TD Research discusses the impact of the recent spike in the VIX on JPY and EUR.
To explore that, TD shows how EUR and JPY react on a rolling 12m betas of the VIX.
TD makes the following 2 observations:
1- JPY is a consistent safe haven in G10FX. The beta remains positive throughout the sample, indicating that when vol rises so does the JPY.
2- The EUR shares a mix of a high-beta and a safe haven and as such EUR will rally on US-inspired vol.
EUR/USD is trading circa 1.1103 and USD/JPY circa 111.15 as of writing.
Source: TD Securities ResearchOriginal Article
