may 2020 - cppl.com.sg · currency 30 apr 2020 6m 12m 95% lower limit 95% upper limit currency 30...
TRANSCRIPT
JUNE 2020 G10 FX FORECASTS
Claremont Family Office www.cppl.com.sg | (65) 6430 6633
The information herein is produced as of the date of writing and is subject to change. This research is based on information obtained from sources believed to be reliable, but Claremont Partners Pte Ltd does not make any representation or warranty as to its accuracy, completeness or reliability. This research should not be construed as an offer or solicitation for the subscription, purchase or sale of any securities mentioned herein. This research has been prepared solely for information purposes and is not to be taken in substitution for the exercise of judgement of recipients. Claremont Partners Pte Ltd accepts no liability whatsoever for any direct or consequential loss arising from any use of this research. This research cannot be used as legal dispute related to investment decisions as the final investment decision is based on the recipient’s judgement. The entire contents of this document are protected by copyright law (all rights reserved). This document or any part thereof may not be reproduced, transmitted (electronically or otherwise), altered or used for public or commercial purposes, without the prior written permission of Claremont Partners Pte Ltd. © 2019, Claremont Partners Pte Ltd. All rights reserved.
G10 FX FORECASTS JUNE 2020
Contents MARKET OUTLOOK ........................................................................................ 2
FORECAST SUMMARY .................................................................................. 3
AUDCAD ............................................................................................................ 4
AUDCHF ............................................................................................................ 4
AUDDKK ............................................................................................................ 5
AUDJPY ............................................................................................................ 5
AUDNOK ........................................................................................................... 6
AUDNZD............................................................................................................ 6
AUDSEK ............................................................................................................ 7
AUDSGD ............................................................................................................ 7
AUDUSD ............................................................................................................ 8
CADCHF ............................................................................................................ 8
CADDKK ............................................................................................................ 9
CADJPY ............................................................................................................ 9
CADNOK ........................................................................................................ 10
CADSEK ......................................................................................................... 10
CADSGD ......................................................................................................... 11
CHFDKK ......................................................................................................... 11
CHFJPY ......................................................................................................... 12
CHFNOK ........................................................................................................ 12
CHFSEK ......................................................................................................... 13
CHFSGD ......................................................................................................... 13
DKKJPY ......................................................................................................... 14
DKKSGD ......................................................................................................... 14
EURAUD ......................................................................................................... 15
EURCAD ......................................................................................................... 15
EURCHF ......................................................................................................... 16
EURDKK ......................................................................................................... 16
EURGBP ......................................................................................................... 17
EURJPY .......................................................................................................... 17
EURNOK ......................................................................................................... 18
EURNZD ......................................................................................................... 18
EURSEK.......................................................................................................... 19
EURSGD ......................................................................................................... 19
EURUSD ......................................................................................................... 20
GBPAUD ......................................................................................................... 20
GBPCAD ......................................................................................................... 21
GBPCHF ......................................................................................................... 21
GBPDKK ......................................................................................................... 22
GBPJPY .......................................................................................................... 22
GBPNOK ......................................................................................................... 23
GBPNZD ......................................................................................................... 23
GBPSEK .......................................................................................................... 24
GBPSGD ......................................................................................................... 24
GBPUSD ......................................................................................................... 25
NOKDKK ......................................................................................................... 25
NOKJPY.......................................................................................................... 26
NOKSEK ......................................................................................................... 26
NOKSGD ......................................................................................................... 27
NZDCAD ......................................................................................................... 27
NZDCHF ......................................................................................................... 28
NZDDKK ......................................................................................................... 28
NZDJPY .......................................................................................................... 29
NZDNOK ......................................................................................................... 29
NZDSEK .......................................................................................................... 30
NZDSGD ......................................................................................................... 30
NZDUSD ......................................................................................................... 31
SEKDKK .......................................................................................................... 31
SEKJPY .......................................................................................................... 32
SEKSGD .......................................................................................................... 32
SGDJPY .......................................................................................................... 33
USDCAD ......................................................................................................... 33
USDCHF ......................................................................................................... 34
USDCNH ......................................................................................................... 34
USDDKK ......................................................................................................... 35
USDJPY .......................................................................................................... 35
USDNOK ......................................................................................................... 36
USDSEK .......................................................................................................... 36
USDSGD ......................................................................................................... 37
USDDXY .......................................................................................................... 37
USDUST .......................................................................................................... 38
XAUUSD ......................................................................................................... 38
Research Methodology ............................................................................... 39
G10 FX FORECASTS JUNE 2020
Page | 2
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MARKET OUTLOOK
The US labour market improved slightly with the unemployment rate at 13.3% in May while the rise in jobless claims have slowed as parts of the economy reopens. However, some states may potentially enter a lockdown again as the number of coronavirus cases rise. Headline inflation fell to 0.1% with core inflation at 1.2%. The Fed is expected to focus more on the impact of the coronavirus crisis instead of on inflation for the near term and has reiterated it sees a recovery only in 2021. The economy looks to be improving somewhat with better PMIs and confidence although it remains to be seen if these levels are sustainable given the recent surge in coronavirus cases. The dollar is expected to remain weak as the global economy recovers. We prefer to range-trade the dollar given the uncertainty of the economic recovery coupled with a potential second wave of coronavirus infections. We continue to note President Trump’s tendency to use trade to pressure its partners and remain wary of potential trade wars especially as the country heads towards the November election for which Trump would need “wins”.
Eurozone consumer price fell to 0.1% in May and the unemployment rate rose slightly to 7.3% in Apr. Major economies in the Eurozone have started taking steps to reopen their economies from the coronavirus lockdown while the ECB has provided massive monetary stimulus. We remain wary of a potential second wave of coronavirus infections especially since the tourism and hospitality sectors have recently been given permission to reopen. However, we note that the European governments have been largely more successful in containing the spread of the virus as compared to the United States. We expect the euro to remain relatively weak given that the economy was already not performing well before the pandemic hit. It also remains to be seen if Germany and France can push through a common Eurozone budget, which could provide more cohesiveness to the Eurozone in the long run if it works out. We note that the euro has recently exhibited signs of haven-currency status where it has risen during times of turmoil despite the weakness of the economy.
