24 Jul 2015
August favours JPY crosses on seasonal patterns - ANZ
FXStreet (Mumbai) - FX Strategists at ANZ noted a strong case in favour of JPY and its crosses, citing strongest seasonal patterns emerge in USD/JPY during the eight month of the year.
Key Quotes:
“Among G10 currencies, the strongest seasonal pattern during the month of August is in USD/JPY, GBP/USD, and AUD/USD.”
“Since 2000, USD/JPY has fallen (ie JPY appreciated) by an average of 1.1% in 10 out of the last 15 years. GBP/USD and AUD/USD have fallen by the same directional frequency for an average spot decline of 0.9%.“
“The most notable seasonal patterns are found in the JPY crosses. In fact, JPY has a tendency to outperform other currencies during August with surprising regularity. “
“Gains range from 1.1% (against CNY) to 2.7% (against INR). The directional frequency has also been strong with the lowest at 60% (ie 9 increases in the last 15 years – against CNY and IDR) and the highest at 87% (ie 13 increases out of 15 – against PHP).”
“The reason for JPY strength in August is due to a rise in Japanese investment income repatriation flows from their offshore debt holdings, principally those issued by the US government. “
“In August this year, interest payments from US government debt will total USD43bn, of which Japanese investors are the second largest foreign holders at 9% of the total.”
“August also happens to be the quietest period in the FX market due to the northern hemisphere summer, which amplifies the flow effect.”
Key Quotes:
“Among G10 currencies, the strongest seasonal pattern during the month of August is in USD/JPY, GBP/USD, and AUD/USD.”
“Since 2000, USD/JPY has fallen (ie JPY appreciated) by an average of 1.1% in 10 out of the last 15 years. GBP/USD and AUD/USD have fallen by the same directional frequency for an average spot decline of 0.9%.“
“The most notable seasonal patterns are found in the JPY crosses. In fact, JPY has a tendency to outperform other currencies during August with surprising regularity. “
“Gains range from 1.1% (against CNY) to 2.7% (against INR). The directional frequency has also been strong with the lowest at 60% (ie 9 increases in the last 15 years – against CNY and IDR) and the highest at 87% (ie 13 increases out of 15 – against PHP).”
“The reason for JPY strength in August is due to a rise in Japanese investment income repatriation flows from their offshore debt holdings, principally those issued by the US government. “
“In August this year, interest payments from US government debt will total USD43bn, of which Japanese investors are the second largest foreign holders at 9% of the total.”
“August also happens to be the quietest period in the FX market due to the northern hemisphere summer, which amplifies the flow effect.”