Deutsche Bank indicated that Asian currencies are the least sensitive in emerging markets (EMs) to negative external shocks. It said that negative external shocks include nine variables that are a stronger US dollar; higher real interest rates on 10-year U.S. Treasury bonds; lower oil prices; lower gold prices; higher values for the Volatility Index; higher European stress measured by the widening average spread in 10-year bonds of Italy, Portugal and Spain against German Bunds; decline in equity indices such as the S&P and STOXX; as well as the widening of spreads between the Offshore and Onshore Chinese yuan. In contrast, it considered that any opposite movement in the previously stated factors reflects a positive external shock. It said that the Singaporean dollar is the least sensitive currency to negative external shocks, followed by the Chinese yuan, the South Korean Won and the Philippine Peso. In contrast, it noted that the Turkish Lira (TRY), the Mexican Peso (MXN), the South African Rand (ZAR), the Brazilian Real (BRL) and the Russian Ruble (RUB) are the most sensitive currencies in EMs to negative external shocks. Further, it indicated that the BRL, the ZAR, the RUB and the MXN could benefit the most from a positive external shock. It pointed out that currencies with the highest sensitivity to negative external shocks benefit the most during positive external shocks. As such, Deutsche Bank indicated that Asian currencies provide the best risk-reward, or asymmetric payoff, during periods of extreme external shocks, while the MXN, ZAR, TRY and Colombian Peso provide the lowest risk-reward. 
Source: Deutsche Bank