26 September 2015
FX Forecasts and Valuations: Don't throw in the towel
z
G10 FX Valuation Monitor
Figure 4: The dollar is expensive and the euro modestly Figure 5: The dollar is above fair value now
cheap
30
I% Over/undervalued) 130 1 —USDTWI 130
178
20 142
11 120 PPP USDTWI 120
84 83
10 - - —20% Rena
110 i te.•\ eft- • .....,__,_ 110
0 ..•
100 100
•10 .4 3 Nt
-7.1 93 lei iv 90
-20 4Aa
--...,.., 90
-30 -25.0 -25.7 •••
70 70
-40
60 • 60
CHF NW GBP 1)50 AUD EUR CAD NOK SEK JPY
73 76 79 82 85 88 91 94 97 00 03 06 09 12 15
Sant Oteeserare.OSeen Sower DO FX Mown*, Osserent. AboeiborpMeow
rFigure 6: EUR/USD: The euro has reverted to its fair value !Figure 7: USD/JPY: The yen is about 27% cheap to its fair
!value
—EURILISD - - - 20% Band 350 , 350
1.6 PPP EURAJSD 1.6
— — — 20% Bend
303 i ; 380
1.4 - 1.4 USDIJPY
250 r 250
PPP USOMPY
1.2 - 1.2
/ 200 200
1.0 - - 1.0
......•••••-•-•-[ 150 ,r 150
0.8 0.8
103 -11, 100
0.6 0.6
73 77 81 85 89 93 97 01 05 09 13 50
7'3 77 81 85 89 93 97 01 06 09 13
Jan Deixarea Omornsin Aue DB Paraseete Daterreant
Page 12 Deutsche Bank Securities Inc.
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