Deutsche Bank-FX Blog What is driving high-frequency FX-115479960

T2se3r0Ot6kwoPaT2se3r0Ot6kwoPaDistributed on: 19/05/2025 10:34:11 GMTDistributed on: 19/05/2025 10:34:11 GMT19 May 2025Deutsche BankResearch Global Foreign Exchange FX Blog Date Main highlights of the High-Frequency monitor:nUS equities continued to be a major factor in short-term FX fluctuations. However, our forward-looking statistical analysis indicates that VIX and copper have become more influential, while emerging market equities and US rates have decreased in importance compared to last week.nThe dynamic where EUR/USD influenced other asset classes, observed in April and early May, has reversed, likely due to the US and China agreeing to suspend tariff increases for 90 days. Now, EUR/USD is the leading currency pair driven by the highest number of other asset classes, closely followed by AUD/USD.nContemporaneously, EUR/USD is also more correlated to copper compared to a week and month ago. Additionally, many other currencies such as AUD/USD, NZD/USD, USD/CAD, XAU/USD, USD/MXN and USD/ZAR have also shown a stronger correlation to copper.nWe also plot minimum spanning trees that identify assets that exert significant influence on multiple assets based on correlation. Our correlation-based MSTs show copper as the biggest contemporaneous influencer of high-frequency moves in FX, followed by US rates and EM equities. On the flip side, bitcoin appears to be most influential for non-FX assets.Figure 1, Figure 3 and Figure 11 look at causality in FX. Figure 1 shows the currencies whose moves can be statistically predicted by other asset classes. Figure 3 ranks the drivers of FX (highest to lowest number of currencies, driven by a given asset). Figure 11 shows the relative importance of each asset in driving a given currency in the recent period. Figure 9 looks at contemporaneous correlations. We show the top-3 correlations between FX pairs and other asset classes. Figure 10 shows intra-FX correlations. We use Granger causality tests to measure causality. All statistics measured at 5-minute frequency. For further details, please see our updated methodology. For a summary of our FX quant tools, please also see DB FX research quant tools.Rohini Grover, Ph.D.Strategist+44-20-75475907Avijit NandyResearch AssociateChristabel CharlesResearch AnalystDeutsche Bank AGIMPORTANT RESEARCH DISCLOSURES AND ANALYST CERTIFICATIONS LOCATED IN APPENDIX 1. UNTIL 19th MARCH 2021 INCOMPLETE DISCLOSURE INFORMATION MAY HAVE BEEN DISPLAYED, PLEASE SEE APPENDIX 1 FOR FURTHER DETAILS.What is driving high-frequency FX?19 May 2025FX BlogPage 2Deutsche Bank AGFigure 1: Significant connections from assets to currencies# of conn. from other assets Assets driving currencies(Over last 4 weeks)(Over last 4 weeks)6M historySince '16EURUSD5EU EQ,US EQ,OIL,COPPER,VIX89%92%AUDUSD4AU EQ,US EQ,COPPER,VIX74%87%USDCAD3CA EQ,US EQ,OIL61%72%NZDUSD3US EQ,COPPER,VIX44%73%USDCHF3US EQ,OIL,COPPER59%67%USDZAR3US EQ,COPPER,VIX89%83%USDSGD3US EQ,COPPER,VIX77%74%USDJPY2US EQ,COPPER54%50