G7 currency volatility as measured by the JP Morgan index has fallen to level not seen since 2007. This should be good for carry trades, bu the performance has been mixed given the low overall rates and the small interest differentials. In spite of all of the macro events across the G7, volatility has not leaped except for the May-June period. Central banks have been active in many currencies. Perhaps not directly, bu the controlled monetary conditions have reduced the ability for currencies to find a wider range.
"Disciplined Systematic Global Macro Views" focuses on current economic and finance issues, changes in market structure and the hedge fund industry as well as how to be a better decision-maker in the global macro investment space.
Tuesday, September 25, 2012
Where is the currency volatility?
G7 currency volatility as measured by the JP Morgan index has fallen to level not seen since 2007. This should be good for carry trades, bu the performance has been mixed given the low overall rates and the small interest differentials. In spite of all of the macro events across the G7, volatility has not leaped except for the May-June period. Central banks have been active in many currencies. Perhaps not directly, bu the controlled monetary conditions have reduced the ability for currencies to find a wider range.
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