'Good v. bad' is overplayed in EM currencies, indicates BNPP quant model
An increasingly popular FX market play on ‘good’ emerging market (EM) currencies against ‘bad’ EM currencies has been overstretched, according to a quantitative fair value model created by BNP Paribas last year and recently extended from Group of 10 (G-10) to EM currencies.
According to the French bank’s short-term equilibrium exchange rate (Steer) model, both the Korean won and the New Taiwan dollar – often considered by discretionary investors to have strong macroeconomic fundamentals – have
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