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VIX, Milk Futures and Yield Differentials Main Macro Drivers Last Week

NZD

NZD/USD finished last week's trade down ~1% for the week, dealing in a 2% range. The table below presents levels correlations between NZD and key macro drivers (note the yield differential reflects swap rates).

  • The VIX, Milk Futures and 5- and 10-Year Yield Differentials were the main macro drivers in the NZD last week.
  • Conversely, a recovery in global commodity and equity prices did not filter through to the Kiwi in a meaningful way.
  • Over the longer time frame there is no standout macro driver, the 2-Year Yield Differential does show the strongest correlation to the NZD.

Fig 1: NZD/USD Correlation with Global Macro Drivers:


Source: MNI/Bloomberg

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