Foreign Exchange Rates
Major Global Currencies vs USD
Chart of Major Global Currencies vs USD.Nordic and Baltic Currencies vs USD
Chart of Nordic and Baltic Currencies vs USD.Central and Eastern European Currencies vs USD
Chart of Central and Eastern European Currencies vs USD.Latin American Currencies vs USD
Chart of Latin American Currencies vs USD.Asian Emerging Market Currencies vs USD
Chart of Asian Emerging Market Currencies vs USD.Other Asian Currencies vs USD
Chart of Other Asian Currencies vs USD.African and Middle Eastern Currencies vs USD
Chart of African and Middle Eastern Currencies vs USD.Interpretation
The charts above show the exchange rates of various currencies against the US Dollar (USD). An upward trend represents an appreciation of the currency against the US Dollar, signaling either a strengthening of that currency or a weakening of the USD. Conversely, a downward trend indicates a depreciation of the currency against the USD. These fluctuations in exchange rates play a critical role in the global financial landscape, impacting international trade, investment strategies, and economic policies. They serve as a barometer of a nation's economic health and are closely monitored by investors, economists, and government officials for making informed decisions.
Correlation Heat Map
Interpretation
This heatmap reveals how major currency pairs (quoted against the USD) move in relation to each other. Red squares show a positive correlation (currencies moving in the same direction against the dollar), while blue indicates a negative correlation. Notice how currencies from the same economic region, like the Euro and Swiss Franc, often cluster together, while safe-haven currencies like the Japanese Yen may move differently.
For forex traders and international investors, understanding these correlations is vital for managing risk. A portfolio of long positions in highly correlated currencies (e.g., AUD and NZD) is not well-diversified. Combining assets with low or negative correlations, as Ray Dalio suggests in his "Holy Grail of Investing" principle, can create a more balanced exposure.
To create this chart, weekly log-changes in the exchange rates are calculated, and the Pearson correlation is computed for every pair. The heatmap is then organized using hierarchical clustering to group the most similar currency pairs together, making market patterns easier to see.
Correlation Spanning Tree
Interpretation
The Minimum Spanning Tree (MST) simplifies the correlation matrix by showing only the strongest connections between currency pairs. If two currency pairs are linked, they have a strong positive correlation and tend to move in tandem. This helps identify clusters of related assets and is useful for portfolio diversification.
The tree is constructed by converting the correlations into distances and then finding the set of connections that links all currency pairs with the minimum total distance. As noted by Marti, Gautier, et al. (2017), the optimal Markowitz portfolio is often found at the tree's outskirts, and the tree tends to shrink during a financial crisis.
Data Sources
- Major Global Currencies
- Federal Reserve Bank of St. Louis: Euro to USD (EURUSD)
- Federal Reserve Bank of St. Louis: Japanese Yen to USD (JPYUSD)
- Federal Reserve Bank of St. Louis: Chinese Yuan to USD (CNYUSD)
- Federal Reserve Bank of St. Louis: British Pound to USD (GBPUSD)
- Federal Reserve Bank of St. Louis: Canadian Dollar to USD (CADUSD)
- Federal Reserve Bank of St. Louis: Australian Dollar to USD (AUDUSD)
- Federal Reserve Bank of St. Louis: Swiss Franc to USD (CHFUSD)
- Federal Reserve Bank of St. Louis: New Zealand Dollar to USD (NZDUSD)
- Nordic and Baltic Currencies
- Federal Reserve Bank of St. Louis: Norwegian Krone to USD (NOKUSD)
- Federal Reserve Bank of St. Louis: Danish Krone to USD (DKKUSD)
- Stooq: Icelandic Króna to USD (ISKUSD)
- Federal Reserve Bank of St. Louis: Swedish Krona to USD (SEKUSD)
- Central and Eastern European Currencies
- Latin American Currencies
- Federal Reserve Bank of St. Louis: Mexican Peso to USD (MXNUSD)
- Federal Reserve Bank of St. Louis: Brazilian Real to USD (BRLUSD)
- Stooq: Argentine Peso to USD (ARSUSD)
- Stooq: Egyptian Pound to USD (EGPUSD)
- Asian Emerging Market Currencies
- Federal Reserve Bank of St. Louis: South Korean Won to USD (KRWUSD)
- Federal Reserve Bank of St. Louis: Thai Baht to USD (THBUSD)
- Federal Reserve Bank of St. Louis: Taiwan Dollar to USD (TWDUSD)
- Federal Reserve Bank of St. Louis: Singapore Dollar to USD (SGDUSD)
- Federal Reserve Bank of St. Louis: Hong Kong Dollar to USD (HKDUSD)
- Federal Reserve Bank of St. Louis: Indian Rupee to USD (INRUSD)
- Stooq: Indonesian Rupiah to USD (IDRUSD)
- Other Asian Currencies
- Federal Reserve Bank of St. Louis: Malaysian Ringgit to USD (MYRUSD)
- Stooq: Philippine Peso to USD (PHPUSD)
- Federal Reserve Bank of St. Louis: Sri Lankan Rupee to USD (LKRUSD)
- African and Middle Eastern Currencies
- Federal Reserve Bank of St. Louis: South African Rand to USD (ZARUSD)
- Stooq: Turkish Lira to USD (TRYUSD)
- Stooq: Israeli New Shekel to USD (ILSUSD)
- Stooq: Namibian Dollar to USD (NADUSD)