Arbeitspapier
Forecasting Exchange Rates with Commodity Convenience Yields
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 12.03
- Klassifikation
-
Wirtschaft
Foreign Exchange
International Finance Forecasting and Simulation: Models and Applications
- Thema
-
Exchange rates
Commodity currencies
Convenience yield
Wechselkurs
Volatilität
Rohstoffvorkommen
Australien
Kanada
Neuseeland
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Beutler, Toni
- Ereignis
-
Veröffentlichung
- (wer)
-
Swiss National Bank, Study Center Gerzensee
- (wo)
-
Gerzensee
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Beutler, Toni
- Swiss National Bank, Study Center Gerzensee
Entstanden
- 2012
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