文本描述
24 September 2018 2All sources: BNP Paribas, Bloomberg GlobalMarkets.bnpparibasBNP Paribas STEER Model – G10Deviation from short-term value (z-score)Currency EURCHF AUDUSD GBPUSD NZDUSD EURNOK USDCAD EURSEK EURUSD USDJPY EURGBPSTEER 1.1457 0.7442 1.3252 0.6745 9.5890 1.2919 10.2922 1.1597 109.67 0.8752Spot 1.1260 0.7260 1.3070 0.6660 9.5660 1.2940 10.3340 1.1730 112.50 0.8980z-score -1.55(-1.74%) -1.43(-2.55%) -0.77(-1.41%) -0.45(-1.27%) -0.21(-0.24%) 0.17(0.16%) 0.31(0.40%) 0.84(1.12%) 1.30(2.51%) 1.48(2.49%)Upper Bound 1.1646 0.7636 1.3609 0.7026 9.7517 1.3110 10.4915 1.1832 112.9309 0.8978Lower Bound 1.1268 0.7247 1.2894 0.6463 9.4262 1.2727 10.0929 1.1362 106.4065 0.8526Note: Dotted line shows when the model does not pass the ‘co-integration filter’Chart 1: EURCHF short term value (FV=1.1457) Chart 2: AUDUSD short term value (FV=0.7442)Chart 3: GBPUSD short term value (FV=1.3252) Chart 4: NZDUSD short term value (FV=0.6745)。。。。。。