The sterling pound continues to remain pressured by Brexit although there has recently been increasing optimism for a deal. However, PM Johnson remains unwilling to extend the transitionary period beyond the initial deadline of December this year despite the coronavirus crisis, which might result in a hard Brexit. The British economy also faces rising jobless claims and falling confidence and spending due to the coronavirus crisis. PM Johnson recently moved to reopen the economy and it remains to be seen if the number of coronavirus infections will rise as people slowly begin to resume their normal lives. The economy contracted 2.0% in the first quarter and is likely to remain contractionary in the near term as it deals with the impact of Covid-19 as well as Brexit. The government has performed multiple fiscal stimulus injections and has also provided support for hard-hit businesses and consumers, although the results remain to be seen. We expect sterling to trend lower in the near future as an economic recovery is uncertain while Brexit remains a large geopolitical risk even if the coronavirus issue is resolved.
Japan’s labour market loosened slightly with unemployment at 2.6% in April and a fall in the jobs-to-applicant ratio at 1.32. Inflation fell to 0.4%in May and is likely to remain low with consumer spending hit by government’s sales tax increase from 8% to 10% as well as the increased social distancing measures to combat the spread of the coronavirus even as these restrictions are loosened. Fundamentally, the yen is expected to remain weak as the economy contracts although its status as a haven currency might result in momentary appreciation due to market turmoil. We would prefer to range-trade the yen in the near future and look for long term depreciation once the coronavirus pandemic dies off and the global economy recovers.
1.10
1.20
1.30
1.40
1.50
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
GBPUSD Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 3
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FORECAST SUMMARY
Spot Forecast Spot Forecast
Currency 31 May 2020 6M 12M 95% Lower
Limit 95% Upper
Limit Currency 31 May 2020 6M 12M
95% Lower Limit
95% Upper Limit
AUDCAD 0.9184 0.8156 0.8221 0.7722 0.8778 GBPCHF 1.1871 1.1600 1.2039 1.0537 1.2807
AUDCHF 0.6413 0.6564 0.6972 0.5880 0.7407 GBPDKK 8.2903 8.2239 7.2125 6.8534 9.0086
AUDDKK 4.4790 4.5394 4.3723 4.1240 4.8549 GBPJPY 133.08 112.87 96.32 87.76 131.85
AUDJPY 71.92 73.64 68.91 65.20 78.02 GBPNOK 12.00 13.17 12.31 11.73 14.04
AUDNOK 6.4799 7.2352 7.1068 6.6364 7.6272 GBPNZD 1.9889 2.0484 1.8737 1.8002 2.1500
AUDNZD 1.0748 0.9060 0.8411 0.8181 0.9694 GBPSEK 11.64 12.61 12.47 11.48 13.22
AUDSEK 6.2871 6.1449 6.3282 5.8731 6.5843 GBPSGD 1.7448 1.8823 1.8343 1.7571 2.0222
AUDSGD 0.9422 0.8883 0.9464 0.7809 0.9926 GBPUSD 1.2343 1.2371 1.1939 1.1338 1.3309
AUDUSD 0.6667 0.6706 0.6823 0.6372 0.7228 NOKDKK 0.6910 0.6711 0.7678 0.6114 0.7926
CADCHF 0.6980 0.7590 0.6761 0.6023 0.8252 NOKJPY 11.10 12.37 12.23 11.04 13.36
CADDKK 4.8738 5.0228 5.8771 4.1366 6.1473 NOKSEK 0.9706 1.1433 1.3277 0.9831 1.3625
CADJPY 78.21 78.97 84.67 69.14 88.43 NOKSGD 0.1454 0.1646 0.1589 0.1495 0.1841
CADNOK 7.0534 7.0144 6.8779 6.5429 7.3700 NZDCAD 0.8550 0.8262 0.8191 0.7934 0.8618
CADSEK 6.8505 7.1031 8.0696 6.3574 8.4057 NZDCHF 0.5964 0.6203 0.6293 0.5600 0.6658
CADSGD 1.0257 1.0417 0.9933 0.9425 1.1057 NZDDKK 4.1662 4.1646 4.0252 3.9359 4.3416
CHFDKK 6.9831 7.3931 7.7641 7.1506 7.9497 NZDJPY 66.91 75.63 76.73 71.52 80.00
CHFJPY 112.15 114.27 114.80 108.55 118.80 NZDNOK 6.0287 6.3756 6.5725 6.0421 6.7346
CHFNOK 10.1081 9.8130 8.5589 8.3016 10.6103 NZDSEK 5.8493 5.9269 5.8749 5.7243 6.1701
CHFSEK 9.8081 10.9088 11.7778 10.0331 12.0503 NZDSGD 0.8764 0.7980 0.8495 0.7664 0.8681
CHFSGD 1.4695 1.4407 1.5147 1.3956 1.5597 NZDUSD 0.6205 0.6852 0.6637 0.6500 0.7197
DKKJPY 16.05 16.09 17.19 15.03 18.53 SEKDKK 0.7122 0.7179 0.7208 0.6934 0.7413
DKKSGD 0.2104 0.2253 0.2393 0.2114 0.2490 SEKJPY 11.43 13.24 12.88 12.18 14.50
EURAUD 1.6671 1.4984 1.4427 1.3843 1.6926 SEKSGD 0.1499 0.1467 0.1497 0.1365 0.1576
EURCAD 1.5299 1.6345 1.7613 1.4620 1.8264 SGDJPY 76.25 85.06 89.28 80.82 91.72
EURCHF 1.0675 0.9863 0.9650 0.8961 1.0225 USDCAD 1.3780 1.2012 1.2271 1.1307 1.2968
EURDKK 7.4568 7.4550 7.4678 7.4428 7.4776 USDCHF 0.9616 0.7485 0.5701 0.5147 0.9609
EURGBP 0.8995 0.8644 0.8940 0.8094 0.9170 USDCNH 7.1332 7.3001 7.3114 7.1435 7.4362
EURJPY 119.77 88.79 70.06 64.58 118.75 USDDKK 6.7164 6.6469 6.8145 6.3724 7.0099
EURNOK 10.7896 12.4605 12.4957 11.6649 12.7411 USDJPY 107.83 90.59 75.36 68.97 112.40
EURNZD 1.7890 1.7199 1.7029 1.6473 1.7992 USDNOK 9.7205 9.9061 10.0771 9.3354 10.5285
EURSEK 10.47 13.44 13.92 12.96 14.46 USDSEK 9.4320 9.6393 9.6639 9.0878 10.3965
EURSGD 1.5687 1.5838 1.4437 1.3852 1.6654 USDSGD 1.4135 1.3975 1.3841 1.3602 1.4158
EURUSD 1.1101 1.1183 1.0867 1.0322 1.1783 USDDXY 98.34 94.67 92.60 89.64 102.05
GBPAUD 1.8512 1.7845 1.7544 1.6631 1.9366 USDUST 0.6526 0.5697 0.1385 0.0039 0.9126
GBPCAD 1.6998 1.7730 1.6758 1.5413 2.0967 XAUUSD 1,730.3 1,616.2 1,636.9 1,494.6 1,747.3
G10 FX FORECASTS JUNE 2020
Page | 4
© 2019 All Rights Reserved For enquiries, contact [email protected]
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AUDCAD
Model Summary Predictive Variables R 0.9620 AU CoreLogic Median City Values MoM
AU Trade Exports YoY
CA Business Outlook Future Sales Growth
CA Markit Manufacturing PMI
CH Coincident Index
CH PPI Wholesale Goods YoY
EU Labor Unemployment
JP Merchandise Trade Export Volume to US YoY
JP PPI MoM
JP Retail Sales YoY Convenience Stores
JP Tankan Business Conditions Medium Enterprises Manufacturing
SK Auto Production
SK GDP Government Consumption Expenditure QoQ
SK GDP Real YoY
SK Government Expenditure and Lending
SK Leading Indicator - Domestic Machinery Shipments
SK Retail Sales
US Chicago Fed National Activity Index
US Government Bond 20Y Yields
US Labor NFP Average Hourly Wages YoY
R-Square 0.9260
Adjusted R-Square 0.9190
Standard Error 0.0200
Forecast Summary 6M Forecast 0.8156
12M Forecast 0.8221
95% Upper Limit 0.8778
95% Lower Limit 0.7722
AUDCHF
Model Summary Predictive Variables R 0.9870 AU Government Bonds 10Y Yield
AU Labour Force Hourly Wage ex Bonuses YoY
AU WMI Consumer Confidence
CH Balance of FX Settled and Sold by Banks
CH Industrial Profits Cumulative YoY
CH Retail Prices YoY
EU EC Retail Trade Confidence
JP Outward Investment Stocks
JP Vehicle Production YoY
SK Government Revenue
SK House Rental to Purchase Price
SK KOSPI
SK Lagging Indicator - Imports of Consumer Goods
SK Trade Price Exports
SW GDP at Current Prices QoQ
SW GDP Household Consumption Expenditure QoQ
SW Real Estate Single Family Homes YoY
SW Retail Sales Real YoY
SW Trade Balance Exports
SW Trade Current Account Balance Yearly (% GDP)
SW Trade Export Level YoY
US GDP Gross Fixed Capital Formation Private QoQ
US Government Bond 20Y Yields
US Trade Exports YoY
R-Square 0.9740
Adjusted R-Square 0.9720
Standard Error 0.0175
Forecast Summary 6M Forecast 0.6564
12M Forecast 0.6972
95% Upper Limit 0.7407
95% Lower Limit 0.5880
0.70
0.80
0.90
1.00
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
AUDCAD Curncy Forecast 95% Upper Limit 95% Lower Limit
0.50
0.60
0.70
0.80
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
AUDCHF Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 5
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AUDDKK
Model Summary Predictive Variables R 0.9850 CH Consumer Confidence
CH Cross-Border RMB Settlement
DE GDP Government Consumption Expenditure QoQ
DE Government Bond 10Y Yield
DE Labor Eurostat Unemployment Rate
EU EC Consumer Confidence
EU ECB Change in Credit Standards Lending to Business (last 3M)
EU GDP Government Consumption Expenditure
EU GDP Household Consumption Expenditure
EU STOXX 50
JP BSI Business Conditions Large QoQ
JP Business Cycle Indicators Leading
JP Economy Watchers Survey Current Conditions
JP Trade Export Price YoY
SE Budget Surplus or Deficit (% GDP)
SK GDP Government Consumption Expenditure QoQ
SK House Price Index
UK Conference Board Coincident Indicator
UK Conference Board Leading Indicator
UK Spreads on Loans Medium PFNCs (past 3M)
US Consumer Comfort
US Monetary Base YoY
US Money Supply M1 YoY
R-Square 0.9700
Adjusted R-Square 0.9670
Standard Error 0.0931
Forecast Summary 6M Forecast 4.5394
12M Forecast 4.3723
95% Upper Limit 4.8549
95% Lower Limit 4.1240
AUDJPY
Model Summary Predictive Variables R 0.9880 AU GDP Implicit Price Deflator YoY
AU GNP Imports of Goods & Services QoQ
AU Money Supply M3 YoY
AU Trade Exports
AU Trade Terms of Trade
CH Business Cycle Signal
CH GDP YoY BBG Estimate
CH Labor Zhaopin CIER Employment Index
CH Monetary Conditions Index
CH Retail Prices YoY
CH Shanghai Stock Exchange
CH Trade BOP Goods and Services Balance
EU DZ Bank Leading Indicator YoY
EU EC Retail Trade Confidence
JP Household Savings Ratio
JP Land Prices YoY
JP Nikkei 42 Commodity Price Index
JP Tankan Fixed Investments Non-Manufacturing
JP Trade Export Price YoY
SK Auto Sales
SK Consumer Confidence
SK Foreign Reserves
SK Leading Indicator - KOSPI
SK Money Supply M1 Average YoY
US Chicago Fed National Activity Index (3M MA)
US Conference Board Leading Index Building Permits
US Conference Board Leading Index Leading Credit
R-Square 0.9760
Adjusted R-Square 0.9720
Standard Error 1.7689
Forecast Summary 6M Forecast 73.64
12M Forecast 68.91
95% Upper Limit 78.02
95% Lower Limit 65.20
4.00
4.50
5.00
5.50
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
AUDDKK Curncy Forecast 95% Upper Limit 95% Lower Limit
60
70
80
90
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
AUDJPY Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 6
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AUDNOK
Model Summary Predictive Variables R 0.9890 AU CoreLogic Median City Values MoM
AU Household Saving Ratio
AU RBA FX Transactions Market
CH Industrial Profits Cumulative
CH Industrial Profits Cumulative YoY
CH Net Fund Flows for Approved China Fund
CH Retail Alibaba Online Shopping Price Index YoY
EU Trade Current Account (% GDP)
JP Inflation ex Food YoY
JP Tankan Fixed Investments Manufacturing
NO Money Supply M0 YoY
SE OMX Stockholm 30
SK Business Conditions NSA
SK GDP Real YoY
SK Money Supply LF YoY
UK Demand for Lending Medium PNFCs (next 3M)
UK Spreads on Loans Large PFNCs (next 3M)
US GDP Change in Private Inventories
US GDP Gross Fixed Capital Formation Private QoQ
US Government Bond 10Y Yields
US Inflation YoY
US Labor NFP Manufacturing MoM
US Monetary Base YoY
US Money Supply M1 YoY
US Total Debt Outstanding Notes
US Treasury Budget Surplus or Deficit
R-Square 0.9780
Adjusted R-Square 0.9760
Standard Error 0.1029
Forecast Summary 6M Forecast 7.2352
12M Forecast 7.1068
95% Upper Limit 7.6272
95% Lower Limit 6.6364
AUDNZD
Model Summary Predictive Variables R 0.9920 AU IMF Total Reserves ex Gold
AU Labour Force Hourly Wage ex Bonuses YoY
AU Money Supply M3 YoY
AU Official Reserve Assets
JP Consumer Confidence Households
JP Economy Watchers Survey Current Conditions
NZ Monetary Conditions
NZ Number of Building Consents
NZ REI Median House Price
NZ Total Card Spending Retail
NZ Westpac McDermott Miller Consumer Confidence
SK GDP Government Consumption Expenditure YoY
