An Empirical Analysis of Commodity Convenience Yields
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DOI: 10.1142/s2010139220500093
Abstract: We study convenience yield dynamics using a dataset of inventories to proxy for relative scarcity. We confirm that convenience yields are negatively related to inventories although they plateau dur... read more here.
Keywords: commodity convenience; convenience yields; finance; empirical analysis ... See more keywords
Bond Convenience Yields and Exchange Rate Dynamics
Sign Up to like & getrecommendations! Published in 2020 at "American Economic Journal: Macroeconomics"
DOI: 10.1257/mac.20170391
Abstract: This paper proposes a new explanation for the failure of Uncovered Interest Parity (UIP) that rationalize both the classic UIP puzzle and the evidence that the puzzle reverses direction at longer horizons. In the model,… read more here.
Keywords: convenience; rate dynamics; bond convenience; exchange rate ... See more keywords