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Canadian Dollar Analysis
Friday, August 18, 2017
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Table 1: Current Position
 
Last is the most recent volume of foreign currency that can be bought with one Canadian Dollar. Index is the position of the Canadian Dollar relative to its 1-year low (=0) and 1-year high (=100). A high index indicates appreciation tendency, while a low index indicates depreciation tendency. Bandwidth is the percentage difference of the 1-year high relative to the 1-year low. The table is sorted by the position index.
 
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| ISO
4217
| Currency | Last | 1-Year
Low
| 1-Year
High
| Index | Band-
width
|
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|  USD  |  U.S. Dollars  |  0.7945  |  0.7276  |  0.8034  |   88.3  |   10.4  |
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|  GBP  |  British Pounds  |  0.6174  |  0.5628  |  0.6308  |   80.2  |   12.1  |
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|  CHF  |  Swiss Francs  |  0.7655  |  0.7145  |  0.7784  |   79.8  |   8.9  |
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|  JPY  |  Japanese Yen  |  86.655  |  75.758  |  89.445  |   79.6  |   18.1  |
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|  EUR  |  European Euros  |  0.6763  |  0.6571  |  0.7221  |   29.5  |   9.9  |
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|  MXN  |  Mexican Pesos  |   14.14  |  13.481  |  16.587  |   21.2  |   23.0  |
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Table 2: Appreciation in Percent
 
Change refers to the appreciation of the Canadian Dollar against the listed foreign currencies. A positive number refers to appreciation, a negative number refers to depreciation. Change Index is the value of the Canadian Dollar relative to its value one year ago set to 100 at that time. The table is sorted by the index of 1-year appreciation.
 
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| ISO
4217
| Currency | 1 Year | 90 days | 30 days | Trend | Index |
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|  JPY  |  Japanese Yen  |   10.7  |   4.9  |   -2.3  |  up  |  110.7  |
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|  GBP  |  British Pounds  |   3.7  |   8.1  |   1.3  |    |  103.7  |
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|  CHF  |  Swiss Francs  |   2.1  |   6.1  |   1.0  |    |  102.1  |
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|  USD  |  U.S. Dollars  |   1.5  |   7.2  |   0.1  |    |  101.5  |
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|  MXN  |  Mexican Pesos  |   0.0  |   2.4  |   1.8  |    |  100.0  |
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|  EUR  |  European Euros  |   -2.1  |   2.3  |   -1.9  |    |   97.9  |
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Table 3: Volatility
 
Volatility refers to measures of the standard deviation of the daily percentage change. The volatility index is the ratio of the 30-day volatility measure and the 1-year volatility measure times 100. An index lower than 100 indicates volatility decrease, and an index higher than 100 indicates an increase in volatility. The table is sorted by the volatility index.
 
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| ISO
4217
| Currency | 1 Year | 90 days | 30 days | Trend | Index |
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|  CHF  |  Swiss Francs  |   0.487  |   0.488  |   0.541  |  up  |  111.1  |
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|  EUR  |  European Euros  |   0.497  |   0.439  |   0.385  |  down  |   77.5  |
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|  USD  |  U.S. Dollars  |   0.450  |   0.365  |   0.315  |  down  |   70.0  |
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|  GBP  |  British Pounds  |   0.572  |   0.489  |   0.378  |  down  |   66.0  |
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|  JPY  |  Japanese Yen  |   0.647  |   0.513  |   0.404  |  down  |   62.4  |
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|  MXN  |  Mexican Pesos  |   0.855  |   0.501  |   0.463  |  down  |   54.1  |
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Table 4: Comovements
 
This table shows the correlation between pairs of Canadian Dollar (CAD) exchange rates. Comovements capture the extent to which two foreign currencies move together relative to the base currency. The comovement measure determines the need for currency diversification. The Pearson correlation coefficient is a number between -1 and +1, indicating negative or positive correlation of the daily exchange rate changes.
 
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| CAD | USD | EUR | JPY | GBP | CHF |
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| EUR |  0.450  |    |    |    |    |
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| JPY |  0.507  |  0.513  |    |    |    |
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| GBP |  0.368  |  0.673  |  0.433  |    |    |
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| CHF |  0.333  |  0.834  |  0.556  |  0.608  |    |
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| MXN |  0.298  |  0.128  |  0.111  |  0.173  |  0.080  |
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  © 2017 by Werner Antweiler, University of British Columbia. All rights reserved.
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