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SEASONAL CURRENCY PATTERNS

In addition to our regular monthly surveys of projections for over 90 currencies we occasionally undertake a special survey on seasonal currency patterns in Foreign Exchange Consensus Forecasts (in April) for the currencies listed below.


G7 & Western Europe Asia Pacific Eastern Europe Latin America Africa
US Dollar Australian Dollar Czech Koruna Chilean Peso South African Rand
Euro Chinese Renminbi Hungarian Forint Colombian Peso  
Japanese Yen Indian Rupee Polish Zloty Mexican Peso  
UK Pound Indonesian Rupiah Israeli Shekel Peruvian New Sol  
Canadian Dollar Malaysian Ringgit Turkish Lira    
Danish Krone New Zealand Dollar      
Norwegian Krone Philippine Peso      
Swedish Krona Singapore Dollar      
Swiss Franc South Korean Won      
  Taiwanese Dollar      
  Thai Baht      

To download a sample issue of Foreign Exchange Consensus Forecasts please click on the button to below or continue reading to learn more about this special survey.


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Like many other economic variables, exchange rates are sometimes thought to be subject to seasonal influences. These could arise from a number of sources, including dependence on industries which are subject to seasonal swings in demand or supply (tourism and agriculture, for example) and financial effects such as the repatriation of overseas earnings ahead of a financial year end. In order to identify such patterns (or not), we have adopted a relatively widely used statistical approach, known as X12 ARIMA (developed by the US Census Bureau), to analyse underlying trends. Examining end month data from January 1997 to December 2016, we calculated X12 ARIMA seasonal factors for 36 of the major currencies we cover, which are shown in the table below. These measure the average deviation of an exchange rate from its trend rate in each month over the past twenty years.

The table and text commentary below represent a small portion of this special survey taken from our April 2017 issue of Foreign Exchange Consensus Forecasts.


SEASONAL CURRENCY VARIATIONS
Average Deviation from Trend (in %, 1997-2016) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
  US Dollar (NYBOT Index) +0.4 +0.4 +0.6 -0.1 +1.0 +0.3 0.0 -0.1 -0.9 -1.0 -0.2 -0.4
  Canadian Dollar -1.1 -1.0 -1.0 +0.6 +0.7 +0.7 +0.2 +0.1 +0.7 +0.3 +0.1 0.0
  Colombian Peso -1.0 -0.5 +1.0 +1.9 +0.7 +1.2 +1.3 +0.5 -1.4 -0.6 -1.5 -1.4
  Euro -0.4 -0.5 -0.3 +0.2 -0.7 -0.5 0.0 -0.2 +1.0 +0.5 +0.2 +0.7
  Polish Zloty* -0.7 -0.2 +0.6 +1.2 +0.1 -0.1 +0.9 -0.2 -1.1 -0.6 -0.1 +0.3
  Swiss Franc* 0.0 +0.1 +0.1 -0.1 0.0 +0.1 -0.3 +0.1 -0.2 -0.2 -0.1 +0.3
  UK Pound -0.5 -0.9 -0.9 +0.3 -0.5 +0.4 +0.6 +0.2 +0.7 +0.7 -0.2 +0.1

*Analysis refers to exchange rate against the euro

Our long-term historical analysis continues to suggest that seasonal influences on currencies are generally modest, particularly once adjustments are made to account for outlying observations. On average, of the 36 major currencies covered in the table below, almost all deviated from trend within a narrow range of plus or minus 1.0%. Estimates for the US dollar (based on NYBOT index weights, as explained on page 3) suggest that it has a slight tendency toward strength in the first half of the calendar year, except April, and weakness in September and October. In contrast, the euro (or its component currencies prior to 1999, which has a significant weight in the NYBOT index) showed the opposite pattern over the same period.

A portion of text from Foreign Exchange Consensus Forecasts, April 10, 2017.