德银-新兴市场-外汇市场-新兴市场外汇支撑的奇特案例

《德银-新兴市场-外汇市场-新兴市场外汇支撑的奇特案例》由会员上传分享，免费在线阅读，更多相关内容在行业资料-天天文库。

1、DeutscheBankMarketsResearchEmergingMarketsEconomicsSpecialReportDateForeignExchange23January2018FXSpotFXVolatilityDrausioGiacomelliStrategistThecuriouscaseofEMFXCarry(+1)212250-7355drausio.giacomelli@db.comJundongZhangEMassets–andFXinparticular–havelongbeenconsid

2、eredanalogoustotheResearchAssociate“carrytrade”.Althoughcarryisstillanimportantcomponentoftotal(+44)20754-72056performance,theglobalfinancialcrisis(GFC)andQEhavebeenassociatedjundong-a.zhang@db.comwithamarkedchangeintheimportanceandnatureofcarrycontributionstotot

3、alreturns.Notonlycarryhasbecomelessimportantacontributor,butGautamKalani,Ph.D.ratherthanamplifyingthebenefitofUSDweaknessithasactuallyattenuatedthisboost.Aswehavediscussedinseveralrecentpieces,theUSDhasbeenStrategistthedominantfactor,and–aswediscusslaterintherepo

4、rt–countryspecifics(+44)20754-57066havealsogrowninimportance.gautam.kalani@db.com________________________________________________________________________________________________________________DeutscheBankSecuritiesInc.Distributedon:23/01/201807:00:00GMTDISCLOSUR

5、ESANDANALYSTCERTIFICATIONSARELOCATEDINAPPENDIX1.MCI(P)083/04/2017.7T2se3r0Ot6kwoPa23January2018SpecialReport:ThecuriouscaseofEMFXCarrystrategysothatcarrybasketsareunwoundinrisk-offTheslidingdoorsofEMFXperformanceperiods,therelativeperformanceofcarryvs.simplyholdi

6、ngbroadEMFXbasketsimprovesonlymildly3.EMassets–andFXinparticular–havelongbeenTherefore,morethan“risk-onandrisk-off”swings,thereconsideredanalogoustothe“carrytrade”.Althoughcarryisamoremeaningfulunderlyingdriversofthisisstillanimportantcomponentoftotalperformance,

7、theunderperformanceofrecentyears.globalfinancialcrisis(GFC)andQEhavebeenassociatedwithamarkedchangeintheimportanceandnatureofEMFX:lessandlessacarrydatecarrycontributionstototalreturns.Notonlycarryhasbecomelessimportantacontributor,butratherthanamplifyingthebenefi

8、tofUSDweaknessithasactuallyattenuatedthisboost.Aswehavediscussedinseveralrecentpieces,theUSDhasbeenthedominantfactor,and–aswediscusslaterinthereport–countryspe