SK Leading Indicator - Construction Orders
SK Retail Sales
US House Price YoY
US Monetary Base YoY
US OECD Leading Indicators YoY
US Total Debt Outstanding Bills
US Treasury Budget Surplus or Deficit (% GDP)
R-Square 0.9840
Adjusted R-Square 0.9830
Standard Error 0.0113
Forecast Summary 6M Forecast 0.9060
12M Forecast 0.8411
95% Upper Limit 0.9694
95% Lower Limit 0.8181
5.50
6.00
6.50
7.00
7.50
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
AUDNOK Curncy Forecast 95% Upper Limit 95% Lower Limit
0.80
0.90
1.00
1.10
1.20
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
AUDNZD Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 7
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AUDSEK
Model Summary Predictive Variables R 0.9780 AU Inflation Weighted Median YoY
AU Trade Terms of Trade
CH Labor Unemployment Rate
CH Money Supply M0 YoY
CH Retail Alibaba Online Shopping Price Index YoY
DE Money Supply M1 YoY
EU ECB Expected Change in Lending for House Purchase
EU Eurozone Budget Balance (% GDP)
SE Trade Current Account Balance (% GDP)
SE Trade Import Prices
SK Auto Production
SK Industrial Production Service Volume YoY
SK PPI
UK Demand for Secured Lending for House Purchases (next 3M)
US Government Bond 20Y Yields
US House Price YoY
US Labor Cost YoY
US Output per Hour Non-Farm QoQ
R-Square 0.9560
Adjusted R-Square 0.9530
Standard Error 0.1262
Forecast Summary 6M Forecast 6.1449
12M Forecast 6.3282
95% Upper Limit 6.5843
95% Lower Limit 5.8731
AUDSGD
Model Summary Predictive Variables R 0.9870 AU Inflation Weighted Median YoY
AU Labour Force Hourly Wage ex Bonuses QoQ
AU Money Supply M3 YoY
CH Leading Index
CH Monetary Conditions Index
EU GDP Household Consumption Expenditure
HK Money Supply M2 YoY
JP Outward Investment Stocks
MY Money Supply M2 YoY
MY Residential Property Starts
SK Consumer Confidence
SK GDP Consumption Expenditure YoY
SK House Rental to Purchase Price
SK Money Supply LF YoY
US Chicago Fed National Activity Index (3M MA)
US Consumer Comfort
US Government Bond 20Y Yields
US ISM Manufacturing Price Index
US Retail and Food Sales YoY
R-Square 0.9740
Adjusted R-Square 0.9720
Standard Error 0.0227
Forecast Summary 6M Forecast 0.8883
12M Forecast 0.9464
95% Upper Limit 0.9926
95% Lower Limit 0.7809
5.75
6.00
6.25
6.50
6.75
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
AUDSEK Curncy Forecast 95% Upper Limit 95% Lower Limit
0.70
0.80
0.90
1.00
1.10
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
AUDSGD Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 8
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AUDUSD
Model Summary Predictive Variables R 0.9950 AU Government Bonds 10Y Yield
AU RBA Aggregate Private Sector Credit MoM
AU Trade Current Account Balance
AU Trade Exports
AU Trade Terms of Trade
CA Business Outlook Future Sales Growth
CA S&P/TSX Composite Index
CH House Prices YoY
JP Loans and Discounts Outstanding
JP Money Supply M3 YoY
JP TOPIX
SK Coincident Indicator - Retail Sales
SK Foreign Reserves YoY
SK GDP Gross Fixed Capital Formation YoY
SK House Rental to Purchase Price
SK KOSPI
SK Leading Indicator - IR Spread (5Y-Call)
SK Money Supply L (End of) YoY
SK PPI
SK Trade Imports
US Conference Board Leading Index Leading Credit
US Government Bond 20Y Yields
US Labor NFP Manufacturing MoM
US Wholesale Inventories MoM
R-Square 0.9900
Adjusted R-Square 0.9890
Standard Error 0.0157
Forecast Summary 6M Forecast 0.6706
12M Forecast 0.6823
95% Upper Limit 0.7228
95% Lower Limit 0.6372
CADCHF
Model Summary Predictive Variables R 0.9870 CA GDP at Nominal Prices QoQ
CA Manufacturing Survey New Orders
CH Shanghai Stock Exchange
CH Trade Foreign Balance
EU GDP YoY
EU New Passenger Car Registrations YoY
EU PPI Ex Construction and Energy YoY
EU PPI Ex Construction YoY
EU STOXX 50
SW GDP Household Consumption Expenditure QoQ
SW Industrial Production YoY
SW Labour Employment Level QoQ
SW Real Estate Industrial Space
SW Real Estate Industrial Space YoY
SW Trade Export Level
SW Trade Import Level YoY
US ISM Manufacturing Price Index
US Labor NFP Average Hourly Wages
US Total Debt Outstanding Bonds
US Trade Exports YoY
US Trade Import Price YoY
R-Square 0.9750
Adjusted R-Square 0.9720
Standard Error 0.0218
Forecast Summary 6M Forecast 0.7590
12M Forecast 0.6761
95% Upper Limit 0.8252
95% Lower Limit 0.6023
0.60
0.70
0.80
0.90
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
AUDUSD Curncy Forecast 95% Upper Limit 95% Lower Limit
0.60
0.70
0.80
0.90
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
CADCHF Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 9
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CADDKK
Model Summary Predictive Variables R 0.9270 CA GDP at Nominal Prices QoQ
CH Labor Population
CH Monetary Conditions Index
CH SHIBOR 3M
DE Labor Gross Unemployment Rate
EU Labor Costs YoY
EU STOXX 50
SE Labor Private Employees QoQ
SE Labor Private Employees YoY
SE Lending to Households YoY
UK Corporate Lending Availability of Credit to the Corporate Sector (last 3M)
UK Credit Scoring Criteria for Loan Applications (next 3M)
UK Default Rate on Loans Medium PFNCs (last 3M)
UK GDP YoY
UK Labor Unemployment Claimant Count MoM
UK Net Lending to Individuals Secured on Dwellings
UK Spreads on Loans Large PFNCs (next 3M)
R-Square 0.8600
Adjusted R-Square 0.8490
Standard Error 0.1331
Forecast Summary 6M Forecast 5.0228
12M Forecast 5.8771
95% Upper Limit 6.1473
95% Lower Limit 4.1366
CADJPY
Model Summary Predictive Variables R 0.9840 CA BOC Money Supply M1 YoY
CA Manufacturing Survey New Orders
CA New House Price MoM
CA Retail Sales YoY
CH Labor Population
CH Retail Alibaba Online Shopping Price Index YoY
CH Shanghai Stock Exchange
EU ECB Change in Demand for Loans to Enterprises (last 3M)
EU Markit PMI Manufacturing
EU Money Supply M3 YoY
EU OECD Leading Indicators
EU PPI Intermediate Goods YoY
EU STOXX 50
JP Corporate Operating Profits
JP Government Bonds 3M Yield
JP Household Savings Ratio
JP Industrial Activity
JP Labor Unemployment Rate
JP Merchandise Trade Export Volume to Asia YoY
JP Merchandise Trade Export Volume YoY
JP Nikkei 42 Commodity Price Index
JP TOPIX
JP Trade Export Price YoY
US Fed Fund Target Rate Upper Bound
US GDP Household Consumption Core Expenditure QoQ
US ISM PMI
US Trade Current Account Balance
R-Square 0.9690
Adjusted R-Square 0.9650
Standard Error 1.8544
Forecast Summary 6M Forecast 78.97
12M Forecast 84.67
95% Upper Limit 88.43
95% Lower Limit 69.14
4.00
4.50
5.00
5.50
6.00
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
CADDKK Curncy Forecast 95% Upper Limit 95% Lower Limit
60
70
80
90
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
CADJPY Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 10
© 2019 All Rights Reserved For enquiries, contact [email protected]
(65) 6430 6633
CADNOK
Model Summary Predictive Variables R 0.9480 CA Ivey PMI Prices
CH Government Bond Yield 10Y
EU ECB Change in Demand for Loans for House Purchase (last 3M)
EU ECB Expected Change in Demand for House Purchases
SE Capacity Utilization in Mining and Manufacturing
SE OMX Stockholm 30
UK EC Manufacturing Confidence
UK Mortgage Lending Approvals
UK Rightmove National Asking Price YoY
R-Square 0.8990
Adjusted R-Square 0.8950
Standard Error 0.1607
Forecast Summary 6M Forecast 7.0144
12M Forecast 6.8779
95% Upper Limit 7.3700
95% Lower Limit 6.5429
CADSEK
Model Summary Predictive Variables R 0.9440 CA BOC Money Supply M1 YoY
CA Ivey PMI Prices
CA OECD Surplus or Deficit (% GDP)
DE Labor Gross Unemployment Rate
NO GDP Real Fixed Capital Formation YoY
NO Retail Sales Volume ex Auto YoY
SE Capacity Utilization in Mining and Manufacturing
SE Trade Export Prices
UK GDP YoY
UK Labor Wages 3M Average YoY
UK Mortgage Lending Approvals
UK Nationwide House Prices YoY
US Business Conditions
US GDP YoY
US Monetary Base YoY
US Trade Current Account Balance
US Wholesale Inventories MoM
R-Square 0.8910
Adjusted R-Square 0.8840
Standard Error 0.1656
Forecast Summary 6M Forecast 7.1031
12M Forecast 8.0696
95% Upper Limit 8.4057
95% Lower Limit 6.3574
6.00
6.50
7.00
7.50
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
CADNOK Curncy Forecast 95% Upper Limit 95% Lower Limit
6.00
7.00
8.00
9.00
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
CADSEK Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 11
© 2019 All Rights Reserved For enquiries, contact [email protected]
(65) 6430 6633
CADSGD
Model Summary Predictive Variables R 0.9910 CA Ivey PMI Employment
CA Manufacturing Survey New Orders
CA Merchandise Trade Total Exports
CA Trade Current Account Balance (% GDP)
CH Business Cycle Signal
CH Consumer Confidence
CH Inflation YoY
CH Leading Index
CH Required Reserve Ratio for Major Banks
EU ECB Change in Demand for Loans to Enterprises (last 3M)
HK Composite Interest Rate
HK Trade Domestic Exports
IN GDP YoY
IN Government Bond Yield 10Y
IN Inflation YoY
JP Loans and Discounts Outstanding
MY Inflation YoY
MY Labor Force
MY Money Supply M2 YoY
MY Money Supply M3 YoY
MY Trade Current Account Balance (% GDP)
MY Trade Imports YoY
SG Consumer Confidence
SG Labor Unemployment Rate NSA
SG Trade Current Account Balance (% GDP)
US Government Bond 30Y Yields
US Trade Imports
R-Square 0.9820
Adjusted R-Square 0.9790
Standard Error 0.0186
Forecast Summary 6M Forecast 1.0417
12M Forecast 0.9933
95% Upper Limit 1.1057
95% Lower Limit 0.9425
CHFDKK
Model Summary Predictive Variables R 0.9940 CH Baidu Economic Index - Auto Sales YoY
CH Balance of FX Settled and Sold by Banks
CH Business Cycle Signal
CH Freight Turnover YoY
CH FX Transactions Total
DE GDP Government Consumption Expenditure YoY
DE Inflation Eurostat HICP YoY
DE Trade Balance Exports
DE Trade Current Account (% GDP)
EU Money Supply M2 YoY
SW GDP at Current Prices QoQ
SW SNB LIBOR 3M
SW Trade Export Level
SW Trade Import Level
UK Default Rate on Loans Large PFNCs (next 3M)
UK Rightmove National Asking Price YoY
US ISM PMI Manufacturing
US Retail Sales in Stores YoY
US Total Debt Outstanding Notes
US Trade Exports
US Treasury Budget Surplus or Deficit
R-Square 0.9890
Adjusted R-Square 0.9880
Standard Error 0.0914
Forecast Summary 6M Forecast 7.3931
12M Forecast 7.7641
95% Upper Limit 7.9497
95% Lower Limit 7.1506
0.90
1.00
1.10
1.20
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
CADSGD Curncy Forecast 95% Upper Limit 95% Lower Limit
6.00
6.50
7.00
7.50
8.00
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
CHFDKK Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 12
© 2019 All Rights Reserved For enquiries, contact [email protected]
(65) 6430 6633
CHFJPY
Model Summary Predictive Variables R 0.9930 CH Annual Disposable Income per capita
CH Baidu Economic Index - Auto Sales YoY
CH Baidu Economic Index - Employment YoY
CH Foreign Receipt of Bank on Behalf of Client
CH FX Transactions Total
CH Monetary Conditions Index
CH Shanghai Stock Exchange
CH Trade Foreign Balance
EU DZ Bank Leading Indicator Index
EU ECB Change in Credit Standards Lending to Business (last 3M)
EU Eurozone Budget Balance (% GDP)
JP Household Savings Ratio
JP Inflation YoY Tokyo
JP Nikkei 42 Commodity Price Index
JP Tankan Business Conditions Forecast Medium Enterprises Manufacturing
JP Tankan Business Conditions Small Enterprises Manufacturing
JP Tankan Change in Input Prices Large Enterprises Manufacturing
JP Tankan Fixed Investments
JP Trade Export Price YoY
SW Budget Balance
SW Budget Balance (% GDP)
SW Labour Unemployment Level
SW OECD Leading Indicators
SW PPI YoY
SW Real Estate Office Space
US Conference Board Leading Index Leading Credit
US Consumer Confidence
R-Square 0.9860
Adjusted R-Square 0.9840
Standard Error 1.9728
Forecast Summary 6M Forecast 114.27
12M Forecast 114.80
95% Upper Limit 118.80
95% Lower Limit 108.55
CHFNOK
Model Summary Predictive Variables R 0.9960 CH GDP YoY
