New Zealand Dollar (NZD) LIBOR: technical predictability overview

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Written by Forex Automaton   
Monday, 22 December 2008 14:44
Article Index
New Zealand Dollar (NZD) LIBOR: technical predictability overview
NZD LIBOR volatility
NZD LIBOR autocorrelations
Correlations between NZD LIBOR maturities, s/n-o/n and longer terms
Correlations between NZD LIBOR maturities, 1-week and longer terms
Correlations between NZD LIBOR maturities, 1-month and longer terms
Correlations between NZD LIBOR maturities, 3-month and longer terms
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The New Zealand Dollar LIBOR has been mostly rising during the period under study, like it did for the Australian Dollar. Motivation for publishing LIBOR correlation analysis on a forex trading system site has been outlined in the first USD LIBOR analysis article. This document begins with historical LIBOR charts for the currency, continues with volatility analysis, and culminates with autocorrelations and correlations of logarithmic returns for various NZD LIBOR terms. As for the Aussie, the predominant predictive pattern for the NZD LIBOR interest rate is a "damped oscillation", but unlike AUD, the pattern stays well pronounced not just for the spot-next/overnight and 1-week, but even for the 6-month and 12-month duration terms. Another common feature is positive correlation peaks in the vicinity of the zero time lag, getting wider as the duration term grows. The cross-correlation of different maturities is oscillatory, but the trend is seen for the shorter term to be of predictive influence on the longer term (with either positive or negative "feed-back"), rather than the other way round as is the case with CAD and to some extent, USD LIBORs. The data cover the period from July 2003 up to December 2008.

LIBOR charts

History of s/n-o/n NZD LIBOR 2003-2008 History of 1 week NZD LIBOR 2003-2008 History of 1-month NZD LIBOR 2003-2008 History of 3-month NZD LIBOR 2003-2008 History of 6-month NZD LIBOR 2003-2008 History of 12-month NZD LIBOR 2003-2008

Fig.1: Historical NZD LIBOR interest rates charts, top to bottom: s/n-o/n, 1-week, 1-month, 3-month, 6-month and 12-month. Time axis is labeled in MM-YY format.

Unlike most other currencies, one does not find the usual step-like structure in the history of short-term NZD LIBOR. The evolution of visual features with maturity here is also the opposite to the normal: longer maturities develop trends of their own, as opposed to gradually losing the sharp structure of the shorter ones, which is the norm.



Last Updated ( Monday, 14 September 2009 17:01 )