数据可视化FX Markets Move on Surprise News
对于每个事件, 查看事件的时间轴, how the exchange rate was impacted over time, total net flows across all investors, and cumulative net flows by investor sector.
瑞士国家银行
汇率重新定价
开始, we show how the 欧元/CHF exchange rate repriced on the event day as well as individual events that occurred over the course of the day. On 1月15日, 2015, at 9:30 a.m., the SNB abandoned the floor entirely via a surprise press release, rather than gradually or at a scheduled policy meeting. The announcement shocked the market—欧元/ CHF moved from 1.201 to 0.895 (25.5 percent) over the next 24 minutes before retracing half of the initial move to settle at 1.053 (12.3%) at the end of the London trading day. This was the largest one-day move in 欧元/CHF in the last 20 years, nearly 27 standard deviations above the average.
Total Net Flows (Risk Transferred) by Institutional Investors
下一个, we show the evolution of the exchange rate alongside aggregated (over three-minute intervals) net flows for all institutional investors during the 24-hour event period. 从这个, we can see that while the amount of risk transferred during the period of sharp exchange rate repricing was large, it was not completely unprecedented relative to risk transferred during the more stable period that followed. Therefore, net flows alone cannot account for the sharp exchange rate changes. The direction of overall net flows during the repricing period was consistent with the prevailing changes in the FX rate—in the three minutes following the SNB press release, we see buying of nearly $1 billion scaled CHF against other currencies. The large purchases of CHF during this three-minute period coincide with a 2.5 percent appreciation of CHF vs. 欧元. The surprise nature of the SNB announcement did not allow for pre-event position adjustments and could account for the buying of CHF immediately after the news broke.
Cumulative Net Flows by Investor Sector during the Pre-Event Period
Zooming in to the pre-event period (the hours preceding the SNB announcement), we now show cumulative net flows (relative to the start of the period) for each of the six investor sectors alongside the exchange rate. 瑞士央行的活动, we see that there was little activity from any of the investor sectors. This may be attributable to the time of day (in GMT time), the presence of the 欧元/CHF exchange rate floor during this time, and/or the surprise nature of the announcement.
Cumulative Net Flows by Investor Sector during the Repricing Period
下一个, we show cumulative net flows by investor sector for the repricing period, which covers the time interval immediately after the SNB announcement when 欧元/CHF fell sharply. 在这里, we see that the net flows during the 24-minute repricing period following the surprise announcement from the SNB indicate that net risk transferred was largely one way—all investor sectors were either buying CHF or absent. Net flows were consistent with the move in exchange rates—欧元/CHF dropped from 1.201 to 0.同期增加了895人. After a large initial purchase of CHF, banks made some small sales, but on net were buyers of CHF over the full repricing period. Less-active investors were largely absent during the repricing period. Because all of the active investor sectors were on net buying CHF as it appreciated, market makers were left as the only market participants selling CHF during this critical stage, and while we don't measure the connection directly, this may have amplified the move in 欧元/CHF during the SNB repricing period..
Cumulative Net Flows by Investor Sector during the Stabilization Period
Finally, we show cumulative net flows by investor sector the stabilization period. 瑞士央行的活动, cumulative net flows during the stabilization period were mixed across investor sectors—there were both buyers and sellers of CHF and all investor sectors participated. This is in stark contrast to the SNB repricing period, during which there were only buyers of CHF and net flows were dominated by banks and hedge funds.
重要事件
第一个, we show how the GBP/USD exchange rate repriced on the two event days as well as the individual headlines that occurred as the event unfolded. When the polls closed at 9 p.m. 格林尼治时间，英镑兑美元在1附近.488. As referendum results came in and it became evident that “Leave” would win, GBP depreciated sharply. About an hour after ITV (3:37 GMT) and BBC (3:41 GMT) both called the referendum for Leave, 英镑兑美元达到1.324，损失11.0%. The unanticipated “Leave” result led to the largest one-day move in GBP/USD in the last 20 years, 14 standard deviations above the average.
Total Net Flows (Risk Transferred) by Institutional Investors
下一个, we show the evolution of the exchange rate alongside aggregated (over 15-minute intervals) net flows for all institutional investors during the 48-hour event period. While the amount of risk transferred during the period of sharp exchange rate repricing was large, it was not completely unprecedented relative to risk transferred during the more stable period that followed. Therefore, net flows alone cannot account for the sharp exchange rate changes. Net flows during the repricing period were relatively mixed—initially, 我们看到英镑出现抛售, but once GBP/USD falls below 1.40, net flows reverse and turn to buying of GBP.
