Free Trial
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.
CNH
We noted earlier the weaker than expected CNY fix may have been influenced by the sharp drop in yen since the previous fixing. Interestingly, the correlation between the USD/CNY fixing error term and USD/JPY has pushed higher this year, although it remains below 1.
- The first chart below plots the rolling 1-month correlations between the daily USD/CNY fixing error (USD/CNY actual fix - USD/CNY fixing market estimate) and the previous day's change in USD/JPY. We also present the same correlation between the fixing error and USD/EUR.
- Since around March of this year, the correlation has pushed into positive territory in terms of the fixing error and the previous day's change in USD/JPY. This suggests stronger daily USD/JPY changes is having some influence on the fixing bias.
- The CNH/JPY cross is up around 10% so far YTD, and it may be the authorities want to temper the rate of further gains in the cross, particularly with clouds still hanging over China's economic outlook and on-going efforts to boost the performance of trade/exports.
- The equivalent correlation with USD/EUR moves is much weaker.
- However, it’s important to note the correlation with USD/JPY moves is still fairly modest in an absolute sense, i.e. we remain comfortably below 1 in terms of the most recent reading.
Fig 1: USD/CNY Fixing Error & JPY, EUR Correlations
Source: MNI - Market News/Bloomberg
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.
We are facing technical issues, please contact our team.
ok
Your request was sent sucessfully! Our team will contact you soon.
ok