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- In the FX market, the Japanese Yen remains the ultimate safe haven that generally appreciates significantly when volatility rises.
- Hence, as price volatility and uncertainty reached a peak during the March 2020 panic, we look at the performance of EM FX currencies relative to the Yen in the past year to see which EM exchange rate has reacted positively to this risk-on environment.
- As expected the TRY and BRL appear at the bottom of the table:
- TRYJPY is down 16.5% in the past year as the Lira was very sensitive to the increase in 'staff turnover' at the CBRT last month.
- In addition, political uncertainty continues to weigh on the BRLJPY, which is down 8.2% in the past year.
- The rest of the EM currencies (to the exception of RUB down 2.1%) are all up against the JPY, with ZAR coming up at the top of the table up 26% YoY, mainly driven by the rise in real yield differential.
- CEE Currencies: CZK, HUF and PLN are up 15.6%, 9.9% and 9.5%, respectively, against the JPY in the past year.