20150724 - Exchange Market with Commodity

Source: Investing.com

            It was all about Manufacturing PMI today. Manufacturing PMI indicates China’s slow economic growth. HSBC Manufacturing PMI decline to 48.2, below forecast of 49.7 and 49.4 last month, lowest in 15 months. It suggests China struggles to push back to previous economic growth. China’s Q2 annual growth rate was 7%, which is the lowest since the financial crisis in 2008. Investment takes about 47% of China’s GDP. Along with volatile Chinese stock market, slowing in manufacturing sector can harm China’s growth, so as demand of commodities.

            German PMI also declined to 51.5, below forecast of 51.9 and 51.9 last month. Germany has the largest manufacturing industry in Europe. This slow in manufacturing sector suggests slow in German economy, but 51.5 is still above 50, which means that manufacturing sector is likely to expand.

            Japanese PMI rose to 51.4 from 50.1 last month, exceeding forecast of 50.5. Recently the Bank of Japan mentioned that it may implement another stimulus in financial market to maintain low exchange rate. Japanese exports in June rose to 9.5% from 2.4% last month, yet below forecast of 10.0% on Wednesday. Japanese firms enjoy weak yen, and it is likely the Japanese government likes to maintain it to succeed it third arrow of Abenomics: structural reform.

Source: Investing.com

            EUR and GBP stay almost unchanged today. Despite German Manufacturing PMI suggested slower economic growth. It dragged EUR and GBP after the market open, but sudden drop in U.S. New Home Sales to 428,000 from 517,000 last month, below forecast of 546,000, limits the drop as U.S. interest issue eased.

Source: Investing.com

            It is declined by 6.8% from last month. Housing market takes the largest portion of the private consumption. Sluggish housing market may postpone increase in U.S. interest rate that might be raised in September.

Source: Investing.com

            AUD weakens against USD as China’s Manufacturing PMI falls, hitting the 6-year low. Slowing Chinese growth means less demand for commodities like iron ore, which is one of the Australia’s major exports. Along with recent strong USD, fall in commodity prices such as oil hurt commodity-related currencies like Australian and Canadian dollar. On Tuesday, the Reserve Bank of Australia indicated that it will encourage weaken AUD, which suggests further decline in its interest rate.

            Low demand of commodities caused by slow economic growth in China and Europe weakens AUD, and it is likely to decline further if the economy gains back its pace. Monetary stimulus is like a Band-Aid that temporarily covers a problem. A fundamental issue has to be resolved to recover its economic condition.

Source: Investing.com

            JPY strengths by 0.12%. Yet its strength is limited as the BOJ implements additional stimulus to maintain current level of yen to encourage exports and structural reform. The BOJ’s target inflation is 2.0%, which is far above current inflation rate of 0.4%. The BOJ expects to meet the target in the first half of 2016. Weak yen increases import price, which helps to boost inflation rate. But it can hurt its economy without better labor market condition. Japan total cash earnings rose by 0.6% in May.

Source: CNBC.com

            Crude oil declines as demand issue rose from weak manufacturing PMI reports in China and Germany. OPEC already said that it won’t take any action even if oil price falls below $50 as long as it stays for a short term. Yet the OPEC may step inside if low price stays for long; it may cut its supply.

20150723 - Exchange Market with Commodity

Source: CNBC.com

          Crude Oil dragged down today by positive U.S. economic outlook. Jobless claim drops to 41-1/2-year low, the lowest level since November 1973. It brought back interest rate issue that it might be increased in September, which is sooner than what majority expected.

Source: CNBC.com

           Both crude oil and Gold stay almost unchanged as most of oversupply issues have been resolved. On Tuesday, Goldman Sachs released report that gold price can fall below $1,000 per ounce first time since 2009. Strong USD from U.S. interest rate hike and increase in bond yield shift safe-haven from gold to USD and treasury bonds.

Source: Investing.com

            The Fed has said that it will keep eyes on wage and personal consumption expenditure. Yet recent economic indicators proposed stable economic growth. Existing Home Sales released as 5.49 million, exceeds forecast of 5.40 million. Improvements in both housing market and labor market may boost interest rate hike sooner.

