CURRENCY TRADING RANGES
In addition to our regular monthly surveys of projections for over 90 currencies we also undertake a special survey of currency trading ranges in Foreign Exchange Consensus Forecasts (in January) for the currencies listed below.
| G7 | Asia Pacific | Eastern Europe | Latin America |
|---|---|---|---|
| US Dollar | Australian Dollar | Czech Koruna | Argentinian peso |
| Euro | Indonesian Rupiah | Hungarian Forint | Brazilian Real |
| Japanese Yen | New Zealand dollar | Polish Zloty | Mexican Peso |
| UK Pound | South Korean Won | ||
| Canadian Dollar | Thai Baht |
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All forex market participants recognize that currencies tend to fluctuate within trading ranges rather than moving smoothly from one level to another over time. Moreover, different currencies exhibit differing degrees of volatility. As a result, as well as their point forecasts for individual currencies, this month we also asked our panellists for their predictions of the likely ranges within which they expect a number of currencies (shown below) to trade over the coming year. More precisely, our panellists are asked to provide their estimates of the quarterly ranges within which a number of major currencies are likely to trade over the next five quarters. The table below represents a small portion of this special survey taken from our January 2012 issue of Foreign Exchange Consensus Forecasts.
| Currency Trading Ranges | ||||||||||
| Exchange Rate vs US Dollar | Actual | --------------Consensus Forecasts-------------- | Q1 '13 Forecast Range (as % of central forecast) | Historical Volatility | Implied Volatility | |||||
| Q4 '11 | Q1 '12 | Q2 '12 | Q3 '12 | Q4 '12 | Q1 '13 | % | % | |||
| Euro (US$ per euro) |
||||||||||
| High | 1.418 | 1.346 | 1.338 | 1.359 | 1.368 | 1.383 | 12.9 |
11.0 |
14.9 |
|
| Low | 1.292 | 1.236 | 1.215 | 1.207 | 1.193 | 1.215 | ||||
| Japanese Yen | ||||||||||
| High | 75.76 | 73.66 | 74.19 | 73.34 | 73.71 | 76.84 | 13.5 |
10.9 |
11.4 |
|
| Low | 78.28 | 79.64 | 81.04 | 82.37 | 85.17 | 87.40 | ||||
| Australian Dollar (US$ per A$) |
||||||||||
| High | 1.084 | 1.053 | 1.036 | 1.056 | 1.078 | 1.086 | 21.9 |
13.6 |
16.3 |
|
| Low | 0.944 | 0.950 | 0.925 | 0.902 | 0.879 | 0.868 | ||||
| Argentinian Peso | ||||||||||
| High | 4.202 | 4.298 | 4.310 | 4.325 | 4.303 | 4.304 | 20.1 |
1.6 |
19.0 |
|
| Low | 4.304 | 4.421 | 4.696 | 4.889 | 5.086 | 5.286 | ||||
| Czech Koruna (CZK per €) | ||||||||||
| High | 24.65 | 24.73 | 24.56 | 24.00 | 23.66 | 23.56 | 5.0 |
5.5 |
10.8 |
|
| Low | 26.00 | 26.33 | 26.10 | 25.83 | 25.33 | 24.80 | ||||
A portion of the analysis from Foreign Exchange Consensus Forecasts, January 9, 2012