BNZ Financial Markets Wrap produced this great graphic showing the change in the NZ$ against the US$ and events that were behind this movement.

They have come up with the following forecasts:

NZD/USD Renewed risk aversion, heavily “long” speculative positioning, and improving USD
sentiment mean we favour the downside over the month ahead.

NZD/AUD The downtrend appears to have run out of steam but we doubt rallies above 0.7850
will be sustained given the AUD’s still sizeable yield advantage.

NZD/GBP We think enough negativity about the UK economic outlook has been priced into the
currency and expect rallies towards 0.4900 to fade.

NZD/EUR We wouldn’t be surprised to see a test of the June 0.5800 high over the coming
month as European sovereign debt fears undermine EUR sentiment.

NZD/JPY NZ-JP interest rate differentials have fallen, but dips should be limited to 61.50 over
the coming month given high and rising NZ commodity prices.