Читать книгу The Foreign Exchange Matrix - Barbara Rockefeller - Страница 15

The Lehman case is an example of a factor from a relatively distant corner of the FX matrix wending its way to FX prices themselves via interbank liquidity and interest rates, coupled with a major change in perception of the banking sector and US government – the Establishment. We would normally not expect an exogenous variable like the bankruptcy of a single financial institution to have such broad-reaching effects. It remains a puzzle why the rumours of the bankruptcy and then the event itself caused such an exaggerated reaction among international investors, sending them rushing to the safe-haven dollar.

The Lehman bankruptcy marks a dividing line in FX history between a time when price determinants encompassed an already wide range of factors to a new period in which price determinants range even more widely and reach into even more unexpected corners. This is why the concept of risk appetite and risk aversion is so useful – today, just about any exogenous variable has the potential to fly over the standard cause-and-effect factors and land on FX.

In the next sections of this chapter, we see examples of the new power of exogenous variables in FX. Pre-Lehman, for example, a popular uprising in an emerging market seldom had any effect on FX prices. But in 2011, regime change in North Africa had a pro-dollar effect, but in limited and varying ways. The effect of the Egyptian change differed from the effect of the change in Libya, in part because of Libya’s role as an oil producer and the presence of foreign military forces. The addition of geopolitical events to the universe of FX determinants through the medium of risk appetite/risk aversion has made the FX world a vastly more complicated place in just a few years.

We now have to enter into consideration issues to which we used to give little thought, such as what will happen to oil prices if and when the current Venezuelan leader Chavez leaves office? We can suppose that the oil market will respond but we do not know whether a resulting rise or fall in oil prices will be correlated with the dollar – or the euro. The matrix helps us to make sense of all these interconnecting strands and thus of the FX market.