Yearend Seasonality of the Dollar
December 15, 2011
This note updates a posting I screened on these pages one year ago, which documented a tendency for the dollar to ease between mid-December and yearend against the major currency of Europe. A similar pattern cannot be observed in dollar/yen, nor is there a pronounced seasonal pattern in the first half of December. The linked article includes a table that shows levels of the dollar at mid- and end-December against the D-mark from 1973 through 1998 and versus the euro from 1999 through 2009.
In 2010 (not shown in last year’s study), the dollar fell 1.2% from 1.3212 per euro on December 15 to 1.3377 on December 31. Including that latest entry, the dollar depreciated during the second half of December against the euro in nine of the common currency’s first dozen years and recorded an average drop of 1.0% over all twelve observations in the sample. The dollar’s mean drop was very similar to that against the D-mark of 0.9% over the same seasonal interval during the 26 years from 1973 to 1998. The greenback lost ground in 18 of those 26 years.
A dollar rise against the euro this year between end-November and mid-December of 3.3% narrowly beat out the next best year for the dollar against either the euro or mark in the first half of December from 1973 to the present. The next best performance in early December, ironically enough, occurred just two years ago when a gain of 3.2% was posted. In 2009, the dollar rose an additional 1.5% in the second half of December but just 0.1% after the 23rd of the month. Last year, the dollar fell 1.7% against the euro in the first half of December.
Copyright 2011, Larry Greenberg. All rights reserved. No secondary distribution without express permission.
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