数据可视化FX Markets Move on Surprise News
对于每个事件, see a timeline of the event, how the exchange rate was impacted over time, total net flows across all investors, and cumulative net flows by investor sector.
瑞士国家银行
汇率重新定价
开始, 我们展示了欧元/CHF汇率在事件当天是如何重新定价的，以及当天发生的个别事件. On 1月15日, 2015, at 9:30 a.m., the SNB abandoned the floor entirely via a surprise press release, rather than gradually or at a scheduled policy meeting. The announcement shocked the market—欧元/ CHF moved from 1.201 to 0.895 (25.5 percent) over the next 24 minutes before retracing half of the initial move to settle at 1.053 (12.3%) at the end of the London trading day. This was the largest one-day move in 欧元/CHF in the last 20 years, nearly 27 standard deviations above the average.
Total Net Flows (Risk Transferred) by Institutional Investors
下一个, 我们展示了汇率的演变以及所有机构投资者在24小时事件期间的累计(超过三分钟的间隔)净流量. 从这个, 我们可以看到，虽然在汇率重定价期间风险转移的数量很大, 相对于随后较为稳定的时期所转移的风险而言，这并非完全史无前例. Therefore, net flows alone cannot account for the sharp exchange rate changes. 在瑞士央行新闻发布后的三分钟内，重新定价期间的总体净流动方向与外汇汇率的普遍变化一致, we see buying of nearly $1 billion scaled CHF against other currencies. The large purchases of CHF during this three-minute period coincide with a 2.5 percent appreciation of CHF vs. 欧元. 瑞士央行的声明出人意料，不允许在事件发生前进行头寸调整，这可能是消息传出后立即买入瑞郎的原因.
Cumulative Net Flows by Investor Sector during the Pre-Event Period
Zooming in to the pre-event period (the hours preceding the SNB announcement), 现在，我们在汇率旁边显示了六个投资部门中每个部门的累计净流量(相对于这一时期的开始). 瑞士央行的活动, we see that there was little activity from any of the investor sectors. This may be attributable to the time of day (in GMT time), the presence of the 欧元/CHF exchange rate floor during this time, and/or the surprise nature of the announcement.
Cumulative Net Flows by Investor Sector during the Repricing Period
下一个, we show cumulative net flows by investor sector for the repricing period, which covers the time interval immediately after the SNB announcement when 欧元/CHF fell sharply. 在这里, 我们看到，在瑞士央行意外宣布后的24分钟重新定价期间的净流量表明，净风险转移主要是单向的——所有投资者部门要么买入瑞郎，要么缺席. Net flows were consistent with the move in exchange rates—欧元/CHF dropped from 1.201 to 0.同期增加了895人. After a large initial purchase of CHF, 银行进行了一些小的销售, but on net were buyers of CHF over the full repricing period. Less-active investors were largely absent during the repricing period. Because all of the active investor sectors were on net buying CHF as it appreciated, market makers were left as the only market participants selling CHF during this critical stage, and while we don't measure the connection directly, this may have amplified the move in 欧元/CHF during the SNB repricing period..
Cumulative Net Flows by Investor Sector during the Stabilization Period
Finally, we show cumulative net flows by investor sector the stabilization period. 瑞士央行的活动, 稳定期间的累计净流量在投资者部门之间是混合的——瑞郎既有买家也有卖家，所有投资者部门都参与其中. This is in stark contrast to the SNB repricing period, during which there were only buyers of CHF and net flows were dominated by banks and hedge funds.
重要事件
第一个, 我们展示了在这两个事件发生的日子里，英镑/美元汇率是如何重新定价的，以及随着事件的展开而出现的个别头条新闻. When the polls closed at 9 p.m. 格林尼治时间，英镑兑美元在1附近.488. 随着公投结果出炉，“脱欧派”将获胜变得明显，英镑大幅贬值. About an hour after ITV (3:37 GMT) and BBC (3:41 GMT) both called the referendum for Leave, 英镑兑美元达到1.324，损失11.0%. The unanticipated “Leave” result led to the largest one-day move in GBP/USD in the last 20 years, 14 standard deviations above the average.
Total Net Flows (Risk Transferred) by Institutional Investors
下一个, 我们展示了汇率的演变以及所有机构投资者在48小时事件期间的累计(超过15分钟的间隔)净流量. 而在汇率大幅调整期间，风险的转移量很大, 相对于随后较为稳定的时期所转移的风险而言，这并非完全史无前例. Therefore, net flows alone cannot account for the sharp exchange rate changes. Net flows during the repricing period were relatively mixed—initially, 我们看到英镑出现抛售, but once GBP/USD falls below 1.40, net flows reverse and turn to buying of GBP.
