FX Blog: What is driving high-frequency FX?

Research evidence excerpt

FX Blog: What is driving high-frequency FX?

Deutsche Bank

Research

Foreign Exchange Date

FX Blog 18 May 2026

What is driving high-frequency FX?

Rohini Grover, Ph.D.

Main highlights of the High-Frequency monitor: Recently, US equities have rallied Strategist

despite a rebound in oil prices on the back of geopolitical concerns. However, the +44-20-754-75907

latest trend suggests equities may have started to lose momentum after recent

highs. Our latest statistical tests, based on 5-minute returns over the past four Christabel Charles

Research Analyst weeks, indicate that the influence of US equities and Oil on FX has picked up.

Conversely, the impact of US rates, copper, and EM equities has considerably

decreased.

Impact of key asset classes on FX: USD/JPY, USD/CAD, and USD/CHF are

primarily driven by US equities, whereas USD/ZAR, USD/MXN, and USD/TRY are

influenced by both US equities and Oil. Furthermore, gold's movements are

affected by oil and copper

Historical impact of key asset classes on FX: Over the last three months, historical

data shows that US equities significantly influenced USD/CHF, GBP/USD, and

USD/SGD on more than 90% of trading days. Oil continued to be the main driver

for EUR/NOK on over 90% of days, while Copper was the primary factor for

AUD/JPY on nearly 80% of days. Furthermore, US rates impacted EUR/PLN,

EUR/USD, and USD/SGD on over 30% of days

Contemporaneous effects between FX and other asset classes: US equities and

Copper continue to exhibit a significant positive correlation with AUD, XAU, XBT,

NZD, GBP, EUR, MXN, SGD, and ZAR against the dollar. In contrast, Oil displays

a negative correlation with ZAR, MXN, SGD, CNH, XAU, and the Antipodean

currencies. Likewise, US rates also show a negative correlation with CHF, SGD,