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1、DeutscheBankResearchEmergingMarketsEconomicsDateForeignExchange17November2017FXSpotGautamKalani,PhDAnkitJainStrategistResearchAssociateEMFX(+44)20754-57066(+91)226181-1634gautam.kalani@db.comankit.jain@db.comWhatisdrivingEMFX?Inthisreport,weupdateour‘
2、whatisdrivingEMFX’product,addressingthefollowingquestionsusingPCA,regressionandbetaanalyses:Whatfactorsaredrivingglobalmarketdynamics?UsingaPrincipalComponentAnalysis(PCA),wefindthatoverthepast6monthstheoilpricehasbeenthemainvariablecapturingglobalmar
3、ketdynamics,partlybecauseitencompassessentimentaroundglobalgrowthandthedollar.USratesandEMequitiesalsohavesignificantexplanatorypower,astheycaptureglobalrisksentiment.IsEMFXfairlyvaluedonPCAmetrics,andarethereanycurrenciesthataresignificantlymisaligne
4、d?Usingashort-termvaluationmetricderivedfromthePCA,wefindthattheEMFXindexiscurrentlycheap.ThisislargelydrivenbythefactthatEMFXhasremainedweakdespitefallingUSyieldssincelateOctober.Extendingthisanalysisonacurrency-by-currencybasis,wefindthatRUBandBRLar
5、eparticularlycheapcomparedtotheirfairvaluesonthePCAmetric,suggestingscopefornear-termappreciation.Theseresultsareinlinewithourrecentrecommendationstogolongbothcurrencies(seeEMMonthly).WhatisdrivingEMFXasanassetclass?WhilethePCAanalysisshedslightonthed
6、riversofoverallmarketdynamics,itdoesnotinformusspecificallyaboutthedriversofEMFX.Weuseanaugmentedbetaanalysis–whichestimatesthecontributionofthevariousmarketdriverstoEMFXmoves–tofurtherinvestigatewhatdrivesEMFX.WefindthatthebroadUSDandUSyieldsarecurre
7、ntlythemainexternaldriversofEMFX(asanassetclass).However,theoverall‘externalbeta’ofEMFX–themeanimpactofallthekeyexternaldrivers–hasdeclinedsharplyandiswellbelowthelong-termaverage.Inotherwords,EMFXisnowlessdrivenbyexternaldriversthanithasbeeninthepast
8、.Rather,idiosyncraticfactorshavetakenongreaterimportance,reflectingthespikeinlocalrisksinmajorEMslikeMexico(NAFTA),Turkey(geopolitics)andSouthAfrica(fiscal/politics)._____________________________________________________________________________
