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9 Apr 2013
Forex Flash: USD/JPY may see downside ahead - Societe Generale
FXstreet.com (Barcelona) - Sebastien Galy, Senior FX strategist at Societe Generale notes that of late he is particularly focused on the potential range for USD/JPY looking forward.
He comments that following the BOJ QE policy announcement, his valuation model estimates a fair value of 99 for USD/JPY (93 pre BoJ meeting), with a topside of 116 over the next two years using a quantile estimation. He writes, “In a deep risk-off environment, USD/JPY will have a tendency to fall to the lower 90s. Deep downside vols will steadily be crushed at higher levels over the next two years, similarly to the experience with the SNB floor.”
He comments that following the BOJ QE policy announcement, his valuation model estimates a fair value of 99 for USD/JPY (93 pre BoJ meeting), with a topside of 116 over the next two years using a quantile estimation. He writes, “In a deep risk-off environment, USD/JPY will have a tendency to fall to the lower 90s. Deep downside vols will steadily be crushed at higher levels over the next two years, similarly to the experience with the SNB floor.”