Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/128073 
Authors: 
Year of Publication: 
2012
Series/Report no.: 
Working Paper No. 12.03
Publisher: 
Swiss National Bank, Study Center Gerzensee, Gerzensee
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

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