The Foreign Exchange Market 2009

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1、XXXXXFXAnnualCover2009_Gra24309_FXAnnualCove#781.qxd22/10/200909:31Page1迅嘉机构内参-http://www.123678.netTheForeignExchangeMarket2009LAUNNAnGSDEERre-estimationandequityinvestmentsnExtendedBBoPandrealTWIanalysisnRobustnessofcross-assetproxybasketsnPortfoliosofmacro-thematicFXCurrentsbasketsnO

2、utputgapsandgrowthdifferentiationinFXmarketsGoldmanSachsGlobalEconomics,CommoditiesandStrategyResearchTheForeignExchangeMarketTheForeignExchangeMarketOctober2009IntroductionandSummary11.GSDEER—Re-EstimationandTest-BasedAdjustment2ThomasStolper,AnnaStupnytskaandMalachyMeechan2.UsingGSDEE

3、RtoTradeEquities14DominicWilsonandRomanMaranets3.MeasuringGlobalOutputGapDispersionasaGuideforRelativeGrowthStrategies18MarkTan4.TheBenefitsofInvestinginPortfoliosofFXCurrents22ThemistoklisFiotakis5.UpdatingourTrade-WeightedExchangeRatesandLookingattheRealTWIs27FionaLake,RomanMaranetsan

4、dSwarnaliAhmed6.EmpiricalLinksBetweentheMajorCurrenciesandtheirBBoPFlows32FionaLakeandThomasStolper7.Over-fittinginCross-AssetProxyBaskets37ThomasStolper8.FXVolatilityStillLooksExpensiveRelativetoCyclicalFactors48ThemistoklisFiotakisOctober2009GoldmanSachsGlobalEconomics,CommoditiesandS

5、trategyResearchTheForeignExchangeMarketIntroductionandSummaryWelcometothe13theditionofTheForeignExchangeMarket.Asusual,thebookisdesignedtosupplementourongoingFXandfinancialmarketresearch.InthisissuewehaveonceagaincombineddeeperworkonsomeofourexistingtoolkitwithnewresearchintotheFXmarket

6、.ChapterOnere-estimatesourflagshipGSDEER‘fairvalue’model,incorporatingtheadditionaldatapublishedsincethelastupdatenearlytwoyearsago.Theframeworkremainsbroadlythesamebuttheestimatedcoefficientschangeslightly.Wealsointroduceanewtest-basedadjustmentproceduretocorrectbiasesinthelevelofsomeo

7、four‘fairvalue’estimates.ChapterTwopresentsaninnovativeuseofGSDEERFXvaluationsignalstotradeequitymarkets.Thebasicideaisthattherealappreciationofundervaluedcurrencieswilloccurthroughnominalappreciationand/orrisingpricesingoodsandassetmarkets.FXunhedgedexposuretoequitymarketswith