The Swissy and the Fiber - An Interesting Couple

It is not news that news moves financial markets. This blog will publish research on how, when, why, and which news moves what financial markets.

The chart below shows the relationship between the returns on the Fiber or Euro (EUR/USD) and Swissy or Swiss Franc (USD/CHF) right after the U.S. Trade Balance is released.

At 8:30am (Eastern Time), on a known date every month, this relationship has held.

I have made refinements in terms of differential effects of good and bad news, the volatility and shape of market expectations and so on, but as shown here this is a very simple relationship, the EUR and the CHF move in opposite directions when the trade news is announced.

Points in the bottom right quadrant above tend to be when bad news is released, points in the upper left is when a positive surprise hits the markets. By adding in the U.S. Trade Balance news as another dimension the relationship of these two currency pairs to the news can be seen. (There are less data points because this chart only shows the most recent announcements). Around economic news announcement times there are lots of correlations such as the one illustrated here. The underlying stable relationship that give rise to the moves is between financial markets and news. Do you have a comment on this relationship? Please post below any feedback you may have.