RBC: SGD NEER & The Impact Of Intervention

RBC note that their "daily SGNEER estimate indicates that it remains well under the assumed 2% upper limit of the band around the mid-point level established in the zero appreciation policy announcement at the end of March. However, there is also evidence that much has been occurring in the background to restrain the SGNEER. Our out-of-sample predicted SGNEER demonstrates a persistent upside deviation from the official level since May. The predicted rate is more than 7% above the current level, according to our models. The resulting sizeable one-sided residuals map well against the rapid rise in Singapore's foreign reserves in recent months. This suggests that the current level of the SGNEER has been significantly restrained by FX market intervention."