Cumulative Net Flows by Investor Sector during the Pre-Event Period
Zooming in to the pre-event period, 我们现在在汇率旁边显示每个投资部门的累计净流量(相对于期初). 对于Brexit, 在公投当天(6月23日)，投资者部门的风险转移情况不一，一些部门买入英镑，另一些部门卖出英镑, 2016) and as polls were closing and results first started coming out.
Cumulative Net Flows by Investor Sector during the Repricing Period
下一个, we show cumulative net flows by investor sector for the repricing period. 英国脱欧重新定价期间的净流量也显示了不同投资者部门对英镑的买入和卖出. 在整个重新定价期间，来自资产管理公司和银行的净流入在买入和卖出之间保持平衡. 对冲基金在重新定价期的前半段抛售英镑，但在英镑继续贬值的后半段转为买入. 像这样, 在英国脱欧重新定价期间，活跃投资者部门既与现行汇率趋势进行交易，也与之相反，这可能对汇率产生了复杂的影响. 值得注意的是, 在我们研究的三个事件中，英国退欧重新定价期是唯一一个不太活跃的投资者部门转移风险的事件——养老金/保险部门在英镑贬值后的重新定价期结束时购买了大量英镑.
Cumulative Net Flows by Investor Sector during the Stabilization Period
Finally, we show cumulative net flows by investor sector the stabilization period. 对于Brexit, cumulative net flows during the stabilization period were also mixed, with some sectors buying and some selling GBP, and all investor sectors transferring some risk.
重要事件
第一个, 我们展示了USD/MXN汇率在两个事件发生的日子里是如何重新定价的，以及随着事件的展开而发生的个别头条新闻. When the first polls closed at midnight GMT time (7 p.m. 美东时间)，美元兑比索在18附近.308. As early results came in and the odds of a Trump win increased, MXN began to depreciate. USD/MXN reached a peak of 20.741 (13.3%)大约5点.m. 此前，几个摇摆州要么被支持特朗普，要么似乎正在被支持特朗普, and eventually stabilized around 19.828 (8.3%). The unexpected win for Trump led to the largest one-day move in USD/MXN in the last 20 years, nearly 12 standard deviations above the average.
Total Net Flows (Risk Transferred) by Institutional Investors
下一个, 我们展示了汇率的演变以及所有机构投资者在48小时事件期间的累计(超过15分钟的间隔)净流量. 我们可以看到，虽然在汇率重定价期间风险转移的数量很大, 相对于随后较为稳定的时期所转移的风险而言，这并非完全史无前例. 此外, net flows during the repricing period show buying of MXN as MXN depreciated, suggesting that net flows were not the only determinant of the changes in exchange rates—the 美国大选 results led to changes in the perception of the fundamental value of MXN that were realized during the repricing periods as market makers interpreted the news directly; net flows were not required to re-price MXN.
Cumulative Net Flows by Investor Sector during the Pre-Event Period
Zooming in to the pre-event period, 我们现在在汇率旁边显示每个投资部门的累计净流量(相对于期初). 对于美国大选, 在大选当天(11月8日)，投资者部门的风险转移情况参差不齐，一些部门买入，另一些部门卖出美元, 2016) and as polls were closing and early results first started coming out.
Cumulative Net Flows by Investor Sector during the Repricing Period
下一个, we show cumulative net flows by investor sector for the repricing period. During the 美国大选 repricing period, the active investor sectors’ net flows were directional rather than balanced. 在这种情况下，这些投资者在比索贬值时买入比索，并在汇率变动时进行交易. Among the less-active investor sectors, the pension/insurance investors also bought MXN. 综上所述, 这些结果表明，在美国大选重新定价期间，机构投资者的净流动所起的作用小于其他两个事件.
Cumulative Net Flows by Investor Sector during the Stabilization Period
Finally, we show cumulative net flows by investor sector the stabilization period. 对于美国大选, cumulative net flows during the stabilization period were largely mixed, with some sectors buying and some selling MXN, and all investor sectors transferring some risk.
瑞士法郎下限
1月15日th, 2015 • 格林尼治时间上午9:30, 瑞士国家银行(SNB)出人意料地发布了一份新闻稿，放弃了欧元兑瑞郎汇率的下限. The announcement shocked the market—欧元/CHF dropped 12.3%. See the institutional investor reaction here.
Brexit
6月23日rd, 2016 • 看看英国选民出人意料地投票“离开”欧盟(eu)后，各类机构投资者是如何反应的吧, causing GBP/USD to drop 11 percent overnight.
美国大选
11月8日th, 2016 • Before the election, forecasters widely expected Hillary Clinton to win. 看看摇摆州的早期回报显示特朗普意外获胜时，机构投资者是如何表现的吧.