Deutsche Bank-FX Blog What is driving high-frequency FX-118501481

T2se3r0Ot6kwoPaT2se3r0Ot6kwoPaDistributed on: 27/10/2025 14:24:49 GMTDistributed on: 27/10/2025 14:24:49 GMT27 October 2025Deutsche BankResearch Global Foreign Exchange FX Blog Date Main highlights of the High-Frequency monitor:nThe influence of other assets on FX has picked up compared to a week ago. While US equities continue to be the primary driver of high-frequency FX movements, VIX has shown a substantially bigger influence compared to last week. At the third position, we have US rates that also showed a moderate pick-up in influence. In contrast, the statistical influence of EM equities has fallen.nAUD/USD is currently the most sensitive currency pair. Its high-frequency movements are driven by Australian, US, and EM equities, along with copper. The pair shows a strong positive correlation with US equities and a negative correlation with VIX.nAmong yen pairs, USD/JPY's movements are driven by US equities, while AUD/JPY is influenced by Australian equities. Over the past three months, historical data indicates that US equities and rates impacted AUD/JPY on approximately 70% of days, with VIX influencing it on about 25% of days.nBitcoin's primary driver is US equities, and it maintains strong correlations with VIX, US, and EM equities. Gold is currently driven by oil and shows good correlation with copper, US, and EM equities.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 is 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?27 October 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 '16AUDUSD4AU EQ,US EQ,COPPER,EM EQ74%87%USDZAR4US EQ,COPP