Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/128073
Authors: 
Beutler, Toni
Year of Publication: 
2012
Series/Report no.: 
Working Paper, Study Center Gerzensee 12.03
Abstract: 
This paper investigates whether commodity convenience yields - the yields that accrue to the holders of physical commodities - can predict the exchange rate of commodity-exporters' currencies. Predictability is a consequence of the fact that i) convenience yields are useful predictors for commodity prices and ii) commodity currencies have a strong relationship with commodity prices. The empirical evidence indicates that there is a significant relationship between aggregate measures of convenience yields and commodity currencies' exchange rate, both in-sample and outof- sample. A high level of convenience yields strongly predicts a depreciation of the Australian, Canadian and New Zealand dollars exchange rates at horizons of 1 to 24 months.
Subjects: 
Exchange rates
Commodity currencies
Convenience yield
JEL: 
F31
F37
Document Type: 
Working Paper

Files in This Item:
File
Size
368.71 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.