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short BRL/MXN as US policies may hurt EM less than feared.

FX & EM 2017 Year Ahead | 16 November 2016

the USD/JPY has stopped falling during Tokyo

buy 10y vs OIS: fade the impressive richening of shortmaturity

high correlation between breakeven and BRL

inflation expectations have risen but the rise in real yields has also

then it is quite possible that we will get the

there is a global component to inflation and if the US is driving that

FX & EM 2017 Year Ahead | 16 November 2016

although we did not take that route. No out-of-sample tests were performed.

which indicates that a combination strategy could be

a measure that looks at the fit of the regression (the r-squared) but that

although those models are more difficult to interpret.

or confidence indicators). Further research can be done to use

we already have a big-data leading indicator

and the CLI in turn anticipates growth by three months.

as we use a dynamic forecasting regression with lags of consumer and business

it is constructed explicitly to anticipate the

rates and stocks. One transmission channel is

FX & EM 2017 Year Ahead | 16 November 2016