28 February 2013 Exchange Rate Perspectives Deutsche Bank TI
FX Valuation Monitor: Lines in the Sand (PPM*
Figure 1: The euro is expensive and the dollar Figure 2: The dollar is 12% cheap to fair value
cheap
40 34 85 130 130
33.29
120 120
30
21.65 110 110
20 15.7815.69
11.9 100 100
10 6.60
90
1.50
0 80
[ AUD NZD CHF CAD NOK EUR GBP SEK AP/4 70
-10 y
jl -10.10 60
-20 73 78 79 82 85 88 91 94 97 00 03 08 09 12
t‘9
Figure 3: EUR/USD: The euro is expensive though Figu e 4: USD/JPY: ...The yen is expensive
remains within the 20% threshold ...
1.6 350 350
300 • 300
1.4
250 • 250
1.2
200 200
1.0
160 • 150
0.8
100 100
0.6 0.6 60 • 50
73 77 81 85 89 93 97 01 05 09 13 73 77 81 85 89 93 97 01 05 09 13
Figure 5: USD/GBP: as well as sterling ... Figure 6 USD/CHF: CHF is expensive
C 0.96 38 37
—— 20% 84o4
0.85 r 085
3.3 32
USUCHP
0.76 0.75
A 2$
4/rvis
— PPP USD/CHF 27
0.65 bk. 065
s re 2.3 22
0.55
0.45
i 0.55
0.45
18 17
___• 20% Band
0.35 LISCVG8P 0.35 13 12
PPP L60;GBP
0.25 0.25 0.8 07
73 77 81 85 89 93 97 01 05 09 13 73 77 at 85 89 93 97 01 05 09 13
SOW* e PrAW:ti ions OP Cx Ciesorol
'Our measure of relative PPP is calculated using long-term averages from Jan-80 to Dec-04 and deflating by monthly CPI
differentials. We refer to current spot rates as 'cheap' or 'expensive with explicit reference to this measure of fair valuation;
these statements are not intended in any way to be 'buy' or 'sell' recommendations.
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