A client note from Morgan Stanley touches on the breakdown in many important FX relationships.

MS highlight that smaller country currencies are tending to ignore local events and responding more to global themes.

  • but EUR and JPY the sensitivity is largely unchanged.

While not specifically focused on AUD and NZD, I pulled out a snippet on them:

  • The large drop in the sensitivities for AUD and NZD perhaps reflect rising trade tensions

And, briefly (& for GBP obviously):

  • GBP ... Brexit concerns remain the primary driver
  • local data is less relevant for CHF given the persistently dovish SNB