CH Labor Unemployment Rate
CH Trade Foreign Balance
EU OECD Leading Indicators
EU PPI Intermediate Goods YoY
NO Consumer Confidence
NO IMF Current Account Balance (% GDP)
NO OECD Government Surplus or Deficit (% GDP)
NO Oslo Stock Exchange
SE OMX Stockholm 30
SE Trade Export Prices
SW GDP at Current Prices YoY
SW Industrial Production Orders YoY
SW Money Supply M3 YoY
SW Trade Export Level
SW Trade Import Prices YoY
UK Lloyds Business Activity (next 12M)
UK Trade Balance of Payments Current Balance
US Conference Board Leading Index Average Workweek Production Workers
US Total Debt Outstanding Bonds
R-Square 0.9930
Adjusted R-Square 0.9920
Standard Error 0.1267
Forecast Summary 6M Forecast 9.81
12M Forecast 8.56
95% Upper Limit 10.61
95% Lower Limit 8.30
105
110
115
120
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
CHFJPY Curncy Forecast 95% Upper Limit 95% Lower Limit
8.00
9.00
10.00
11.00
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
CHFNOK Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 13
© 2019 All Rights Reserved For enquiries, contact [email protected]
(65) 6430 6633
CHFSEK
Model Summary Predictive Variables R 0.9950 CH Total FI CNY Loans
DE GDP Deflator YoY
DE GDP Government Consumption Expenditure YoY
DE IMF Total Reserves ex Gold
DE Trade Export Prices YoY
EU ECB Change in Demand for Loans to Enterprises (last 3M)
EU Markit PMI Manufacturing
NO GDP Real Mainland QoQ
SE Eurostat Foreign Official Reserves
SE IMF Total Reserves ex Gold
SE OMX Stockholm 30
SW PMI Purchase Prices
SW PPI Production & Import Prices YoY
SW SMI Index
UK Labor Wages 3M Average YoY
US Industrial Production
US Inflation YoY
US Labor NFP Value
US Trade Import Price MoM
R-Square 0.9900
Adjusted R-Square 0.9890
Standard Error 0.1342
Forecast Summary 6M Forecast 10.91
12M Forecast 11.78
95% Upper Limit 12.05
95% Lower Limit 10.03
CHFSGD
Model Summary Predictive Variables R 0.9810 CH Cross-Border RMB Settlement
CH FX Transactions Total
CH Inflation YoY
CH Production Electricity YoY
EU DZ Bank Leading Indicator YoY
EU EC Consumer Confidence
EU Retail Sales YoY
HK Labor Real Wages
JP Inflation YoY Tokyo
JP Official Reserve Assets
MY PPI Imports
SW Budget Balance
SW Industrial Production Orders YoY
SW Labour Unemployment Rate
SW Real Estate Office Space YoY
SW Retail Sales Ex-Fuel Real YoY
SW SMI Index
SW Trade Export Level YoY
US Philadelphia Fed Business Outlook General Conditions
R-Square 0.9620
Adjusted R-Square 0.9580
Standard Error 0.0222
Forecast Summary 6M Forecast 1.4407
s12M Forecast 1.5147
d95% Upper Limit 1.5597
95% Lower Limit 1.3956
8.00
9.00
10.00
11.00
12.00
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
CHFSEK Curncy Forecast 95% Upper Limit 95% Lower Limit
1.30
1.40
1.50
1.60
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
CHFSGD Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 14
© 2019 All Rights Reserved For enquiries, contact [email protected]
(65) 6430 6633
DKKJPY
Model Summary Predictive Variables R 0.9790 CH Shanghai Stock Exchange
DE Trade Balance Imports
EU Money Supply M2 YoY
EU New Passenger Car Registrations YoY
JP Household Savings Ratio
JP Inflation YoY Tokyo
JP Merchandise Trade Exports YoY
JP Tankan Change in Input Prices Large Enterprises Non-Manufacturing
JP Trade Export Price YoY
SE Bank Lending to Households YoY
SE OECD Outlook Labor Productivity
UK Corporate Lending Availability of Credit to the Corporate Sector (last 3M)
UK Credit Scoring Criteria for Loan Applications (last 3M)
UK Government Bond 10Y Yield
UK Labor Wages 3M Average YoY
UK OECD Leading Indicator
UK Rightmove National Asking Price YoY
US Trade Current Account Balance (% GDP)
R-Square 0.9580
Adjusted R-Square 0.9540
Standard Error 0.4765
Forecast Summary 6M Forecast 16.09
12M Forecast 17.19
95% Upper Limit 18.53
95% Lower Limit 15.03
DKKSGD
Model Summary Predictive Variables R 0.9860 CH Fixed Asset Investment Cumulative YoY
CH Government Bond Yield 10Y
DE GDP Deflator YoY
DE Government Debt (% GDP)
DE Inflation HICP YoY
DE Inflation YoY
EU ECB Change in Demand for Loans for House Purchase (last 3M)
EU ECB Expected Change in Lending for House Purchase
EU ECB Main Refinancing Operations Announcement Rate
HK Employment Confidence
HK GDP Government Consumption Expenditure YoY
HK Labor Real Wages YoY
HK Labor Unemployment Rate
HK Residential Mortgage Outstanding Loans MoM
HK Trade Current Account (% GDP)
IN Consumer Confidence Expectations - Income
JP BOG Average Outstanding Monetary Base YoY
JP Producer Inventory Shipment Ratio
JP Tankan Change in Input Prices Large Enterprises Non-Manufacturing
MY Government Bond Yield 10Y
MY Labor Employed Persons
SE OMX Stockholm 30
SE Trade Export Prices
SG Business Expectations Manufacturing
SG Money Supply M2 YoY
R-Square 0.9730
Adjusted R-Square 0.9700
Standard Error 0.0048
Forecast Summary 6M Forecast 0.2253
12M Forecast 0.2393
95% Upper Limit 0.2490
95% Lower Limit 0.2114
15
16
17
18
19
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
DKKJPY Curncy Forecast 95% Upper Limit 95% Lower Limit
0.20
0.21
0.22
0.23
0.24
0.25
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
DKKSGD Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 15
© 2019 All Rights Reserved For enquiries, contact [email protected]
(65) 6430 6633
EURAUD
Model Summary Predictive Variables R 0.9850 AU Government Bonds 3M Yield
CH Labor Zhaopin CIER Employment Index
EU EC Business Climate Indicator
EU Money Supply M2 YoY
GM Government Debt (% GDP)
GM Trade Import Prices YoY
JP GDP YoY
NL GDP Government Consumption Expenditure YoY
SK Foreign Direct Investment
SK Labor Economically Active Population YoY
SP Labor Cost Average YoY
SW GDP QoQ
SW Inflation Core YoY
SW Labour Unemployment Level
SW Money Supply M0 YoY
UK FTSE 100
US Government Bond 20Y Yields
US Monetary Base YoY
US Output per Hour Non-Farm QoQ
R-Square 0.9710
Adjusted R-Square 0.9680
Standard Error 0.0288
Forecast Summary 6M Forecast 1.4984
12M Forecast 1.4427
95% Upper Limit 1.6926
95% Lower Limit 1.3843
EURCAD
Model Summary Predictive Variables R 0.9480 CA Merchandise Trade Total Imports YoY
CH Net Fund Flows for Approved China Fund
EU Money Supply M1 YoY
GM External Manufacturing Orders YoY
GM Labor Productivity per Hour YoY
GM Terms of Trade
GM Trade Import Prices YoY
IT EC Budget Deficit or Surplus (% GDP)
SP GDP Government Consumption Expenditure QoQ
SP Labor Cost Average YoY
SW GDP Household Consumption Expenditure YoY
SW Labour Unemployment Rate NSA
UK Credit Scoring Criteria for Loan Applications (next 3M)
UK RPI YoY
UK Spreads on Loans Large PFNCs (next 3M)
US ISM Manufacturing Price Index
R-Square 0.8980
Adjusted R-Square 0.8910
Standard Error 0.0320
Forecast Summary 6M Forecast 1.6345
12M Forecast 1.7613
95% Upper Limit 1.8264
95% Lower Limit 1.4620
1.20
1.40
1.60
1.80
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
EURAUD Curncy Forecast 95% Upper Limit 95% Lower Limit
1.40
1.60
1.80
2.00
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
EURCAD Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 16
© 2019 All Rights Reserved For enquiries, contact [email protected]
(65) 6430 6633
EURCHF
Model Summary Predictive Variables R 0.9960 CH Baidu Economic Index - Auto Sales YoY
CH FX Transactions Total
CH Labor Population
EU ECB Change in Credit Standards Lending to Business (last 3M)
EU ECB Change in Demand for Loans to Enterprises (last 3M)
EU PPI Ex Construction and Energy YoY
FR GDP Government Consumption Expenditure QoQ
FR GDP Household Consumption Expenditure QoQ
GM ZEW Expectation of Economic Growth
NL Consumer Confidence
NL Trade Current Account Balance (% GDP)
SP IBEX35
SP Inflation YoY
SP Labor Cost Value YoY
SW GDP at Current Prices QoQ
SW OECD Leading Indicators
SW Real Estate Condominiums YoY
SW Trade Import Level YoY
UK Demand for Secured Lending for House Purchases (next 3M)
UK Government Bond 10Y Yield
UK Overall Secured Lending Spreads (last 3M)
US Total Debt Outstanding Notes
R-Square 0.9930
Adjusted R-Square 0.9920
Standard Error 0.0178
Forecast Summary 6M Forecast 0.9863
12M Forecast 0.9650
95% Upper Limit 1.0225
95% Lower Limit 0.8961
EURDKK
Model Summary Predictive Variables R 0.9190 CH Inflation YoY
EU Core Inflation YoY
EU ECB Change in Lending to Consumer Credit (last 3M)
FR Housing Starts 3M YoY
GM Government Budget Deficit / Surplus (% GDP)
IT Markit PMI Retail
SE Economic Sentiment
SE Trade Export Prices
SW SMI Index
SW Trade Current Account Balance Quarterly (% GDP)
UK Conference Board Coincident Indicator YoY
UK Department for Communities and Local Government House Prices YoY
US Money Supply M1 YoY
US Output per Hour Non-Farm QoQ
R-Square 0.8440
Adjusted R-Square 0.8340
Standard Error 0.0048
Forecast Summary 6M Forecast 7.4550
12M Forecast 7.4678
95% Upper Limit 7.4776
95% Lower Limit 7.4428
0.80
0.90
1.00
1.10
1.20
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
EURCHF Curncy Forecast 95% Upper Limit 95% Lower Limit
7.42
7.44
7.46
7.48
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
EURDKK Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 17
© 2019 All Rights Reserved For enquiries, contact [email protected]
(65) 6430 6633
EURGBP
Model Summary Predictive Variables R 0.9910 CH House Prices YoY
CH Inflation YoY
EU GDP Household Consumption Expenditure
GM Household Income Net Wages & Salaries YoY
GM Labor Unit Costs per Turnover Unit YoY
GM Manufacturing Orders YoY
NL AEX
NL GDP Price Deflator YoY
NL Government Bonds 10Y Yields
NL Government Debt (% GDP)
NL Industrial Sales YoY
SP Government Bonds 10Y Yields
SW Consumer Confidence Economic Situation (next 12M)
SW GDP Implicit Price Deflator QoQ
SW PPI YoY
SW Real Estate General Apartment Rentals QoQ
UK BOE Official Bank Rate
UK Demand for Secured Lending Small Businesses (next 3M)
UK FTSE 100
UK GDP QoQ
UK Lloyds Business Activity (next 12M)
UK Loans Approved for House Purchase
UK PPI Output Price Ex F&B, Tobacco and Petroleum MoM
UK Trade Current Balance (% GDP)
US GDP Nominal YoY
US Government Bond 10Y Yields
US PPI YoY
US Total Debt Outstanding Bills
R-Square 0.9830
Adjusted R-Square 0.9810
Standard Error 0.0135
Forecast Summary 6M Forecast 0.8644
12M Forecast 0.8940
95% Upper Limit 0.9170
95% Lower Limit 0.8094
EURJPY
Model Summary Predictive Variables R 0.9880 CH PPI Industrial Products YoY
CH Retail Alibaba Online Shopping Price Index YoY
CH Shanghai Stock Exchange
EU DZ Bank Leading Indicator Index
FR Labor Non-Farm Payrolls YoY
GM Consumer Confidence
GM GDP Government Consumption Expenditure QoQ
GM Government Bonds 3M Yield
IT GDP Price Deflator YoY
IT Government Bonds 10Y Yields
IT Labor Large Industry Employment YoY
IT Markit PMI Retail
JP GDP Chained Deflators YoY
JP Government Bonds 10Y Yield
JP Household Savings Ratio
JP Housing Starts
JP Nikkei 42 Commodity Price Index
JP Tankan Change in Input Prices Large Enterprises Non-Manufacturing
JP Trade Export Price YoY
JP Trade Import Price YoY
SP Government Bonds 10Y Yields
SW GDP QoQ
SW GDP Real QoQ
SW Money Supply M1 YoY
SW Trade Import Level
UK Availability of Secured Credit to Households (next 3M)
UK Corporate Lending Availability of Credit to the Corporate Sector (last 3M)
UK Credit Scoring Criteria for Loan Applications (last 3M)
UK EC Services Confidence
UK Government Bond 10Y Yield
UK Money Supply M4 MoM
UK PSNCR Net Debt (% GDP)
US Trade Import Price YoY
R-Square 0.9760
Adjusted R-Square 0.9720
Standard Error 2.6968
Forecast Summary 6M Forecast 88.79
12M Forecast 70.06
95% Upper Limit 118.75
95% Lower Limit 64.58
0.80
0.85
0.90
0.95
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
EURGBP Curncy Forecast 95% Upper Limit 95% Lower Limit
60
80
100
120
140
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
