News: 2012-06-20 08:11:00 UTC+00

Research: Weekly Review of Currency Correlation

Quotes from RBS:

-BoE Governor King's Mansion House speech appeared to pave the way for further QE in the coming months, and the short-term correlation between oil prices and GBP/USD is quite high at 0.67. This could be indicative that the market increasingly sees oil prices, and their effect on expected headline inflation, as a key input into the BoE's decision on whether or not to enact further QE. Under this scenario, we would expect to see an increasing positive correlation, whereby falling oil prices support the GBP-negative bond purchase program extension.

-EUR correlations with US equity returns remain fairly low. In particular, the correlations between EUR crosses and equity returns are negative against all the currencies tracked except USD, JPY and SEK over both 30- and 90-days.

Published: 2012-06-20 08:11:00 UTC+00 10 months, 4 weeks, 1 day, 4 min. ago
 
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