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- W2764244228 abstract "This note draws an analogy between deviations from no-arbitrage forward-spot relationships in currency and in commodity markets. The key is to notice that the U.S. dollar acts as a commodity in foreign exchange (FX) markets. In the physical commodity space, if the spot price is too high relative to the futures price, then arbitrageurs will seek to short the commodity (priced in U.S. dollars) and invest the proceeds in a dollar-denominated bank deposit. A scarcity of the commodity entails a limited ability to borrow it, resulting in a positive In the FX space, it is the dollar itself that needs to be borrowed - with the proceeds converted spot and invested in a foreign currency-denominated bank deposit. A dollar scarcity in the global lending market brings about widespread covered interest parity (CIP) deviations characterized by negative cross-currency basis for multiple U.S. dollar/foreign currency pairs. In both spaces, a scarcity or shortage of the underlying commodity generates the pattern. In other words, a (negative) cross-currency basis is the U.S. dollar's (positive) convenience yield." @default.
- W2764244228 created "2017-10-20" @default.
- W2764244228 creator A5040127441 @default.
- W2764244228 date "2017-01-01" @default.
- W2764244228 modified "2023-09-23" @default.
- W2764244228 title "The Dollar's 'Convenience Yield'" @default.
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- W2764244228 doi "https://doi.org/10.2139/ssrn.3039830" @default.
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