EURJPY Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 18
© 2019 All Rights Reserved For enquiries, contact [email protected]
(65) 6430 6633
EURNOK
Model Summary Predictive Variables R 0.9890 CH Annual Disposable Income per capita
CH GDP YoY
CH Industrial Profits Cumulative
EU Core Inflation YoY
EU EC Consumer Confidence
EU ECB Change in Credit Standards Lending to Business (last 3M)
EU ECB Expected Change in Demand for House Purchases
EU Markit PMI Retail
EU PPI Ex Construction and Energy MoM
FR Labor Hourly Wage YoY
FR Labor Monthly Wage YoY
IT Labor Monthly Unemployment Rate
NL Consumer Confidence
NO Credit to Households YoY
NO GDP Real Household Expenditure YoY
NO Trade Exports ex Ships and Oil Platforms
SE Trade Import Prices
SP Government Bonds 10Y Yields
SP Labor Cost Average YoY
SW GDP Exports YoY
SW GDP Household Consumption Expenditure YoY
SW Real Estate Condominiums YoY
UK Default Rate on Loans Large PFNCs (next 3M)
UK FTSE 100
US Total Debt Outstanding Total Marketable
R-Square 0.9790
Adjusted R-Square 0.9760
Standard Error 0.1209
Forecast Summary 6M Forecast 12.46
12M Forecast 12.50
95% Upper Limit 12.74
95% Lower Limit 11.66
EURNZD
Model Summary Predictive Variables R 0.9920 AU GDP Implicit Price Deflator QoQ
AU Household Saving Ratio
AU Inflation Weighted Median YoY
AU Trade Terms of Trade
CH House Prices YoY
CH Money Supply M2 YoY
CH PMI Backlogs of Orders
CH Trade Current Account Balance (% GDP)
FR Labor Monthly Wage YoY
IT Labor Cost YoY
JP Economy Watchers Survey Expectations
JP Tankan Change in Input Prices Large Enterprises Non-Manufacturing
NZ ANZ Survey Residential Construction
NZ Labor Force Unemployed
NZ Monetary Conditions
NZ Residential Property YoY
UK Business Investment YoY
UK GDP QoQ
US Output per Hour Non-Farm QoQ
R-Square 0.9850
Adjusted R-Square 0.9830
Standard Error 0.0274
Forecast Summary 6M Forecast 1.7199
12M Forecast 1.7029
95% Upper Limit 1.7992
95% Lower Limit 1.6473
9.00
10.00
11.00
12.00
13.00
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
EURNOK Curncy Forecast 95% Upper Limit 95% Lower Limit
1.40
1.60
1.80
2.00
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
EURNZD Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 19
© 2019 All Rights Reserved For enquiries, contact [email protected]
(65) 6430 6633
EURSEK
Model Summary Predictive Variables R 0.9790 CH Net Fund Flows for Approved China Fund
CH Shanghai Stock Exchange
EU GDP Government Consumption Expenditure
GM Terms of Trade
IT Markit PMI Services
NL Trade Current Account Balance (% GDP)
SE Consumer Confidence Macro
SE Trade Export Prices
SW Budget Balance
SW Inflation Core YoY
SW Labour Employment Level YoY
UK Conference Board Leading Indicator YoY
UK Corporate Lending Credit Availability to the Commercial Real Estate Sector (next) 3M)
UK Demand for Secured Lending for House Purchases (next 3M)
UK Halifax House Prices 3M YoY
UK Labor Unemployment Claimant Count MoM
UK Money Supply M4 YoY
UK New Car Registrations YoY
R-Square 0.9580
Adjusted R-Square 0.9550
Standard Error 0.1257
Forecast Summary 6M Forecast 13.44
12M Forecast 13.92
95% Upper Limit 14.46
95% Lower Limit 12.96
EURSGD
Model Summary Predictive Variables R 0.9920 EU EC Retail Trade Confidence
EU ECB Change in Demand for Loans to Enterprises (last 3M)
FR Core Inflation YoY
FR Inflation YoY
GM Labor Productivity per Hour YoY
HK Trade Re-Exports YoY
IN Labor Unemployment
MY Industrial Production YoY - Manufacturing
MY Money Supply M2 YoY
NL Retail Sales - Price YoY
SG Business Expectations Manufacturing
SG Money Supply M1 YoY
SG PMI Supplier Deliveries
SW Budget Balance Government Debt
SW GDP Implicit Price Deflator YoY
UK Credit Scoring Criteria for Loan Applications (next 3M)
UK Loans Approved for House Purchase
UK Mortgage Equity Withdrawal
US Economy Expectations Diffusion Index
US Government Bond 20Y Yields
US ISM Manufacturing Price Index
US Monetary Base YoY
US Trade Current Account Balance
US Trade Import Price YoY
R-Square 0.9850
Adjusted R-Square 0.9830
Standard Error 0.0288
Forecast Summary 6M Forecast 1.5838
12M Forecast 1.4437
95% Upper Limit 1.6654
95% Lower Limit 1.3852
8.00
10.00
12.00
14.00
16.00
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
EURSEK Curncy Forecast 95% Upper Limit 95% Lower Limit
1.40
1.50
1.60
1.70
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
EURSGD Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 20
© 2019 All Rights Reserved For enquiries, contact [email protected]
(65) 6430 6633
EURUSD
Model Summary Predictive Variables R 0.9890 CA BOC Inflation Ex 8 & Tax YoY
CA BOC Money Supply M1 YoY
CH Baidu Economic Index - Auto Sales YoY
CH Government Bond Yield 10Y
CH Monetary Conditions Index
CH PMI New Orders
IT FTSE MIB
JP Nikkei 42 Commodity Price Index
JP PPI MoM
JP Tankan Change in Input Prices Large Enterprises Manufacturing
JP Trade Import Price YoY
MX BMV
NL AEX
NL Consumer Confidence
SP Labor Cost Value YoY
UK GDP Household Consumption Expenditure QoQ
UK GDP QoQ
US Government Bond 20Y Yields
US Monetary Base YoY
US Wholesale Inventories MoM
R-Square 0.9780
Adjusted R-Square 0.9760
Standard Error 0.0263
Forecast Summary 6M Forecast 1.1183
12M Forecast 1.0867
95% Upper Limit 1.1783
95% Lower Limit 1.0322
GBPAUD
Model Summary Predictive Variables R 0.9950 AU RBA FX Transactions Market
CH Labor Unemployment Rate
CH Money Supply M1 YoY
CH Money Supply M2 YoY
CH PBOC Survey Bankers Confidence
CH Required Reserve Ratio for Major Banks
CH Wealth Management Products Amount Outstanding
EU Core Inflation YoY
EU EC Retail Trade Confidence
EU GDP Government Consumption Expenditure
JP GDP Real Public Demand Contributions
JP Inflation YoY Tokyo
JP Loans and Discounts Outstanding
SK Debt (% GDP)
SK GDP Deflator YoY
SK Money Supply L (End of) YoY
SK PPI
UK FTSE 100
UK Overall Secured Lending Spreads (last 3M)
UK PPI Output Price Ex F&B, Tobacco and Petroleum YoY
UK Trade Capital Balance
US Conference Board Leading Index MoM
US GDP Household Consumption Core Expenditure QoQ
US Government Bond 10Y Yields
US Output per Hour Non-Farm QoQ
US PPI Core YoY
R-Square 0.9890
Adjusted R-Square 0.9880
Standard Error 0.0450
Forecast Summary 6M Forecast 1.7845
12M Forecast 1.7544
95% Upper Limit 1.9366
95% Lower Limit 1.6631
1.00
1.10
1.20
1.30
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
EURUSD Curncy Forecast 95% Upper Limit 95% Lower Limit
1.60
1.80
2.00
2.20
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
GBPAUD Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 21
© 2019 All Rights Reserved For enquiries, contact [email protected]
(65) 6430 6633
GBPCAD
Model Summary Predictive Variables R 0.9900 CA Ivey PMI Prices
CA Merchandise Trade Total Imports
CH Industrial Production Cumulative YoY
CH Money Supply M2
CH PMI Backlogs of Orders
CH Trade Foreign Balance
EU EC Capacity Utilization
EU ECB Expected Change in Demand for Loans to Enterprises
EU ECB MFI Loans to Households for House Purchase Transactions
EU Eurostat Eurozone Budget Deficit / Surplus (% GDP)
EU Inflation Flash Estimate YoY
EU Trade Current Account (% GDP)
UK Availability of Secured Credit to Households (last 3M)
UK FTSE 100
UK Government Bond 10Y Yield
UK IOS Total Service Industries 3M/3M
UK PSNCR Net Debt (% GDP)
UK Trade Balance of Payments Current Balance
UK Trade Balance Value Imports
UK Trade Balance with EU27
US GDP Price Index QoQ
US S&P 500
R-Square 0.9790
Adjusted R-Square 0.9770
Standard Error 0.0423
Forecast Summary 6M Forecast 1.7730
12M Forecast 1.6758
95% Upper Limit 2.0967
95% Lower Limit 1.5413
GBPCHF
Model Summary Predictive Variables R 0.9970 CH CHIBOR 3M
CH House Prices YoY
CH Retail Prices YoY
EU Labor Unemployment
SW Consumer Confidence Willingness to Purchase Durable Goods
SW Inflation Core YoY
SW Real Estate Condominiums
SW Trade Export Level
SW Trade Import Level
UK Availability of Secured Credit to Households (last 3M)
UK BOE Mortgage Approvals
UK BOE Official Bank Rate
UK Core Inflation YoY
UK Government Bond 10Y Yield
UK PPI Output Price Ex F&B, Tobacco and Petroleum MoM
UK PSNCR Net Debt (% GDP)
UK Trade Balance with EU27
US Inflation YoY
US Personal Consumption Expenditures Core YoY
US Trade Balance
R-Square 0.9950
Adjusted R-Square 0.9940
Standard Error 0.0349
Forecast Summary 6M Forecast 1.1600
12M Forecast 1.2039
95% Upper Limit 1.2807
95% Lower Limit 1.0537
1.40
1.60
1.80
2.00
2.20
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
GBPCAD Curncy Forecast 95% Upper Limit 95% Lower Limit
1.00
1.10
1.20
1.30
1.40
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
GBPCHF Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 22
© 2019 All Rights Reserved For enquiries, contact [email protected]
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GBPDKK
Model Summary Predictive Variables R 0.9910 CH House Prices YoY
DE Government Bond 10Y Yield
DE Labor Costs Nominal Values YoY
DE Trade Import Prices YoY
EU Inflation YoY
SE Government Bond 10Y Yield
SE Government Bond 3M Yield
SE OECD Outlook Gross Public Debt (% GDP)
UK Core Inflation YoY
UK Government Bond 10Y Yield
UK PPI Manufactured Products YoY
US Labor Aggregate Weekly Hours Average
US PPI Core YoY
US Treasury Budget Surplus or Deficit (% GDP)
R-Square 0.9820
Adjusted R-Square 0.9810
Standard Error 0.1769
Forecast Summary 6M Forecast 8.2239
12M Forecast 7.2125
95% Upper Limit 9.0086
95% Lower Limit 6.8534
GBPJPY
Model Summary Predictive Variables R 0.9910 CH Government Bond Yield 10Y
CH House Prices YoY
EU EC Services Confidence
EU Monthly Production in Construction YoY
JP Merchandise Trade Export Volume YoY
JP Money Supply M3 YoY
JP Nikkei 42 Commodity Price Index
JP Tankan Business Conditions Forecast Large Enterprises Manufacturing
JP Tankan Change in Input Prices Large Enterprises Manufacturing
JP Trade Current Account
UK BOE Mortgage Approvals
UK GDP QoQ
UK Lloyds Business Activity (next 12M)
UK Mortgage Equity Withdrawal
UK Overall Secured Lending Spreads (next 3M)
UK PSNCR Net Debt (% GDP)
UK Rightmove National Asking Price YoY
UK Trade Current Balance (% GDP)
US Government Bond 20Y Yields
US PPI YoY
R-Square 0.9830
Adjusted R-Square 0.9810
Standard Error 4.2183
Forecast Summary 6M Forecast 112.87
12M Forecast 96.32
95% Upper Limit 131.85
95% Lower Limit 87.76
7.0
7.5
8.0
8.5
9.0
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
GBPDKK Curncy Forecast 95% Upper Limit 95% Lower Limit
80
100
120
140
160
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
GBPJPY Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 23
© 2019 All Rights Reserved For enquiries, contact [email protected]
(65) 6430 6633
GBPNOK
Model Summary Predictive Variables R 0.9760 CH Balance of FX Settled and Sold by Banks
CH Coincident Index
CH Labor Population
CH PPI Wholesale Goods YoY
NO Money Supply M1 YoY
SE Consumer Confidence Micro
SE GDP Exports YoY
SE MFIs Lending to Households YoY
UK Budget Balance (% GDP)
UK Conference Board Coincident Indicator YoY
UK IOS Total Service Industries 3M/3M
UK Nationwide House Prices YoY
UK PPI Manufactured Products YoY
US Fed Consumer Credit MoM
R-Square 0.9530
Adjusted R-Square 0.9500
Standard Error 0.2889
Forecast Summary 6M Forecast 13.17
12M Forecast 12.31
95% Upper Limit 14.04
95% Lower Limit 11.73
GBPNZD
Model Summary Predictive Variables R 0.9980 AU Inflation Weighted Median YoY
AU RBA Aggregate Broad Money YoY
AU Trade Imports YoY
AU WMI Consumer Confidence
CH Industrial Profits Cumulative YoY
EU ECB Expected Change in Lending to Business
EU Labor Costs YoY
JP Tankan Business Conditions Forecast Large Enterprises Non-Manufacturing
NZ Monetary Conditions
NZ RBNZ Official Cash Rate
UK Availability of Secured Credit to Households (last 3M)
UK Government Bond 10Y Yield
UK ICE LIBOR 3M
UK PPI Manufactured Products YoY
UK PSNCR Net Debt (% GDP)
