Free Trial

Yield Correlations Weaken, Global Commodity & Agriculture Firms

NZD

NZD/USD correlations with Global Commodity and Agriculture prices have firmed over the last week. The table below presents levels of correlations between NZD and key macro drivers (note the yield differential reflects swap rates).

  • NZD/USD is up ~1% in the last week, the strength looks to be driven by rising global commodity and agriculture prices as well as strong performance in global equities.
  • The easing in the VIX continues to aid the NZD at the margins.
  • Conversely the recent correlation with yield differentials has softened, and the NZD has shrugged off weakness in Milk Futures, although the monthly correlation remains relatively strong.
Fig 1: NZD/USD Correlations With Global Macro Drivers

1wk1mth
2yr yield differential-0.58-0.32
5yr yield differential-0.33-0.43
10yr yield differential-0.52-0.54
Global commodity prices0.720.16
Agriculture0.87-0.14
Milk Futures-0.610.59
Global equities0.510.71
US VIX index-0.33-0.61
Source: Market News International (MNI)/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.