Source: Yahoo Finance

             Both EUR and GBP show volatile movement today. USD is depreciated by 0.55% against EUR. EUR strengths as Greek parliament passed second package of reform. Hours after the package was approved, Greece’s most influential think tank warned a sharp drop back into recession. It eased Greek debt crisis as the Greek government is more likely accept proposals that international lenders offered. The strength was limited as positive U.S. economic indicators released.

Source: Investing.com

             GBP is weakened as U.K. retail sales dropped by 0.2%, far below forecast of 0.3% increment from last month. It eased fear that BOE might increase interest rate in anytime soon. With positive U.S. economic outlook, GBP weakens wider.

Source: Yahoo Finance

             USD weakens by 0.14% against JPY. The International Monetary Fund said today that Japan’s debt is unsustainable and could climb to almost three times the size of economy by 2030 unless the government does more to cut its budget. It also said that the Bank of Japan should stand ready to increase monetary stimulus further and provide stronger guidance to markets to meet the BOJ’s inflation target of 2.0%. Yet the IMF also warns that authorities should continue with bold structural reforms and credible fiscal consolidation to avoid over-reliance on weak yen.

Source: Yahoo Finance

            AUD shows volatile movement. The Reserve Bank of Australia said on the monetary policy meeting on Tuesday that further depreciation seemed likely and necessary. It looks like some market participants try to take arbitrage opportunities.

            NZD weakens as the Reserve Bank of New Zealand decreased its interest rate from 3.25% to 3.00%. Yet the weakness is limited as positive U.S. economic outlook released in the middle of the market.

20150722 - Exchange Market with Commodity

Source: CNBC.com

            Crude oil declined by 1.83% today; fall below $50, which is the lowest after the financial crisis. This plunging is caused by higher-than-expected U.S. crude oil inventories, worry of oversupply from Iran nuclear deal, and today’s interviews from the OPEC delegates. The OPEC delegates see oil drop as short-term, and expect stronger demand in a long term.

            One of the Gulf delegates said that even if prices fell slightly below $50 a barrel, as long as the drop is for a short time, it is unlikely the OPEC would lower its output ceiling. Despite efforts of the OPEC members, Saudi Arabia is likely to maintain low oil prices to beat the U.S. shale oil industry.

Source: Investing.com

            U.S. crude oil inventory released as 2.468 million barrels, far greater than -2.258 million barrels of forecasts. It was -4.346 million barrels last week. Hike in inventories led to fear of oversupply and slow in economy that drag the oil price down.

Source: CNBC.com

            Gold declined by 1.25% today. Demand issue and strong USD dropped the price. Market participants tend to move to safer assets like U.S. treasury bills.

Source: Yahoo Finance

            USD appreciated by 0.44% against EUR after 0.97% deprecation yesterday. Last night, EUR strengths as Greece debt crisis eased; S&P upgrades Greece’s credit rating by two levels from “CCC-“ to “CCC+”. Increase in German government bond also boosts EUR strength; it increased by 1.69bp last night. On the other hand, decline in oil price caused by oversupply and interviews from OPEC delegates lead to strength in USD against EUR today.

            It is also depreciated by 0.41% against GBP after Bank of England released Monetary Policy Conference meeting minutes. Interest rate in England decided to stay at 0.5%. Yet the meeting ended on July 8^th when European lenders still faced conflicts with the Greece debt crisis. Major concern of the MPC was that increase in interest rate at July would halt Europe’s economic growth. The minute also said that “Overall, committee members agreed that the domestic economy had continued to strengthen over the past year, that the margin of spare capacity had continued to shrink, and that domestic cost pressures had increased.”

            However, the minute showed that at least one of the MPC’s nine members will be favor to increase interest rate in August. As the Greece debt crisis eases down, it is more likely to increase the rate, which is reflected in the market today after the minute was released.

                                                     Source: Yahoo Finance

              AUD depreciates as USD gets stronger and commodity prices fall down. Like what RBA said yesterday, the RBA believes that AUD needs depreciation further. Yesterday’s sudden strength was caused by arbitrage opportunity between market participants and the RBA. AUD bounces back to yesterday’s level; it is weaken by 0.62% today.

20150721 - Exchange Market with Commodity

Source: CNBC.com

Gold dropped by 0.3% on Tuesday; it is about 4.6% for 5 days. Sellers dumped an estimated 33 tons in just two minutes, which caused sudden 2.6% dropped on Monday. Emerging of increase in U.S. interest rates drags down gold price.