UK Rightmove National Asking Price YoY
R-Square 0.9950
Adjusted R-Square 0.9950
Standard Error 0.0362
Forecast Summary 6M Forecast 2.0484
12M Forecast 1.8737
95% Upper Limit 2.1500
95% Lower Limit 1.8002
10
11
12
13
14
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
GBPNOK Curncy Forecast 95% Upper Limit 95% Lower Limit
1.60
1.80
2.00
2.20
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
GBPNZD Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 24
© 2019 All Rights Reserved For enquiries, contact [email protected]
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GBPSEK
Model Summary Predictive Variables R 0.9840 CH House Prices YoY
CH Industrial Profits Cumulative YoY
CH Required Reserve Ratio for Major Banks
EU ECB Change in Demand for Consumer Credit (last 3M)
EU STOXX 50
NO Government Bonds 3M Yield
SE Labor Unemployment Rate
SE Trade Import Prices YoY
UK FTSE 100
UK Labor Wages 3M Average YoY
UK PPI Input Price MoM
UK RICS Housing Market Price
UK Trade Balance with EU27
US Labor Job Cut Announcements YoY
R-Square 0.9680
Adjusted R-Square 0.9660
Standard Error 0.2653
Forecast Summary 6M Forecast 12.61
12M Forecast 12.47
95% Upper Limit 13.22
95% Lower Limit 11.48
GBPSGD
Model Summary Predictive Variables R 0.9970 CH Foreign Receipt of Bank on Behalf of Client
CH OECD Leading Indicators
CH Trade Foreign Balance
CH Trade Imports YoY
EU Eurozone Government Debt (% GDP)
EU GDP Household Consumption Expenditure
IN Government Bond Yield 3M
JP Corporate Operating Profits
JP Official Reserve Assets
JP Trade Import Price YoY
MY Residential Property Starts
SG Official Foreign Reserves SGD
UK Availability of Secured Credit to Households (last 3M)
UK Mortgage Equity Withdrawal
UK OECD Leading Indicator
UK PSNCR Net Debt (% GDP)
UK Trade Balance Value Imports
US Government Bond 20Y Yields
US OECD Leading Indicators
R-Square 0.9940
Adjusted R-Square 0.9930
Standard Error 0.0380
Forecast Summary 6M Forecast 1.8823
12M Forecast 1.8343
95% Upper Limit 2.0222
95% Lower Limit 1.7571
10
11
12
13
14
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
GBPSEK Curncy Forecast 95% Upper Limit 95% Lower Limit
1.60
1.70
1.80
1.90
2.00
2.10
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
GBPSGD Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 25
© 2019 All Rights Reserved For enquiries, contact [email protected]
(65) 6430 6633
GBPUSD
Model Summary Predictive Variables R 0.9910 CA Manufacturing Survey Unfilled Orders
CA New House Price Index
CH Business Cycle Signal
CH Government Bond Yield 10Y
CH Industrial Profits Cumulative YoY
CH Wealth Management Products Amount Outstanding
EU Government Bonds 10Y Yield
JP Bankrupt Cases with Total Debt 10Mil Yen or More
JP Labor Wages
JP Money Supply M2 YoY
JP Official Reserve Assets
JP Tankan Change in Input Prices Large Enterprises Non-Manufacturing
JP Trade Import Price YoY
MX Bank of Mexico Overnight Rate
UK Availability of Secured Credit to Households (last 3M)
UK ICE LIBOR 3M
UK Loans Approved for House Purchase
UK PPI Input Price MoM
UK PSNCR Net Debt (% GDP)
UK Trade Balance of Payments Current Balance
US Trade Import Price MoM
R-Square 0.9820
Adjusted R-Square 0.9810
Standard Error 0.0296
Forecast Summary 6M Forecast 1.2371
12M Forecast 1.1939
95% Upper Limit 1.3309
95% Lower Limit 1.1338
NOKDKK
Model Summary Predictive Variables R 0.9880 CH Industrial Profits Cumulative
CH Labor Zhaopin CIER Employment Index
CH OECD Leading Indicators YoY
CH PPI Raw Materials YoY
DE Effective Repo Rate
EU Core Inflation YoY
EU EC Consumer Confidence
EU Labor Unemployment
EU Markit PMI Retail
EU PPI Ex Construction MoM
EU PPI Ex Construction YoY
NO Credit to Households YoY
NO Credit to Non-Financials YoY
NO Government Bonds 3M Yield
NO Oslo Stock Exchange
NO Trade Exports ex Ships and Oil Platforms
SE IMF Total Reserves ex Gold
SE Money Supply M2 YoY
SE Trade Import Prices
UK Nationwide House Prices YoY
UK RPI Less Mortgage Interest Payments YoY
US Conference Board Leading Index Stock Prices 500
US Government Bond 20Y Yields
US Industrial Production YoY
R-Square 0.9770
Adjusted R-Square 0.9740
Standard Error 0.0122
Forecast Summary 6M Forecast 0.6711
12M Forecast 0.7678
95% Upper Limit 0.7926
95% Lower Limit 0.6114
1.10
1.20
1.30
1.40
1.50
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
GBPUSD Curncy Forecast 95% Upper Limit 95% Lower Limit
0.60
0.65
0.70
0.75
0.80
0.85
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
NOKDKK Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 26
© 2019 All Rights Reserved For enquiries, contact [email protected]
(65) 6430 6633
NOKJPY
Model Summary Predictive Variables R 0.9810 CH Government Bond Yield 10Y
CH PMI Non-Manufacturing
EU Government Bonds 10Y Yield
EU Money Supply M2 YoY
EU PPI Ex Construction and Energy YoY
EU PPI Intermediate Goods YoY
EU Trade Current Account (% GDP)
JP Household Savings Ratio
JP PPI MoM
JP Trade Export Price YoY
NO Consumer Confidence
NO Trade Balance ex Ships and Oil Platforms
SE Bank Lending to Households YoY
SE Trade Current Account Balance (% GDP)
UK Corporate Lending Availability of Credit to the Corporate Sector (last 3M)
UK Credit Scoring Criteria for Loan Applications (last 3M)
UK Loans Approved for House Purchase
UK Rightmove National Asking Price YoY
UK Spreads on Loans Medium PFNCs (next 3M)
NOKSEKR-Square 0.9620
Adjusted R-Square 0.9590
Standard Error 0.4632
Forecast Summary 6M Forecast 12.37
12M Forecast 12.23
95% Upper Limit 13.36
95% Lower Limit 11.04
NOKSEK
Model Summary Predictive Variables R 0.9700 CH Industrial Profits Cumulative
CH OECD Leading Indicators YoY
DE GDP Deflator QoQ
DE GDP Deflator YoY
DE Government Bond 10Y Yield
DE PPI YoY
EU DZ Bank Leading Indicator Index
EU EC Business Climate Indicator (12M MA)
EU ECB Change in Demand for Loans to Enterprises (last 3M)
EU GDP Gross Fixed Capital Formation QoQ
NO Government Bonds 10Y Yield
NO Oslo Stock Exchange
SE House Average Assessed Value
SE Industrial Production WDA YoY
SE Swedbank PMI Supplier Delivery Times
SE Trade Export Prices
US Government Bond 20Y Yields
US Labor Aggregate Weekly Hours Average
US S&P 500
R-Square 0.9420
Adjusted R-Square 0.9370
Standard Error 0.0171
Forecast Summary 6M Forecast 1.1433
12M Forecast 1.3277
95% Upper Limit 1.3625
95% Lower Limit 0.9831
10
12
14
16
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
NOKJPY Curncy Forecast 95% Upper Limit 95% Lower Limit
0.90
1.00
1.10
1.20
1.30
1.40
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
NOKSEK Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 27
© 2019 All Rights Reserved For enquiries, contact [email protected]
(65) 6430 6633
NOKSGD
Model Summary Predictive Variables R 0.9910 CH Business Cycle Signal
CH Government Bond Yield 10Y
CH OECD Leading Indicators YoY
CH PMI Manufacturing
EU EC Retail Trade Confidence
HK Composite Interest Rate
IN Budget Balance (% GDP)
IN Labor Unemployment
JP Inflation YoY Tokyo
JP Merchandise Trade Imports YoY
MY Money Supply M2 YoY
NO GDP Real Fixed Capital Formation YoY
SE Bank Lending to Households YoY
SE Economic Tendency
SG GDP YoY
US Conference Board Leading Index Stock Prices 500
US ISM Manufacturing Price Index
R-Square 0.9830
Adjusted R-Square 0.9810
Standard Error 0.0046
Forecast Summary 6M Forecast 0.1646
12M Forecast 0.1589
95% Upper Limit 0.1841
95% Lower Limit 0.1495
NZDCAD
Model Summary Predictive Variables R 0.9900 AU S&P/ASX 200
CA BOC Money Supply M2 YoY
CA Government Bonds 3M Yield
CA Manufacturing Survey New Orders
EU DZ Bank Leading Indicator YoY
EU ECB Expected Change in Demand for Loans to Enterprises
EU Eurozone Budget Balance (% GDP)
JP Corporate Operating Profits
JP Nikkei 42 Commodity Price Index
JP Trade Wholesale YoY
NZ ANZ Survey Investment
JP Trade Export Price YoY
NZ ANZ Survey Employment
NZ Inflation Food YoY
NZ Monetary Conditions
NZ OECD Leading Indicators YoY
NZ RBNZ Expected Hourly Wage Growth in 2Y
NZ RBNZ Perception of Monetary Conditions
NZ Residential Property YoY
NZ Trade Imports
NZ Trade Imports Price
US GDP Gross Fixed Capital Formation Public QoQ
R-Square 0.9810
Adjusted R-Square 0.9790
Standard Error 0.0126
Forecast Summary 6M Forecast 0.8262
12M Forecast 0.8191
95% Upper Limit 0.8618
95% Lower Limit 0.7934
0.12
0.14
0.16
0.18
0.20
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
NOKSGD Curncy Forecast 95% Upper Limit 95% Lower Limit
0.75
0.80
0.85
0.90
0.95
1.00
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
NZDCAD Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 28
© 2019 All Rights Reserved For enquiries, contact [email protected]
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NZDCHF
Model Summary Predictive Variables R 0.9860 AU GDP at Current Prices QoQ
AU National Quarterly Expected Business Confidence
AU OECD Weekly Manufacturing Wages Index
AU WMI Consumer Confidence
CH Retail Prices YoY
CH Trade Foreign Balance
JP Housing Starts
JP Labor Average Monthly Contractual Cash Wages
NZ Monetary Conditions
SW GDP Household Consumption Expenditure QoQ
SW GDP QoQ
SW Trade Export Level
SW Trade Export Level YoY
US Total Debt Outstanding Total Non-Marketable
US Wholesale Inventories MoM
R-Square 0.9710
Adjusted R-Square 0.9690
Standard Error 0.0128
Forecast Summary 6M Forecast 0.6203
12M Forecast 0.6293
95% Upper Limit 0.6658
95% Lower Limit 0.5600
NZDDKK
Model Summary Predictive Variables R 0.9970 AU Building Approvals - All Houses
AU Inflation QoQ
AU PPI Finished Goods YoY
CH CHIBOR 3M
CH Monetary Conditions Index
DE IMF Total Reserves ex Gold
DE Official Currency Net Reserves
EU ECB Change in Credit Standards Lending to Business (last 3M)
EU Labor Unemployment
EU Markit PMI Retail
JP Economy Watchers Survey Current Conditions
JP Household Savings Ratio
JP Money Supply M3 YoY
JP OECD Leading Indicators YoY
JP Tankan Lending Attitude of Financial Institutions
NZ ANZ Consumer Confidence
NZ ANZ Survey Business Confidence
NZ ANZ Survey Inflation Expectations
NZ BNZ PMI
NZ Central Government Debt Held by Non-Residents
NZ GDP Gross Fixed Capital Formation Residential Buildings QoQ
NZ Monetary Conditions
NZ Trade Current Account Balance (% GDP)
SE Money Supply M1 YoY
UK GDP YoY
UK PSNCR Net Debt (% GDP)
UK Trade Balance with EU27
US Government Bond 10Y Yields
US Government Bond 20Y Yields
US Labor Participation Rate (% Population)
US OECD Leading Indicators YoY
US PPI Core YoY
R-Square 0.9950
Adjusted R-Square 0.9940
Standard Error 0.0365
Forecast Summary 6M Forecast 4.1646
12M Forecast 4.0252
95% Upper Limit 4.3416
95% Lower Limit 3.9359
0.55
0.60
0.65
0.70
0.75
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
NZDCHF Curncy Forecast 95% Upper Limit 95% Lower Limit
3.80
4.20
4.60
5.00
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
NZDDKK Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 29
© 2019 All Rights Reserved For enquiries, contact [email protected]
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NZDJPY
Model Summary Predictive Variables R 0.9960 AU Inflation Weighted Median YoY
AU Labour Force Unemployment Rate
CH Shanghai Stock Exchange
EU Sentix Economic Indices Aggregate
EU Trade Current Account (% GDP)
JP Consumer Confidence Households
JP Economy Watchers Survey Current Conditions
JP Household Savings Ratio
JP Labor Unemployment Rate
JP Tankan Annual Net Income Projections Manufacturing
JP Tankan Employment Conditions
JP TOPIX
JP Trade Export Price YoY
JP Trade Import Price YoY
NZ ANZ Survey Commercial Construction
NZ GDP Gross Fixed Capital Formation QoQ
NZ Monetary Conditions
NZ OECD Surplus or Deficit (% GDP)
NZ RBNZ Expected Unemployment Rate in 2Y
NZ Westpac McDermott Miller Present Conditions
US Conference Board Leading Index Leading Credit
US Conference Board Leading Index New Orders Nondefence Capital Goods
US Government Bond 30Y Yields
