above the starting point and end the five-day period 0.4% higher after dipping down to 99.43 last Friday amid lowered expectations of the market. However, we would not associate the latest rally with improvement in the sentiment towards the greenback, but rather associated with a massive sell-off of the Australian Dollar triggered by the speech of RBA governor Glenn Stevens, who was explicit in saying that a possibility of a rate cut by the central bank persists. Additional boost to the buck’s value was provided amid the weakness in the Swedish Krona, the price of which was damaged by worse-than-expected growth of the economy.

[DRT]

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Safe-haven currencies are believed to serve as a reliable investment in times of economic instability. However, the methods for identifying such currencies remain more intuitive than systematic. In this issue we employ one of the possible strict definitions to see which currencies can be called safe-haven and whether this property varies over time.

In this research we will examine safe-haven properties in relation to economic indicators. Namely, a currency will be called a safe-haven if it tends to appreciate when the financial market depreciates or faces great instability. Additionally, to make the study less complex, we will limit the global concept of a safe-haven currency to being “a safe-haven in a particular currency pair”.

We have chosen to pair the examined currencies with the U.S. dollar, concentrating on USD/JPY, USD/CHF, GBP/USD, NZD/USD, USD/CAD, AUD/USD, EUR/USD, USD/SGD, and USD/SEK. The financial market, in turn, is represented by Standard & Poor’s 500 Stock Price Index and 10-Year US Treasury Notes, with instability measured by currency market volatility (see the Appendix for further information). All data is collected over the period from 1993 to 2013.

Methodology
As we want to investigate appreciation and depreciation of the assets, we apply the tests to logarithmic or continuously compounded daily returns.
The simplest way to examine the link between the currency pairs and the financial market is to construct a linear factor model.

We describe “economic instability” by increasing market volatility and negative returns on S&P. Under such circumstances the prices on government bonds, including T-Notes, are expected to rise. In theory, safe-haven currencies would in turn appreciate against the U.S. dollar.

Results
1. Safe-haven properties are time-dependent and can be observed in different currencies.

2. The Japanese yen shows the strongest safe-haven patterns.

3. JPY, CHF, and EUR show safe-haven properties more often than other currencies.

4. JPY shows clear safe-haven patterns only against USD.

Conclusion
We have performed several types of analysis to examine safe-haven properties in nine currencies. It turned out that such properties are not permanent, and can be observed in different currencies at different times. Furthermore, safe-haven patterns seemed to be better pronounced as a response to S&P behaviour rather than one of market volatility or government bonds.

JPY, CHF, and EUR appeared to act like safe-haven currencies more often than others. However, the periods when the safe-haven properties held seemed to be unpredictable. Moreover, some currencies that are not generally considered safe-haven also occasionally showed the same properties. GBP per-formed well in one of the preliminary tests, but fell behind other “presumably safe-haven” currencies later on. Currently only the Japanese yen in pair against the U.S. dollar shows safe-haven patterns in its behaviour.

Such findings show that the group of safe-haven currencies is not constant, and currencies tend to change their behaviour under different circumstances. It should be taken into account by the investors who seek to secure their holdings in times of economic instability. Otherwise a seemingly reliable investment might unexpectedly turn into an unprofitable one.

[DRT]

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Performance of the British Pound over the past five trading days was somewhat different from what was implied by the macroeconomic indicators. Since Jul 26 we have come into possession of the data showing that the manufacturing sector in the United Kingdom is gaining steam and consumer confidence improved by a wide margin, its gauge reached a three-year high. Moreover, the Monetary Policy Committee does not seem to be willing to enhance the asset purchase facility anymore, after the last meeting there are no more proponents of additional liquidity being injected into the economy.

Notwithstanding, the Sterling proved to be unable to advance against such a favourable background. On Tuesday and Thursday the currency did attempt to price in the positive statistics, but the rallies turned out to be unsustainable and were soon offset by the subsequent sell-offs. As a result, the equally-weighted index of the Pound fell 0.6% during a five-day period.
However, the results could have been substantially worse, if it was not for a massive debasement of the Australian Dollar—one of a few factors that helped the Sterling to stay afloat (GBP/AUD went up to 1.8%).

[DRT]

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Last week was notable for the single European currency in the sense that it has finally chosen a particular direction to trade in rather than remaining flat, namely has started trending upward. Even though there were no game-changing decisions made, nor there were any exceptionally positive for the Euro events taking place, investors were still generally increasing their exposure towards the currency over the last five trading days, leading to its 1.6% appreciation on average relative the major counterpart since Jul 29.

