'Good v. bad' is overplayed in EM currencies, indicates BNPP quant model

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An increasingly popular FX market play on ‘good’ emerging market (EM) currencies against ‘bad’ EM currencies has been overstretched, according to a quantitative fair value model created by BNP Paribas last year and recently extended from Group of 10 (G-10) to EM currencies.

According to the French bank’s short-term equilibrium exchange rate (Steer) model, both the Korean won and the New Taiwan dollar – often considered by discretionary investors to have strong macroeconomic fundamentals – have

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