字幕表 動画を再生する 英語字幕をプリント The recent oil price rally has fueled the recovering commodity currencies like the Canadian and Australian dollar. But has the market got ahead of itself with this rallying commodity currencies? One man who thinks so is Steven Saywell, global FX strategist at BNP Paribas. Steven, what is it that that has caused the rally in recent commodity price currencies? Well, we think it really gets down to one point and that's the Chinese recovery. Certainly if we look at the tail end of 2015, expectations for Chinese growth were fairly muted. But, actually what's happened in 2016 is that growth has exceeded expectations. That's led to stronger demand for commodities and we've seen quite a nice rebound led by oil but also other commodities, specifically things such as iron ore. Okay, so if we take a look at your first chart, it shows us the Australian dollar, which is a commodity currency driven by iron ore prices. And it's showing basically that the red line shows the actual spot rate for the foreign exchange rate compared to the US dollar, and then we have the BNP Paribas model number that shows the blue number, that shows basically it's currently undervalued. So, why do you think that is? Sure. Well, I should highlight it. So the blue line here is one of our flagship models. It's called BNP Paribas CLEER. It gives a medium term equilibrium level of a currency. What we think has happened here is that the Australian dollar is currently, significantly higher than the equilibrium level would suggest. I think there's two factors there. One is the commodity prices have accelerated quite significantly. We don't think that is sustained. So we think that falls back. Secondly, until very recently, the reserve bank of Australia had kept interest rates very high as well, too. They've started to ease policy now and we're starting to see the Australian dollar converge back to the level signalled by the model. Okay. So if we take a look at the second chart that you've brought out. The second chart shows us the market position and how it's changed. So we've had, this is the exchange rate with the Canadian dollar versus the US dollar and the Australian dollar or US dollar. Canadian obviously being an oil-fueled currency as well. And we can see that the positioning has changed in the market, so we've gone from quite a strong, short position at the beginning of the year to quite a strong, long position. So, do you think the market has got it wrong? Or why has it switched? Well, this is interesting. If we look at the history of these two commodity currencies, and remember the zero line here is a neutral position. You can see that for the past 12~15 months, the markets pretty much exclusively held a short position. That changed quite dramatically from the beginning of 2016. I think driven by the commodity price rally. We're now at a level where the market is, we would say caught long of both of these currencies. The reason we say caught is that if commodity prices do fall back, which they're starting to already and it's consistent without expectations, the market will then scramble to reduce these long positions and that will accelerate the move to the downside for both the Australian dollar but also the Canadian dollar. Okay, so then if we look at your third chart, when we talk about where the market is and where you might suggest that people could take advantage of the trend that you think is coming. Um... we take a look at the Australian dollar and compare it to the Euro. So that's the red line here and the blue line is showing us the 2-year interest rate swap spread, which traditionally there is a relationship between those although we have seen some gaps in a few points. So, what is this chart telling us? Well, certainly the underlying philosophy here is that there's a very strong relationship or correlation between short term interest rate movements and currencies. Secondly, traditionally, the Australian dollar tends to be quoted against the US dollar, and that's what the original model told us that equilibrium lies to the downside around 67 cents. That's a great trade over the medium term, but in the short term, we think the Euro will continue to do very well. So, one of the favorite trade recommendations we have is long with the Euro against the Australian dollar. And this chart or the relationship here backs that up very clearly. You can see the blue line, which is the interest rate differential is moving significantly in favor of the Euro, and that's pushing the Euro versus the Australian dollar higher. What you can also see is the interest rate is telling us there's more to go on the upside. So we think being long the Euro versus the Australian dollar is a very good trade recommendation. Okay. And then if we take a step back and look at what investors are watching. So, I mean we've had a stronger recovery in commodity prices, we've had a weakening expectation of the Fed and what their rate hikes might be. And we've had some recovery in sort of the Chinese or some pleasant surprises around Chinese economic data in the past few months that have been fueling this. What are the things that if an investor had to pick one or I guess at most two things to watch of when this might turn. What would those be? Okay. Well, if I had to name two factors here, particularly in the case of the Australian dollar I'd name the following to 2 points. One. What happens to iron ore prices? Does it fall back? Do they fall back as we anticipate? And secondly, what happens on the interest rate front? Is the reserve bank of Australia likely to cut interest rates again? We think they do potentially as early as June. If either, or both of those factors happen, the Australian dollar will weaken. Thanks very much.