Free Trial

Global Equity, Commodity & 2-Year Yield Correlations Firm

NZD

NZD/USD correlations with yield differentials have strengthened over the past week, standing out as a key macro driver in recent dealings. The table below presents levels correlations between NZD and key macro drivers (note the yield differential reflects swap rates).


  • Recent strength in NZD, up ~3% off lows last week, looks to be associated with the continued recovery off December lows in global equities and global commodity prices. As well as the recent momentum of the 2-year yield differential.
  • The easing in the VIX in recent dealing has also aided NZD/USD at the margin.
  • Conversely, the recent weakness in Milk Futures hasn't weighed on the Kiwi, although the monthly correlation does remain relatively strong.

1wk1mth
2yr yield differential0.940.36
5yr yield differential0.610.22
10yr yield differential0.41-0.23
Global commodity prices0.830.48
Agriculture0.25-0.37
Milk Futures-0.610.59
Global equities 0.940.69
US VIX index-0.62-0.20

Source: MNI - Market News/Bloomberg

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.