Chinese government revealed its gold reserves first time after 2009, far less than the market had estimated. The Chinese central bank said its gold reserves were 1,658 tons as of the end of June. The reserves were 1,054 tons in April 2009. This 60% increment, which is below market estimation, suggests that demand is not as strong as what they’ve expected.

Source: CNBC.com

Crude oil gained 1.16% on Tuesday. It shows a steady movement despite U.S. – Iran nuclear deal set up. Downfall is restricted as potential political conflicts still exists. Many experts say that the sanctions won’t be lifted at least six months; possibly a year. Yet geopolitical issue has been eased, which led to 1.45% drop on Monday. Today’s increment is a bounce back from Monday.

Source: Yahoo Finance

Source: Yahoo Finance

USD is depreciated by 0.46% on July 21^st while appreciated by 1.25% on 5-day basis. While there was a lack of significant economic event today, market participants keep eyes on U.S. interest hike and market stimulus from the Chinese government as the Greek issue eases.

            On Tuesday, the Greek government submitted legislation to parliament required by its international lenders to start talks on multi-billion euro rescue package. Yet it is still questionable whether the government bill can be passed. According to the Reuters, Tsipas has 123 seats out of 300 to support the bill. It means that he is likely to need support from oppositions.

Source: Yahoo Finance

           Austrian dollar (AUD) strengths by 0.97% after the Reserve Bank of Australia (RBA) monetary policy meeting minutes released on Tuesday. It states that “commodity prices had fallen… members noted that exchange rate… that further depreciation seemed both likely and necessary.” Market participants expect the RBA to depreciate AUD in future, so they long it today.

            The minute today states that consumption gets little stronger in the U.S., somewhat weaker in China, and Japan remained well below that seen prior to the increase in the consumption tax in 2014. It also states that growth in industrial production across a number of Asian economies had slowed a little bit. The euro area will continue recent trend of improved conditions, but investment is still well below the levels seen prior to the global financial crisis.

            Investment in both the mining and non-mining sectors fall in 1^st quarter. Profits for non-mining firms increased by 6% YoY. Resource exports, including iron ore and coal, had declined in 2^nd quarter. Coal exports had been affected by the several storms.

            The RBA considers that global economic conditions would remain consistent around average. Global financial conditions would remain accommodative even after increase in U.S. interest rates. Yet volatility in Chinese equity markets and issues in Greece require close monitoring. Domestically, it states that its output growth remained below average in 1^st quarter despite very low interest rates supported strong growth in dwelling investment and strong house prices and consumption.

Source: Yahoo Finance

              

            Japanese Yen appreciated 0.36% on Tuesday. It is after reaching peak at 124.1360 on Monday, which is the highest after one-year peak on June 8^th. Today’s strength is likely due to positive comments from the RBA. It states that indicators pointing to modest output growth in Japan on the second quarter. Labor market continuously improves in both wage and unemployment perspectives, which will lead to higher core inflation over time. Yet policy reform needs to address some long-term structural challenges like ageing of the population.

화폐의 상대적인 가치 - Update

       환율의 상대적인 가치를 비교하기 위해서 International Fisher Relation 이론을 많이 사용합니다. 이 이론에서 나아가면 물가상승률이나 이자율에 따라 환율이 결정된다는 이 이론은 미래의 환율과 현재 환율의 비율은, 상대 국가의 이자율과 자국의 이자율의 비율과 같다는데 기초합니다. 근래에 한국은행이 기준금리를 1.75%에서 1.50%로 낮추는데 이유중 하나가, 엔화가 상대적으로 저평가 되어 우리나라의 수출 증가율이 점차적으로 떨어지고 있기 때문입니다.

       하지만 원화가 엔화보다 상대적으로 절상평가되는 것이 어제 오늘의 일은 아닙니다. 2000년 10월부터2015년 1월까지 4년 3개월 (171개월) 동안, 한달 평균 엔화는 원화대비 154개월 절하평가 되었습니다. 또한 엔화는 달러화대비 환율이145개월 절상평가 받으며 엔화의 고평가가 유난히 심했다고 볼 수 있습니다. 따라서 지금 현재 중요한 것은 원화가치가 과거보다 얼마만큼 절상평가 되어 있는지가 중요하다 할 수 있습니다.

