which indicates that a combination strategy could be
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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
leaving higher yielding shorter bonds. A commodity price
annual carry & roll 30bp; target: 6.35%; stop: 5.25%
we expect a sharp selloff with an eventual recovery.
while the higher yield and lower duration of lower quality and shorter EM
a retreat from the US Treasury’s “strong dollar” policy by the new
flows out of these currencies into USD would
the anchoring of 10Y yields will further weigh on the Yen as
(Chart 13). Our fair value framework indicates that
we see three clear reasons why the market still has to
long USDJPY and short basket of LatAm long bonds. Here