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.
- Language
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Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 12.03
- Classification
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Wirtschaft
Foreign Exchange
International Finance Forecasting and Simulation: Models and Applications
- Subject
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Exchange rates
Commodity currencies
Convenience yield
Wechselkurs
Volatilität
Rohstoffvorkommen
Australien
Kanada
Neuseeland
- Event
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Geistige Schöpfung
- (who)
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Beutler, Toni
- Event
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Veröffentlichung
- (who)
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Swiss National Bank, Study Center Gerzensee
- (where)
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Gerzensee
- (when)
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2012
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Beutler, Toni
- Swiss National Bank, Study Center Gerzensee
Time of origin
- 2012
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