巴黎银行-全球-金融市场-基本均衡汇率，长期货币估值

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1、www.GlobalMarkets.bnpparibas.comPleaserefertoimportantinformationattheendofthereportandMARdisclosure.BNPParibasFEER–Long-termvaluationBNPParibasFEERisourgaugeoflong-termcurrencyvaluationbasedonlong-termeconomicfundamentals.FEERstandsforFundamentalEquilibriumExchange

2、Rateandistheexchangeratethatcorrespondswithaneconomyoperatingwithaninternalbalance(ienooutputgapandunemploymentrateinlinewithitsNAIRU)andanexternalbalance(iethecurrentaccountbalanceatasustainablelevel).Theeconomicvariablesthatcauseacurrency’sFEERtochangeovertimeare:(1)inflat

3、ion,(2)productivitychanges,(3)trendsinthetermsoftrade(iethepriceofimportsandexportswhichismainlydrivenbycommodityprices)and(4)aneconomy’sholdingsofnetforeignassets(NFA).OverthepastyearthesizeoftheUSD’sovervaluationhasnarrowedto13%onatrade-weightedbasisaccordingtoFEER.TheUSDi

4、s‘rich’by9%againsttheEUR(EURUSDFEERis1.34),32%againsttheJPY(USDJPYFEERis80.7)and14%againsttheGBP(GBPUSDFEERis1.58).Inthecommoditybloc,theAUDandNZDarecheapvstheUSDby5%and9%respectively,whiletheCADappearsslightlyrichvstheUSD.TheSEKandNOKcontinuetoappearcheapvstheEUR,whiletheCH

5、Flooksexpensive.Chart1:BNPParibasFEER,currentvalues*Chart2:EURUSDhasstartedtoconvergetowardsitsFEER%SpotFEERdeviation1.45EURUSD1.22651.34-8.7%GBPUSD1.37781.58-13.6%1.25USDJPY110.6080.731.5%USDCAD1.24321.28-3.2%AUDUSD0.79470.83-4.6%1.05NZDUSD0.72880.80-8.9%EURCHF1.17981.35-13.

6、7%0.85USDCHF0.96191.01-5.1%OECD"Synthetic"EURpriorto1999EURSEK9.82917.6924.6%0.65EURNOK9.66518.3215.0%19801985199019952000200520102015EURGBP0.89020.854.9%BNPParibasFEEREURUSDSource:BNPParibas;dataasof15January2017Source:BNPParibas2BNPParibasFEER-KeyresultsChart1:Trade-weighte

7、dUSDChart2:G10currencyvaluations10%Under(-ve)/Over(+ve)valuationsvs.USDaccordingtoBNPParibasFEER5%1.200%-5%1.00-10%-15%-20%0.80-25%-30%0.60-35%19821987199219972002200720122017-40%BNPParibasFEERUSDG10Trade-WeightedIndex*SEKJPYNOKEURGBPNZDAUDCADCHFSource:BNPParibasChart3:UScurr

8、entaccountbalanceisclosetosustainablelevelSource:BNPParibas*Dataasof