Analysis of currency pairs reaction to macroeconomic indicators changes

Abstract

Purpose of the article: The main aim of this paper is to analyze the fundamental approach to investment speculation in the foreign exchange market. Decision about buy-sell speculative position is based on statistical analysis of the fundamental message of the U.S. - Information about employment (www.bls.gov), which is published first Friday of each new month. The main idea is based on the change of the U.S. dollar (USD) value against the Swiss franc (CHF) and Euro (EUR). The statistical analysis is performed for the currency pairs EUR.USD and USD.CHF. Historical data of the employment situation is getting from the Bureau of Labor Statistics and stock data are obtained from Interactive Brokers U.S. The Employment situation data include the following information-Non-Farm Payroll, Unemployment rate, Average hourly earnings, and Average workweek. Scientific aim: The scientific aim of this paper is to show fundamental speculation approach on the market of foreign exchanges. The main idea is based on impact measuring of Unemployment rate change on EUR.USD and USD.CHF changes. Methodology/methods: Statistical methods of analyses used in this paper are based on the measuring of difference among two consecutive months. The negative value of the difference among two consecutive months is a signal for raising USD value and positive value of difference is a signal for weakeing USD value. Findings: The statistical analysis found the connection between the change in Unemployment rate and USD value weakeing or strenging against the CHF and EUR. Conclusions: The authors of this paper reached the conclusion by means of statistical analyses, that it is possible to predict changes of USD value against the EUR and CHF. For application of this approach is created simple trading method, which said, that positive change of Unemployment rate difference weak USD value and negative change strength. Trading approach generated 12342$/10lots profit on EUR. USD and 41373 $/10lots profit on USD.CHF. Those two trading approach has value of correlation equal0,829.