Page 32 - Economic Outlook Romania 2019
P. 32
CE4 FX: in the ‘wrong’ quadrant in 1H19
Levered to EUR/USD downside and Oil matters only for the CEEMEA dollar block
precarious risk appetite
PC3 (the third principal component) loadings to
Higher sensitivity to EUR/USD 2.0 RON HUF PLN oil price.
individual CEEMEA currencies vs USD. We identify PC3 as
2.5
CZK
0.6
0.4
1.5
ILS 1.0 0.2
EUR/USD effect TRY -0.5 -0.2 agnostic to oil prices
0.0
0.5
0.0
CE4 FX fairly
-0.4
vs the dollar block
Lower sensitivity to EUR/USD -3 -2 RUB EM risk effect 1 Higher sensitivity -0.6
-1.0
-1.5
-0.8
3
-1
0
2
-1.0
Lower sensitivity
EM risk
EM risk
Z-score of the first and second principal components (estimated as MSCI EM equity
index and EUR/USD, respectively) from our PCA analysis of drivers behind bilateral EM RUB ILS ZAR PLN RON CZK HUF TRY
exchange rates vs USD
32