Given there were no direct reasons for the Euro to gain in value, we may safely assume it became attractive only as a result of the background that benefited the Euro, although it is more apparent in the third section of this research, on the currency’s significance.
The only currencies that were able to challenge bullishness of the Euro were the U.S. Dollar and the Swiss Franc, tendencies of which, unlike the Euro’s, were justified by the macroeconomic factors. While the latter became more expensive amid the inflation report, the former is recovering after the sell-off, mainly because of the good data, such as non-farm employment change. Meanwhile, the Antipodeans gave up 4% of their worth vis-à-vis the common currency.

[DRT]

Full report

(Video version of the report will be available shortly. You will be able to find it here.)

[I]- The six-month global economic sentiment index rose to 0.59 from 0.57 in June. The three-year economic outlook deteriorated 0.03 to 0.66, the lowest level since October 2012.

• The European six-month economic outlook improved 0.04 to 0.42. The three-year economic prospects worsened to 0.51, down from 0.58 in June when they deteriorated another 0.03.

• Respondents became slightly more optimistic about the six-month North American economic prospects. The six-month economic sentiment index climbed to 0.71. The three-year economic outlook worsened to 0.73.

• The Asia-Pacific six-month and three-year economic outlooks were little changed. The six-month outlook climbed 0.02 to 0.65 and the three-year economic outlook was unchanged at 0.73 from the prior month.[/I]

Figure 3 presents the term structure of the Dukascopy Bank Sentiment Index (Y-axis) mapped against GDP growth forecasts made by poll respondents (X-axis). Overall, DBSI values and GDP growth forecasts match directionally, suggesting the global economy will perform better three years from now.
Poll respondents suggest that the European economy will be flat in 2013 and will expand 0.63 per cent three years from now.
Respondents revised the North American six-month and three year economic growth forecasts to 1.87% and 2.34% in July, from 1.80% and 2.60% respectively in June.
The Asia-Pacific economic growth prospects remain the most promising, despite lower sentiment compared to North America region. Experts forecast growth of 3.43% and 3.90% six months and three years from now respectively.

Figure 4 presents the business cycle and its phases - expansion (real GDP is increasing), peak (real GDP stops increasing and begins decreasing), contraction or recession (real GDP is decreasing), and trough (real GDP stops decreasing and begins increasing).
A majority of respondents (15) claim the European economy is contracting and twelve say it is in a recessionary trough. Less than a half (12) believe that the European economy will be expanding three years from now.
Experts became more uncertain about the North American 3-year EDS - 18 experts forecast expansion, 6 say the economy will reach its peak and 4 claim the economy may slide into a recession.
Respondents are largely united about Asia-Pacific economic development stages - a majority (20) believe that the regional economy will be expanding both six months and three years from now.

[DRT]

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Judging by the latest data, the economy of the United States is improving and its denial is becoming harder and harder to justify with each new week. A series of promising reports was started by the GDP growth figure that by a wide margin exceeded broad expectations. The optimistic flow was kept by the continuously falling unemployment claims, improving situation in the manufacturing and services sectors. Moreover, one of the most important macroeconomic indicators, namely the unemployment rate, ticked lower, while the trade deficit also added to the overall bright picture—it narrowed by a substantial amount.

It would be then reasonable to equate these positive results to a decreasing likelihood of extended period of the asset purchases, which in turns leads to a conclusion that the U.S. Dollar is bound to display bullishness and generally appreciate. However, its equally-weighted index failed to do so, finishing the five-day period where it started.
At first the greenback was moving in the implied direction, it gained 1.1% during the first two days. Then the only fly in the ointment, namely non-farm employment change, has completely negated the bullish tendency. Additionally, it prevented subsequent news from positively impacting the valuation of the buck.

[DRT]

Full research

The day-of-the-week effect is one of the calendar anomalies of the stock market. According to this phenomenon, average daily returns are not constant over the week. Furthermore, it suggests the tendency of assets to have lower average daily returns on Monday and relatively high daily returns at the end of the week.

In this paper we will examine the day-of-the-week effect in the Forex market. We will see if the effect occurs in currency returns, and, if so, whether it is similar to the stock market anomaly. For this study we have chosen the top five of our most traded currency pairs: EUR/USD, GBP/USD, USD/JPY, USD/CHF, and EUR/JPY. The data consist of daily closing exchange rates and cover the period from January 2005 to March 2013. However, due to the eventfulness of these eight years, the behaviour of daily returns could have changed. Therefore we have divided the period into two parts – from 2005 to 2008, and from 2008 to 2013.

