Deutsche Bank-FX Blog What is driving high-frequency FX-116836679

T2se3r0Ot6kwoPaT2se3r0Ot6kwoPaDistributed on: 28/07/2025 12:24:09 GMTDistributed on: 28/07/2025 12:24:09 GMT28 July 2025Deutsche BankResearch Global Foreign Exchange FX Blog Date Main highlights of the High-Frequency monitor:nAs the August 1st trade deadline nears, US equities have surged to the forefront as the primary driver of high-frequency FX fluctuations. Our statistical analysis places copper second in influence, followed by US rates.nUSD/CNH has emerged as a leading currency pair, most influenced by other asset classes, followed by AUD/JPY. US equities, US rates, Copper and EM equities, are now driving the high-frequency movements in USD/CNH. For AUD/JPY, both US equities and rates are driving over 80% on its movements in the past three months.nNZD/USD, AUD/USD and gold maintain a strong positive correlation with copper. Meanwhile, US rates are positively correlated with USD/JPY but negatively correlated with the antipodeans and EUR/USD, highlighting the influence of US monetary policy on these currency pairs.nUS equities and rates are the primary drivers of Bitcoin. Contemporaneously, Bitcoin's strongest correlations are with US equities, EM equities, and the VIX.nWe also plot minimum spanning trees that identify assets that exert significant influence on multiple assets based on correlation. Based on our correlation-based Minimum Spanning Trees (MSTs), EM equities continues to be the primary contemporaneous driver of high-frequency FX movements.Figure 1, Figure 3 and Figure 13 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 13 shows the relative importance of each asset in driving a given currency in the recent period. Figure 11 looks at contemporaneous correlations. We show the top 3 correlations between FX pairs and other asset classes. Figure 12 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+44-20-75475907Christabel 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?28 July 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 '16USDCNH4US EQ,US RATE,COPPER,EM EQ85%93%AUDJPY4AU EQ,US EQ,US RATE,VIX47%47%EURUSD3US EQ,COPPER,EM EQ47%64%USDZAR3US EQ,US RATE,COPPER81%83%EURNOK3EU EQ,EU RATE,OIL22%65%EURCHF3SZ EQ,EU EQ,EU RATE49%73%NZDUSD