26 September 2015
26 September 2015
FX Forecasts and Valuations: Don't throw in the towel
FX Behavioral and Fundamental Equilibrium Exchange Rates (BEER and FEER)'
'Figure 1: USD-cross BEER and FEER valuations. TVVI PPP valuations
30
19 20
in10 7 7 13
8 10
1°1133
0 .••• 241
4
0
-10 - • -5 -8 -8 -$ -10
-20
-30 , ■ BEER
-40 • FEER
•REER vs 10y average
O 26 • ■ 21 26
10 14
-24 -25 -25 -26 -26.27 -28 -28 -29 -31
9 n a. a cc Fa oki2E5B 04T 2Fcz>- "E
SOUP.' DI FX Romeo% Oseeenem, licanbey Nwwwel LI 47 47 49 -39 13
cel 2 c%> = z a E 6 22 19
15
-42
co a. 0 >- cc u
[Figure 2. EURIUSD is cheap vs. BEER FV
1.8 1
1.6 I
1.4
1.2
1.0 •
0.8
0.6 I
80 83 86 89 92 95 98 01 04 07 10 1.3 15 EUR BEER Fair Value
—Spot
Sant DO FXSisiven
Page 16 Figure 3: USDIJPY is above fair value vs. BEER FV
M.0' in BEER Fair Value
250.0
200.0
150.0 •
1000 —Spot
50.0
80 83 86 89 92 95 98 01 04 07 10 13 15
..... Sown FX Anal
Deutsche Bank Securities Inc.
CONFIDENTIAL - PURSUANT TO FED R CRIA1 P. 6(e) DB-SDNY-0118614
CONFIDENTIAL SDNY_GM_00264798
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