US Personal Consumption Expenditures Core YoY
R-Square 0.9910
Adjusted R-Square 0.9900
Standard Error 1.1292
Forecast Summary 6M Forecast 75.63
12M Forecast 76.73
95% Upper Limit 80.00
95% Lower Limit 71.52
NZDNOK
Model Summary Predictive Variables R 0.9950 AU GDP at Current Prices QoQ
CH Business Cycle Signal
CH Fixed Asset Investment Cumulative YoY
CH GDP YoY
CH Leading Index
CH PMI Backlogs of Orders
CH Trade Foreign Balance
EU EC Consumer Confidence
JP Consumer Confidence Households
JP Household Savings Ratio
NO GDP Real Exports YoY
NO Government Bonds 10Y Yield
NO Norges Bank Announcement Effective Rate
NO Trade Exports ex Ships and Oil Platforms
NZ BNZ PMI Employment
NZ Central Government Debt Held by Non-Residents
NZ Migration - Permanent and Long Term
NZ Monetary Conditions
NZ Performance of Services Employment
NZ RBNZ Perception of Monetary Conditions
NZ Retail Sales Real QoQ
SE Capacity Utilization in Mining and Manufacturing
SE Money Supply M1 YoY
US Business Barometer
US Conference Board Leading Index Average Consumer Expectation
R-Square 0.9900
Adjusted R-Square 0.9890
Standard Error 0.0798
Forecast Summary 6M Forecast 6.3756
12M Forecast 6.5725
95% Upper Limit 6.7346
95% Lower Limit 6.0421
60
65
70
75
80
85
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
NZDJPY Curncy Forecast 95% Upper Limit 95% Lower Limit
5.00
5.50
6.00
6.50
7.00
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
NZDNOK Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 30
© 2019 All Rights Reserved For enquiries, contact [email protected]
(65) 6430 6633
NZDSEK
Model Summary Predictive Variables R 0.9910 AU Household Saving Ratio
AU Inflation Trimmed Mean QoQ
AU Labour Force Hourly Wage ex Bonuses
AU RBA Aggregate Private Sector Credit YoY
AU Trade Current Account Balance to GDP
AU Trade Export Price YoY
CH Caixin PMI
CH Retail Alibaba Online Shopping Price Index YoY
DE Trade Export Prices YoY
EU ECB Main Refinancing Operations Announcement Rate
JP Nikkei 42 Commodity Price Index
JP Tankan Annual Net Income Projections Manufacturing
NO IMF Total Reserves ex Gold
NZ Central Government Debt Held by Non-Residents
NZ Inflation Food YoY
NZ Labor Force Hours Worked QoQ
NZ Monetary Conditions
SE Effective Repo Rate
SE PES Unemployment Rate
SE Trade Export Prices
UK Trade Balance with EU27
US Output per Hour Non-Farm QoQ
US PPI YoY
R-Square 0.9820
Adjusted R-Square 0.9800
Standard Error 0.0861
Forecast Summary 6M Forecast 5.9269
12M Forecast 5.8749
95% Upper Limit 6.1701
95% Lower Limit 5.7243
NZDSGD
Model Summary Predictive Variables R 0.9970 AU AIG Services Performance Index
AU HIA Housing Affordability Index
AU Labour Force Hourly Wage ex Bonuses QoQ
AU Labour Force Skilled Vacancies
AU Money Supply M1 YoY
CH Fixed Asset Investment Cumulative YoY
CH Government Bond Yield 10Y
CH Leading Index
CH Monetary Conditions Index
EU ECB Main Refinancing Operations Announcement Rate
EU Money Supply M2 YoY
HK GDP Imports of Goods QoQ
IN GDP Household Consumption Expenditure YoY
IN OECD Leading Indicators YoY
MY Money Supply M2 YoY
NZ Central Government Debt Held by Non-Residents
NZ Monetary Conditions
SG Budget Balance (% GDP)
SG STI
US Existing Home Sales
US Industrial Production
US Trade Current Account Balance (% GDP)
R-Square 0.9940
Adjusted R-Square 0.9930
Standard Error 0.0092
Forecast Summary 6M Forecast 0.7980
12M Forecast 0.8495
95% Upper Limit 0.8681
95% Lower Limit 0.7664
5.60
5.80
6.00
6.20
6.40
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
NZDSEK Curncy Forecast 95% Upper Limit 95% Lower Limit
0.70
0.80
0.90
1.00
1.10
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
NZDSGD Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 31
© 2019 All Rights Reserved For enquiries, contact [email protected]
(65) 6430 6633
NZDUSD
Model Summary Predictive Variables R 0.9990 AU IMF Total Reserves ex Gold
AU Official Reserve Assets
CA Inflation Core YoY
CA Merchandise Trade Total Exports YoY
CH Inflation YoY
CH Retail Alibaba Online Shopping Price Index YoY
JP Bankrupt Cases with Total Debt 10Mil Yen or More
JP BSI Business Conditions Large Manufacturing QoQ
JP Economy Watchers Survey Current Conditions
JP GDP Real Public Demand YoY
JP Tankan Business Conditions Medium Enterprises Manufacturing
JP Tankan Fixed Investments
MX Consumer Confidence SA
MX Labor Unemployment Rate
NZ ANZ Survey Inflation Expectations
NZ Government Bond 3M Yield
NZ Monetary Conditions
NZ RBNZ Expected Inflation in 2Y
US Business Barometer
US Delinquencies (% Total Loans)
US Durable Goods New Orders YoY
US GDP Gross Fixed Capital Formation Public QoQ
US ISM Manufacturing Price Index
US Labor NFP Manufacturing MoM
US Manufacturing and Trade Inventories MoM
US Money Supply M1 YoY
R-Square 0.9970
Adjusted R-Square 0.9970
Standard Error 0.0067
Forecast Summary 6M Forecast 0.6852
12M Forecast 0.6637
95% Upper Limit 0.7197
95% Lower Limit 0.6500
SEKDKK
Model Summary Predictive Variables R 0.9800 CH Labor Population
CH Production Electricity YoY
CH SHIBOR 3M
DE Effective Repo Rate
EU DZ Bank Leading Indicator Index
EU ECB Main Refinancing Operations Announcement Rate
EU Labor Costs YoY
EU Labor Unemployment
EU PPI Ex Construction and Energy YoY
NO GDP Real Mainland QoQ
SE GDP Gross Fixed Capital Formation QoQ
SE Government Bond 3M Yield
SE Inflation Eurostat HICP YoY
SE Trade Export Prices
UK GDP Household Consumption Expenditure QoQ
UK Labor Unemployment Rate
UK Money Supply M4 YoY
UK Spreads on Loans Medium PFNCs (past 3M)
US Business Barometer
R-Square 0.9600
Adjusted R-Square 0.9570
Standard Error 0.0101
Forecast Summary 6M Forecast 0.7179
12M Forecast 0.7208
95% Upper Limit 0.7413
95% Lower Limit 0.6934
0.50
0.60
0.70
0.80
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
NZDUSD Curncy Forecast 95% Upper Limit 95% Lower Limit
0.65
0.70
0.75
0.80
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
SEKDKK Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
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SEKJPY
Model Summary Predictive Variables R 0.9830 CH Government Expenditure
EU Money Supply M2 YoY
JP Capital Investment ex Software YoY
JP GDP Real Public Demand YoY
JP Household Savings Ratio
JP Money Supply M3 YoY
JP Nikkei 42 Commodity Price Index
JP Tankan Business Conditions Medium Enterprises Non-Manufacturing
NO IMF Total Reserves ex Gold
SE Bank Lending to Households YoY
SE Government Bond 10Y Yield
SE Trade Export Prices
UK Corporate Lending Availability of Credit to the Corporate Sector (last 3M)
UK GDP YoY
UK Lloyds Business Activity (next 12M)
UK Rightmove National Asking Price YoY
US Conference Board Leading Index Building Permits
US Existing Home Sales
R-Square 0.9660
Adjusted R-Square 0.9630
Standard Error 0.3447
Forecast Summary 6M Forecast 13.24
12M Forecast 12.88
95% Upper Limit 14.50
95% Lower Limit 12.18
SEKSGD
Model Summary Predictive Variables R 0.9890 CH Government Bond Yield 10Y
CH PMI Backlogs of Orders
HK GDP Government Consumption Expenditure YoY
HK Labor Nominal Wages YoY
IN Consumer Confidence Expectations - Business Conditions
IN Inflation YoY
IN Labor Unemployment
JP Money Supply M2 YoY
JP Producer Inventory Shipment Ratio
MY International Reserves USD
MY Money Supply M1 YoY
NO GDP Real Household Expenditure YoY
SE GDP Government Consumption Expenditure YoY
SE Money Supply M1 YoY
SE Trade Export Prices
UK Default Rate on Secured Loans to Households (next 3M)
UK Demand for Secured Lending for House Purchases (next 3M)
UK Mortgage Equity Withdrawal
US Durable Goods New Orders YoY
R-Square 0.9790
Adjusted R-Square 0.9770
Standard Error 0.0039
Forecast Summary 6M Forecast 0.1467
12M Forecast 0.1497
95% Upper Limit 0.1576
95% Lower Limit 0.1365
10
11
12
13
14
15
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
SEKJPY Curncy Forecast 95% Upper Limit 95% Lower Limit
0.13
0.14
0.15
0.16
0.17
0.18
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
SEKSGD Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
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SGDJPY
Model Summary Predictive Variables R 0.9900 CH Shanghai Stock Exchange
CH Wealth Management Products Amount Outstanding
EU EC Consumer Confidence
EU Trade Current Account (% GDP)
EU Trade Exports to Non-Eurozone Countries
HK Labor Real Wages YoY
IN Budget Balance (% GDP)
JP Government Bonds 10Y Yield
JP Government Bonds 3M Yield
JP Household Savings Ratio
JP Inflation ex Food & Energy YoY Tokyo
JP Money Supply M3 YoY
JP Outward Investment Stocks
JP Tankan Business Conditions Forecast Small Enterprises Non-Manufacturing
JP Tankan Business Conditions Medium Enterprises Manufacturing
JP TOPIX
JP Trade Export Price YoY
MY Trade Current Account Balance (% GDP)
SG Money Supply M1 YoY
US GDP Price Index QoQ
US Government Bond 20Y Yields
US Labor Aggregate Weekly Hours Average
R-Square 0.9810
Adjusted R-Square 0.9790
Standard Error 1.1987
Forecast Summary 6M Forecast 85.06
12M Forecast 89.28
95% Upper Limit 91.72
95% Lower Limit 80.82
USDCAD
Model Summary Predictive Variables R 0.9940 CA Government Bonds 10Y Yield
CA Government Bonds 3M Yield
CA Manufacturing Survey Inventories
CA Merchandise Trade Total Balance
CA Merchandise Trade Total Imports YoY
CA OECD Surplus or Deficit (% GDP)
CA S&P/TSX Composite Index
CH OECD Leading Indicators
EU GDP Government Consumption Expenditure
EU GDP YoY
JP Labor Average Monthly Cash Wages YoY
JP Labor Force Participation Rate
JP Nikkei 42 Commodity Price Index
JP Official Reserve Assets
MX Manufacturing Index
MX Manufacturing Index General
MX Money Supply M1 YoY
MX Trade Balance Imports
US Conference Board Leading Index Average Workweek Production Workers
US Consumer Sentiment
US Trade Import Price YoY
R-Square 0.9880
Adjusted R-Square 0.9860
Standard Error 0.0210
Forecast Summary 6M Forecast 1.2012
12M Forecast 1.2271
95% Upper Limit 1.2968
95% Lower Limit 1.1307
75
80
85
90
95
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
SGDJPY Curncy Forecast 95% Upper Limit 95% Lower Limit
1.10
1.20
1.30
1.40
1.50
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
USDCAD Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 34
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USDCHF
Model Summary Predictive Variables R 0.9940 CA OECD Leading Indicators YoY
CA S&P/TSX Composite Index
CH CHIBOR 3M
CH GDP YoY
CH Government Bond Yield 10Y
CH OECD Leading Indicators YoY
EU OECD Leading Indicators YoY
EU ZEW Expectation of Economic Growth
JP Official Reserve Assets
JP Producer Inventory Shipment Ratio
JP Tankan Annual Net Income Projections Non-Manufacturing
SW Money Supply M0 YoY
SW Money Supply M2 YoY
SW SMI Index
SW Trade Export Level
US Labor Job Cut Announcements YoY
US Philadelphia Fed Business Outlook General Conditions
R-Square 0.9880
Adjusted R-Square 0.9870
Standard Error 0.0273
Forecast Summary 6M Forecast 0.7485
12M Forecast 0.5701
95% Upper Limit 0.9609
95% Lower Limit 0.5147
USDCNH
Model Summary Predictive Variables R 0.9690 AU Building Approvals - Dwellings YoY
AU Government Bonds 10Y Yield
AU RBA Commodity Special Drawing Rights YoY
AU Trade Current Account Balance to GDP
AU Trade Export Price QoQ
CH Fixed Asset Investment Cumulative
CH Monetary Conditions Index
CH SHIBOR 3M
EU EC Consumer Confidence
EU ECB Expected Change in Demand for Consumer Credit
EU ECB Expected Change in Lending for House Purchase
EU Money Supply M3 (3M MA)
JP Business Cycle Indicators Leading
JP Nikkei PMI Manufacturing
JP Trade Export Price YoY
MX PPI YoY
SK Auto Domestic
SK Auto Production
SK Bloomberg Market Capitalization
SK Mortgage to Households
R-Square 0.9380
Adjusted R-Square 0.9330
Standard Error 0.0536
Forecast Summary 6M Forecast 7.3001
12M Forecast 7.3114
95% Upper Limit 7.4362
95% Lower Limit 7.1435
0.40
0.60
0.80
1.00
1.20
