1.
The Exchange Rate
Strengthening
of the shekel, further to the long-term trend.
During
the course of the fourth quarter, the shekel strengthened by approximately 6.6 percent
against the dollar, further to the long-term trend. In parallel, the shekel strengthened
by about 2.0 percent against the euro.
Against
the currencies of Israel's main trading partners, in terms of the nominal
effective exchange rate of the shekel (i.e., the trade-weighted average shekel
exchange rate against those currencies), the shekel strengthened by approximately
3.4 percent, further to the long-term trend.
The
dollar weakened in the fourth quarter against major currencies—including the
euro (4.6 percent), the British pound (6.2 percent), and the Japanese yen (2.5
percent), further to its weakening against those currencies in the previous
quarter (Figure 2).
2.
Exchange Rate Volatility
A
decline in actual volatility in parallel with a slight increase in implied volatility.
The
standard deviation of changes in the shekel/dollar exchange rate, which
represents its actual volatility, declined to an average level of 4.6 percent
during the fourth quarter of 2020, further to the decline in the previous
quarter (see Figure 3).
The
average implied volatility in over the counter shekel/dollar options, an
indication of expected exchange rate volatility, increased slightly
during the quarter, to an average level of 6.3 percent.
The
implied volatility in foreign exchange options in emerging markets during the quarter
was 10.8 percent. The average level of implied volatility in developed markets
during the quarter was 7.7 percent, a decline of 0.5 percentage points compared
with the previous quarter (Figure 4).
3.
The Activity of the Main Segments in the Foreign Exchange Market
An
estimate of the activity of the main segments in the foreign exchange
market indicates that during the course of the fourth quarter of 2020, most
segments continued with the trends of the third quarter. Institutional
investors (pension funds, provident funds, and insurance companies) had net
sales of foreign exchange totaling about $5.2 billion and nonresidents increased
net foreign exchange sales to about $6.2 billion. In contrast, the business
sector continued its net purchases of foreign currency, totaling about $1.8
billion.
4.
The Volume of Trade
in the Foreign Exchange Market—tables and figures
The
average daily trading volume declined by about 14 percent during the
quarter, to about $6.8 billion, with the decline derived mainly from a decrease
in daily trading volume in swaps.
Nonresidents'
share of total trading volume (spot and forward transactions, options and
swaps) decreased by about 2.2 percentage points to about 41.0 percent at the
end of the fourth quarter.
Full press release, including graphs and data
https://www.boi.org.il/en/NewsAndPublications/RegularPublications/Documents/StatBulletin2018/part-two-1.pdf