Methodology
To examine the relationship between currency pair returns and days of the week, we use linear regression.

Results
1. Average daily returns for separate days of the week are not significantly different.

2. Regression results indicate that returns do not depend on the day of the week.

3. The day-of-the-week effect in the currency market is not stable.

Conclusion
We have performed several types of analysis to examine safe-haven properties in nine currencies. It turned out that such properties are not permanent, and can be observed in different currencies at different times. Furthermore, safe-haven patterns seemed to be better pronounced as a response to S&P behaviour rather than one of market volatility or government bonds.

Examining currency pair returns in relation to different days of the week produced ambiguous results. It appears that, on average, the Forex market has the lowest returns on Mondays in the whole period from 2005 to 2013 and at the end of the 2008-2013 period. That confirms the presence of the day-of-the-week effect for EUR/USD, GBP/USD, USD/JPY, and EUR/JPY in the periods mentioned above. For USD/CHF, on the other hand, the lowest average returns occur in the middle of the week, but Monday returns are often the highest. Therefore, we can conclude that the day-of-the-week effect is manifested in different days for different currency pairs.

Dissimilar results for different time periods imply that the effect is not stable in time. For instance, on Thursdays in 2005-2008, USD/JPY has its lowest aver-age returns, but in 2008-2013 – the highest.

All examined GARCH models gave insignificant coefficients, suggesting that the dependence is not strong enough to rely upon.

[DRT]

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The Japanese Yen was behaving counter-intuitively over the past five trading days, being that the overall outlook on the currency is strongly bearish, especially in the longer-term perspective. However, as it turns out, unprecedentedly large stimulative measures currently undertaken by the Bank of Japan are by a wide margin insufficient to dampen the demand for the Yen. Its equally-weighted index appreciated the most among its major counterparts, namely 1.5%. The largest gains were staged against the U.S. Dollar (2.9%) and against the Canadian Dollar (2.7%).

The only currency able to challenge bullishness of the Yen proved to be the British Pound that on average has become 1.4% more expensive since Aug 2, mainly due to the upbeat data on construction sector and inflation report both of which substantially increased the British Pound’s attractiveness in the Forex market. These events occurred on Aug 2 and Aug 7, the same dates when the Japanese Yen posted the largest rallies—0.7 and 1.1 per cent respectively. This performance was largely associated with weakness in other currencies, such as in NZD, USD, EUR and CAD, while the BOJ appeared to be reluctant for the time being to make any new steps in order to accelerate economic growth, thereby exacerbating the effect.

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Confidence of the market with respect to the common currency appears to be on the decline, considering that its value on average lost 1.3% within the last five trading days, thus negating the monthly advancement, while in the longer term the tendency remains bullish (+3%).
The only currency the Euro was able to outperform turned out to be the U.S. Dollar, specifically it gained 0.5% vis-à-vis the greenback. Relative to the rest of the counterparts the Euro gave up from as little as 0.3% (relative to CHF) to as much as 2.8% (relative to NZD).

The sell-off of the Euro occurred regardless the plethora of positive data on the 17-nation bloc. Eurozone services sector and retail sales published Monday exceeded expectations, but did not manage to prevent depreciation of the single currency that amounted to 0.6% on Aug 5.
Afterwards it was the flagman of the Euro area, Germany, that raised the chance of the currency stepping higher, since the country’s factory orders, industrial production and trade balance were notably better than expected. Nevertheless, the optimism completely disappeared from the markets on Wednesday, once the disappointing Canadian data came out, forcing the Euro to slip 0.3% within a few hours.

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Full research available here.

With the exception of Aug 9, the U.S. Dollar was rarely standing in the same place for long, moving either up or down, depending on the sentiment in the market. For example, last Wednesday and Thursday investors were reluctant to purchase the greenback and the excess of supply drew the index lower, by 0.5% and 0.4% respectively. In this case even fairly optimistic figure of the unemployment claims failed to underpin the Dollar’s value, while sharp appreciation of the Sterling (inflation report) and Australian Dollar (unemployment rate) weighed upon the currency.

After a reprieve the U.S. Dollar took last Friday due to a lack of macroeconomic releases on the state of the United States, it managed to reverse the tendency and started gaining value. An increase in the currency’s attractiveness may be attributed to hopes that retail sales that were to be published on Aug 13 would restore confidence the economy is improving, this turned out to be the case in the end.
However, we must note that a precipitous decline of the Japanese Yen (over 1%) amid the lagging GDP growth rate and a pending issue with the taxes also played a notable role in this week’s buoyancy of the Dollar, allowing it to erase all of the prior losses.