출처 : FRED

출처 : FRED

이 기간동안 월평균 엔화대비 원화는 3.67% 절상평가 되었으며, 달러화는 2.29% 절상평가 되었습니다. 이 수치는 어느 금리를 기준으로 잡았는지에 따라 달라질 수 있습니다. 하지만 우리가 알 수 있는것은 원화는 꾸준히 절상평가 되고 있으며, 아베노믹스가 장기적으로 지속될 경우 원화는 더욱 절상평가 되어 수출에 악영향을 미칠 수 있다는 것입니다. 하지만 구로다 일본은행 총재의 발언에 따르면 엔저가 그리 오래 지속될 것 같지는 않아, 조만간 원화가 ‘정상적’ 으로 절상평가 될 것 같습니다.

엔화가 절상평가 되고 있는 이유는 간단합니다. ‘엔 케리 (Yen Carry)’ 로 인해 엔화가치가 피셔이론이 적용되지 않는 것입니다. 즉, 공급되는 엔화의 양 보다 수요가 많아서 절상평가가 되었던 것 입니다. 약 6년동안 월 평균 엔화가 저평가 되었던 적은 29번 있었는데, 그 중 14번이 지난 29개월간 있었던 것을 보면, 일본 양적완화로 인해 수요-공급 관계가 밸런스를 찾고 있다고 볼 수 있습니다.

한가지 재밌는 사실은 원화와 달러화의 상대가치는 거의 일정합니다.

출처 : FRED

이 기간동안 원화는 달러화대비128차례 절상평가 되고 44차례 절하평가 되었으며, 평균 약 1.06% 절상평가 된 것으로 나타났습니다. 하지만 이는 금융위기 전과는 다르게, 최근 작년 7월부터 원화는 줄곧 절하평가를 받아 온 것으로 나타났습니다. 즉, 금융위기 이후 저유가와 유럽 금융위기, 미국 기준금리 인상 등의 이슈로 인해 달러가치가 급등하면서, 원화가치가 낮아지고 있다는 것을 볼 수 있습니다.

그렇다면 외환당국의 개입이 상대적으로 적은 유로/달러 시장은 어땠는지 보겠습니다.

출처 : FRED

         그래프에서 보시는것과 같이 상당히 변동폭이 심한 것을 알 수 있습니다. 달러화는 이 기간동안 74차례 절상평가 되었으며 98차례 절하평가 되었습니다. 재밌는 사실은 평균 0.36% 절하평가 된 것으로 나타났는데, 이는 변동성이 큰 시장을 이용해 차익실현의 기회를 보는 경우가 많았기 때문입니다.

한국 외환시장의 여러 대외요건에 많이 흔들리는 경향을 보이고 있습니다. 올해 말로 예상되고 있는 미국 기준금리 인상과 일본의 추가 양적완화 여부, 중국 경제성장, 그렉시트, 푸에토리코 디폴트 가능성 등 여러 이슈가 놓여 있습니다. 기준금리 인상과 일본의 추가 양적완화가 이루어 진다면 달러강세가 더 쎄지면서 한국의 수출전선에 더욱 큰 부담이 될 것으로 예상됩니다. 중국의 경제 성장은 점점 더 더뎌가는 가운데, 중국 정부에서 각종 부양책을 쏟으며 어떻게든 경제성장율을 지키려 애를 쓰고 있는 가운데, 향후 어떠한 부양책이 더 나올지가 관건이 될 것 같습니다.

수출 시장을보면, 원화는 지속해서 엔화보다 절상평가를 보이고 있습니다. 하지만 금융위기 전에는 원화가 약 4.12% 절상평가를 받았는데 반해, 금융위기 이후 3.14% 절상평가를 받았습니다. 즉 금융위기 전, 2000년대 초반에는 이보다 더 나쁜 외환 환경에서 수출을 했었다는 뜻 입니다. 물론 기간에 상관없이 원화가 절상평가 되어 있어 일본보다 수출하기 나쁜 환경이라 볼 수 있겠지만, 최근 들어 이 환경이 더 악화되었다고는 보기 어렵습니다.