Cumulative Net Flows by Investor Sector during the Pre-Event Period
Zooming in to the pre-event period, we now show cumulative net flows (relative to the start of the period) for each investor sector alongside the exchange rate. 对于Brexit, risk transferred was mixed across the investor sectors with some sectors buying and other sectors selling GBP during the day of the referendum (6月23日, 2016) and as polls were closing and results first started coming out.
Cumulative Net Flows by Investor Sector during the Repricing Period
下一个, we show cumulative net flows by investor sector for the repricing period. Net flows during the Brexit repricing period also showed both buying and selling of GBP across the different investor sectors. Net flows from asset managers and banks were balanced with both buying and selling throughout the repricing period. Hedge funds sold GBP during the first half of the repricing period but turned to buying in the second half even as the currency continued to depreciate. 像这样, the active investor sectors were trading both with and against the prevailing exchange rate trend over the course of the Brexit repricing period and likely had a mixed impact on the exchange rate. 值得注意的是, the Brexit repricing period was the only event of the three we study where a less-active investor sector transferred risk—the pension/insurance sector purchased a material amount of GBP at the end of the repricing period after it had depreciated.
Cumulative Net Flows by Investor Sector during the Stabilization Period
Finally, we show cumulative net flows by investor sector the stabilization period. 对于Brexit, cumulative net flows during the stabilization period were also mixed, with some sectors buying and some selling GBP, and all investor sectors transferring some risk.
重要事件
第一个, we show how the USD/MXN exchange rate repriced on the two event days as well as the individual headlines that occurred as the event unfolded. When the first polls closed at midnight GMT time (7 p.m. 美东时间)，美元兑比索在18附近.308. As early results came in and the odds of a Trump win increased, MXN began to depreciate. USD/MXN reached a peak of 20.741 (13.3%)大约5点.m. GMT (midnight EST) after several swing states were either called for Trump or seemed well on their way to being called for Trump, and eventually stabilized around 19.828 (8.3%). The unexpected win for Trump led to the largest one-day move in USD/MXN in the last 20 years, nearly 12 standard deviations above the average.
Total Net Flows (Risk Transferred) by Institutional Investors
下一个, we show the evolution of the exchange rate alongside aggregated (over 15-minute intervals) net flows for all institutional investors during the 48-hour event period. We can see that while the amount of risk transferred during the period of sharp exchange rate repricing was large, it was not completely unprecedented relative to risk transferred during the more stable period that followed. 此外, net flows during the repricing period show buying of MXN as MXN depreciated, suggesting that net flows were not the only determinant of the changes in exchange rates—the 美国大选 results led to changes in the perception of the fundamental value of MXN that were realized during the repricing periods as market makers interpreted the news directly; net flows were not required to re-price MXN.
Cumulative Net Flows by Investor Sector during the Pre-Event Period
Zooming in to the pre-event period, we now show cumulative net flows (relative to the start of the period) for each investor sector alongside the exchange rate. 对于美国大选, risk transferred was mixed across the investor sectors with some sectors buying and other sectors selling MXN during the day of the election (11月8日, 2016) and as polls were closing and early results first started coming out.
Cumulative Net Flows by Investor Sector during the Repricing Period
下一个, we show cumulative net flows by investor sector for the repricing period. During the 美国大选 repricing period, the active investor sectors’ net flows were directional rather than balanced. In this case these investors were buying MXN as it depreciated and trading against the prevailing move in exchange rates. Among the less-active investor sectors, the pension/insurance investors also bought MXN. 综上所述, these results suggest that institutional investors' net flows played a lesser role during the 美国大选 repricing period than for the other two events.
Cumulative Net Flows by Investor Sector during the Stabilization Period
Finally, we show cumulative net flows by investor sector the stabilization period. 对于美国大选, cumulative net flows during the stabilization period were largely mixed, with some sectors buying and some selling MXN, and all investor sectors transferring some risk.
瑞士法郎下限
1月15日th, 2015 • 格林尼治时间上午9:30, the 瑞士国家银行 (SNB) abandoned its floor on the 欧元/CHF exchange rate via a surprise press release. The announcement shocked the market—欧元/CHF dropped 12.3%. See the institutional investor reaction here.
Brexit
6月23日rd, 2016 • See how various types of institutional investors reacted after UK voters surprised the world by voting to “Leave” the European Union, causing GBP/USD to drop 11 percent overnight.
美国大选
11月8日th, 2016 • Before the election, forecasters widely expected Hillary Clinton to win. See how institutional investors behaved as early returns from swing states pointed to an unexpected Trump victory.