I have some issues with Christianâ€™s post, Should the Fed Ease for the Sake of the USD, and wanted to analyze his hypothesis that US interest rates have no correlation to currencies over the long term.
I downloaded daily closing data for the GBP, CHF, JPY, and the 90 day Fed Fund Rate index from late 1989 through yesterday. Note, a Fed Fund Rate index of 100 = 0% interest rate and an index number of 95 = 5% interest rate.
Although my data doesnâ€™t reach back past 1989, I do see correlations to the interest rates and the various currencies. Most of the time there are lagged effects in the currencies as the US/st1:place/st1:country-region interest rates work their way into the system. This little exercise might have helped me in finishing out some macro-economic neural net models for my currency trading.
Although I disagree with your analysis Christian, thanks for the brain tease!
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