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CURRENCY TRADING RANGES

In addition to our regular monthly surveys of projections for over 90 currencies we also undertake a special survey of currency trading ranges in Foreign Exchange Consensus Forecasts (in January) for the currencies listed below.

G7 Asia Pacific Eastern Europe Latin America Africa
US Dollar Australian Dollar Russian Rouble Argentinian peso South African rand
Euro Chinese Renminbi Hungarian Forint Brazilian Real  
Japanese Yen New Zealand dollar Polish Zloty Mexican Peso  
UK Pound South Korean Won Turkish Lira    
Canadian Dollar Indian Rupee      

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All forex market participants recognize that currencies tend to fluctuate within trading ranges rather than moving smoothly from one level to another over time. Moreover, different currencies exhibit differing degrees of volatility. As a result, as well as their point forecasts for individual currencies, this month we also asked our panellists for their predictions of the likely ranges within which they expect a number of currencies (shown below) to trade over the coming year. More precisely, our panellists are asked to provide their estimates of the quarterly ranges within which a number of major currencies are likely to trade over the next five quarters. The table below represents a small portion of this special survey taken from our January 2017 issue of Foreign Exchange Consensus Forecasts.

Currency Trading Ranges
Exchange Rate vs US Dollar  Actual --------------Consensus Forecasts--------------   Q1 '18 Forecast Range (as % of central forecast) Historical Volatility Implied Volatility
Q4 '16 Q1 '17 Q2 '17 Q3 '17 Q4 '17 Q1 '18 % %
Euro
(US$ per euro)
 
 High 1.127 1.100 1.070 1.070 1.089 1.099
13.3
8.9
10.6
 Low 1.033 0.990 0.950 0.950 0.950 0.960
Japanese Yen  
 High 101.1 108.5 109.0 108.0 107.0 107.0
11.2
12.8
12.2
 Low 119.2 120.5 122.0 121.0 120.0 120.0
Australian Dollar
(US$ per A$)
 
 High 0.776 0.770 0.780 0.770 0.770 0.770
15.3
11.6
12.1
 Low 0.714 0.670 0.670 0.670 0.660 0.660
Argentinian Peso  
 High 14.94 15.51 15.96 16.42 16.89 17.32
19.2
14.3
22.0
 Low 16.15 16.78 17.73 18.74 19.80 20.78
Polish Zloty (PLN per )  
 High 4.253 4.350 4.350 4.300 4.300 4.250
5.8
6.8
7.8
 Low 4.521 4.480 4.518 4.514 4.523 4.502

A portion of the analysis from Foreign Exchange Consensus Forecasts, January 9, 2017.