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
USDCHF Curncy Forecast 95% Upper Limit 95% Lower Limit
6.00
6.50
7.00
7.50
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
USDCNH Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 35
© 2019 All Rights Reserved For enquiries, contact [email protected]
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USDDKK
Model Summary Predictive Variables R 0.9960 CA BOC Money Supply M1 YoY
CA BOC Money Supply M2 YoY
CH Consumer Confidence
CH Government Bond Yield 10Y
CH Labor Population
CH PPI Raw Materials YoY
CH PPI Wholesale Goods YoY
DE Effective Repo Rate
DE Government Bond 3M Yield
DE IMF Total Reserves ex Gold
DE Official Currency Net Reserves
DE Trade Export Prices YoY
EU DZ Bank Leading Indicator Index
EU ECB Change in Lending to House Purchase (last 3M)
EU Eurozone Budget Balance (% GDP)
JP BSI Business Conditions Large QoQ
JP Tankan Business Conditions Medium Enterprises Manufacturing
JP Tankan Business Conditions Medium Enterprises Non-Manufacturing
SE Labor Job Openings YoY
SE Money Supply M3 YoY
SE Trade Current Account Balance (% GDP)
SE Trade Import Prices
UK Budget Balance (% GDP)
UK Loans Approved for House Purchase
US Delinquencies (% Total Loans)
US New One Family Houses Sold
US Trade Import Price MoM
R-Square 0.9910
Adjusted R-Square 0.9900
Standard Error 0.0902
Forecast Summary 6M Forecast 6.6469
12M Forecast 6.8145
95% Upper Limit 7.0099
95% Lower Limit 6.3724
USDJPY
Model Summary Predictive Variables R 0.9820 CA BOC Inflation Ex 8 & Tax YoY
CH Cross-Border RMB Settlement
EU EC Services Confidence
EU ECB Change in Demand for Consumer Credit (last 3M)
EU ECB Expected Change in Demand for Loans to Enterprises
EU Money Supply M1 YoY
JP Labor Average Monthly Contractual Cash Wages
JP Labor Force Participation Rate
JP Official Reserve Assets
JP TOPIX
JP Trade Current Account
JP Trade Export Price YoY
US Conference Board Leading Index Interest Spread
US GDP Gross Fixed Capital Formation Private QoQ
US GDP Gross Fixed Capital Formation Public QoQ
US Monetary Base YoY
US Treasury Budget Surplus or Deficit (% GDP)
R-Square 0.9640
Adjusted R-Square 0.9620
Standard Error 2.6077
Forecast Summary 6M Forecast 90.59
12M Forecast 75.36
95% Upper Limit 112.40
95% Lower Limit 68.97
5.50
6.00
6.50
7.00
7.50
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
USDDKK Curncy Forecast 95% Upper Limit 95% Lower Limit
60
80
100
120
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
USDJPY Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 36
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USDNOK
Model Summary Predictive Variables R 0.9870 CA Inflation Core YoY
CA New House Price YoY
CH Business Cycle Signal
CH Consumer Confidence
CH Government Bond Yield 10Y
CH Leading Index
EU ECB Change in Demand for Consumer Credit (last 3M)
JP Household Savings Ratio
JP Money Supply M2 YoY
JP Tankan Annual Net Income Projections Non-Manufacturing
MX Labor Unemployment Rate
NO Consumer Confidence
SE GDP YoY
UK Labor Unemployment Rate
UK RICS Housing Market Price
US Conference Board Leading Index MoM
US ISM Manufacturing Price Index
US Trade Current Account Balance
R-Square 0.9750
Adjusted R-Square 0.9730
Standard Error 0.2094
Forecast Summary 6M Forecast 9.91
12M Forecast 10.08
95% Upper Limit 10.53
95% Lower Limit 9.34
USDSEK
Model Summary Predictive Variables R 0.9860 CH Government Bond Yield 10Y
CH Trade IMF Current Account Balance (% GDP)
EU ECB Change in Credit Standards Lending to Business (last 3M)
EU PPI Intermediate Goods YoY
JP Outward Investment Stocks
JP Tankan Business Conditions Forecast Large Enterprises Manufacturing
JP TOPIX
MX GDP QoQ
MX Inflation YoY
NO GDP Real Fixed Capital Formation YoY
SE Trade Current Account Balance (% GDP)
SE Trade Export Prices YoY
UK Budget Balance (% GDP)
UK EC Manufacturing Confidence
US Conference Board Leading Index New Orders Nondefence Capital Goods
US Delinquencies (% Total Loans)
US ISM Manufacturing Price Index
US Monetary Base YoY
US Retail Sales in Stores YoY
US Trade Balance
R-Square 0.9710
Adjusted R-Square 0.9690
Standard Error 0.2176
Forecast Summary 6M Forecast 9.64
12M Forecast 9.66
95% Upper Limit 10.40
95% Lower Limit 9.09
7.0
8.0
9.0
10.0
11.0
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
USDNOK Curncy Forecast 95% Upper Limit 95% Lower Limit
7
8
9
10
11
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
USDSEK Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 37
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USDSGD
Model Summary Predictive Variables R 0.9990 CA BOC Overnight Lending Rate
CA Merchandise Trade Total Balance
CA Trade Current Account Balance (% GDP)
CH Cross-Border RMB Settlement
CH Trade Foreign Balance
HK Government Bond Yield 10Y
HK Government Bond Yield 3M
HK Hang Seng Index
HK HKMA Loans and Advance YoY
HK Labor Real Wages
HK Trade Terms of Trade
JP Business Sales Diffusion Small Businesses
JP Nikkei 42 Commodity Price Index
JP Official Reserve Assets
JP Tankan Annual Net Income Projections Non-Manufacturing
JP Tankan Change in Input Prices Large Enterprises Manufacturing
JP Tankan Change in Input Prices Large Enterprises Non-Manufacturing
MX Government Bond Yield 10Y
MX Trade Balance Exports
MY International Reserves USD
MY Labor Employed Persons
MY Trade Current Account Balance
MY Trade Current Account Balance (% GDP)
SG Official Foreign Reserves SGD
SG Official Foreign Reserves USD
US GDP Change in Private Inventories
US House Price YoY
US Labor Cost YoY
US Labor Hires Rate
US Labor NFP Average Hourly Wages YoY
US Personal Savings Rate (% Disposable Personal Income)
US PPI Core YoY
R-Square 0.9990
Adjusted R-Square 0.9990
Standard Error 0.0072
Forecast Summary 6M Forecast 1.3975
12M Forecast 1.3841
95% Upper Limit 1.4158
95% Lower Limit 1.3602
USDDXY
Model Summary Predictive Variables R 0.9930 CA BOC Money Supply M1 YoY
CA BOC Overnight Lending Rate
CA Ivey PMI Prices
CA Manufacturing Survey Inventories
CH GDP YoY
CH Government Bond Yield 10Y
CH Labor Unemployment Rate
CH Net Fund Flows for Approved China Fund
EU ECB MFI Loans to Households for House Purchase Outstanding
EU GDP Government Consumption Expenditure
EU Trade Imports from Non-Eurozone Countries
FR OECD Leading Indicators YoY
GM Labor Productivity per Hour YoY
GM Terms of Trade
JP Housing Starts
JP Money Supply M2 YoY
JP Nikkei 42 Commodity Price Index
JP Official Reserve Assets
JP TOPIX
JP Trade Import Price YoY
MX Manufacturing Index
NL GDP Household Consumption Expenditure YoY
SP Government Debt (% GDP)
US Fed Consumer Credit MoM
US GDP Gross Fixed Capital Formation Public QoQ
US ISM Manufacturing Price Index
US Monetary Base YoY
US Trade Import Price YoY
R-Square 0.9870
Adjusted R-Square 0.9850
Standard Error 1.4167
Forecast Summary 6M Forecast 94.67
12M Forecast 92.60
95% Upper Limit 102.05
95% Lower Limit 89.64
1.30
1.35
1.40
1.45
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
USDSGD Curncy Forecast 95% Upper Limit 95% Lower Limit
80
90
100
110
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
DXY Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 38
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USDUST
Model Summary Predictive Variables R 0.9990 CA BOC Overnight Lending Rate
CA Government Bonds 10Y Yield
CH Inflation YoY
CH Net Fund Flows for Approved China Fund
CH Trade BOP Goods and Services Balance
EU Money Supply M2 YoY
EU STOXX 50
FR Household Savings Rate
FR Labor Hourly Wage YoY
IT Labor Hourly Wages YoY
JP Money Supply M2 YoY
MX Bank of Mexico Overnight Rate
MX IMF Reserves Ex Gold
MX PPI YoY
NL GDP Domestic Demand YoY
SP Government Bonds 10Y Yields
US Conference Board Leading Index Leading Credit
US Government Bond 30Y Yields
US Government Bond 3M Yields
R-Square 0.9970
Adjusted R-Square 0.9970
Standard Error 0.0663
Forecast Summary 6M Forecast 0.5697
12M Forecast 0.1385
95% Upper Limit 0.9126
95% Lower Limit 0.0039
XAUUSD
Model Summary Predictive Variables R 0.9970 CA Merchandise Trade Total Balance
CH FX Reserves
CH GDP
CH Trade Exports
EU EC Consumer Confidence
FR Consumer Confidence
FR GDP Domestic Demand QoQ
IT Economic Sentiment
IT Labor EC Unemployment Rate
IT Labor Hourly Wages YoY
JP BOG Average Outstanding Monetary Base YoY
JP Business Sales Diffusion Forecast Small Businesses
JP GDP Chained Deflators YoY
JP Household Savings Ratio
JP Inflation ex Food & Energy YoY
JP Official Reserve Assets
MX Inflation YoY
MX Money Supply M2 YoY
MX Money Supply M4 YoY
SP Consumer Confidence
SP House Prices Total Homes YoY
SP Trade Current Account Balance (% GDP)
US Government Bond 20Y Yields
US PPI YoY
R-Square 0.9950
Adjusted R-Square 0.9940
Standard Error 35.61
Forecast Summary 6M Forecast 1,616
12M Forecast 1,637
95% Upper Limit 1,747
95% Lower Limit 1,495
0.00
1.00
2.00
3.00
4.00
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
USGG10YR Curncy Forecast 95% Upper Limit 95% Lower Limit
1,000
1,200
1,400
1,600
1,800
May-17 Nov-17 May-18 Nov-18 May-19 Nov-19 May-20 Nov-20 May-21
XAUUSD Curncy Forecast 95% Upper Limit 95% Lower Limit
G10 FX FORECASTS JUNE 2020
Page | 39
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Research Methodology
Data collection Major economic data for each country was collected. Data is collected either monthly, quarterly or yearly, depending on the type of economic data release. The data collection period begins from January 1997 up till the most recent month.
Data collected for the Eurozone consists of Eurozone economic data as well as country data from Germany, France, Spain, Italy and the Netherlands, which together contributed around 60% of Eurozone GDP in 2016 according to Eurostat. Considering the UK leaving the European Union, the contribution from these countries is expected to increase.
Model building (i) Economic data input as independent variables for each currency pair is based on the country’s major trade partners in 2017. The
major trade partners for each country are identified in Research Methodology – Major Trade Partners Analysis. In determining major trade partners, total trade flow is considered the absolute sum of imports and exports.
(ii) The model follows a two-step selection process for independent variables. Independent variables that are significantly correlated with the dependent variable are first identified. The significance level used is 1%.
(iii) Statistically significant independent variables are then regressed against the dependent variable to obtain the regression model. The regression model with the best Adjusted R2 and lowest standard error of the estimate is chosen.
(iv) A forecast for each independent variable is performed for the next 12 months using either exponential or ARIMA forecasting. The selection of the forecasting model for each independent variable is based on the model with a lower normalized Bayes Information Criterion, Mean Absolute Percentage Error (MAPE), Bayes Information Criterion (BIC) or economic theory. The parameters of the forecasting model remain constant unless a revision of the model is required.
(v) The forecasts for independent variables are then included in the selected regression model to obtain the 12-month forecast for the dependent variable.
(vi) Each model is monitored according to the accuracy of its forecasts. The analysis considers the following criteria:
• The accuracy of the direction of the forecast;
• Whether the 95% confidence interval captures most of the currency fluctuation; and
• Whether the actual average currency figure for the month differs from predicted by an amount not exceeding a threshold amount. The threshold is set at 2%.
(vii) The model is revised when the forecasts consistently do not meet the criteria provided only if the revised model has a better fit.