10 Jun 2013
Flash: CHF shifts dramatically towards Yen orbit - BBH
FXstreet.com (Barcelona) - Marc Chandler, Global Head of Currency Strategy at Brown Brothers Harriman notes that while the CHF is widely understood to trade in the euro's orbit, there has been a dramatic shift toward the Japanese yen recently.
He writes, “The 60-day rolling correlation of the return (percentage change) of the Swiss franc and yen stand at almost 0.42. From November through mid-March the two were inversely correlation. Even as recently as mid-April there the correlation was near 0. The euro and franc correlation is higher near 0.87, but has hardly moved since mid-April.”
He writes, “The 60-day rolling correlation of the return (percentage change) of the Swiss franc and yen stand at almost 0.42. From November through mid-March the two were inversely correlation. Even as recently as mid-April there the correlation was near 0. The euro and franc correlation is higher near 0.87, but has hardly moved since mid-April.”