About this work
Commodity currency returns reflect both export prices and domestic or global risk. Jonathan Fortun and Sergi Lanau find that commodity prices matter most where trade is less diversified, but that their influence changes substantially over time. The November 2019 analysis also emphasizes shifting sensitivity to other risks, cautioning against treating these currencies as a fixed proxy for commodity prices.
Abstract
Commodity currency returns reflect both export prices and domestic or global risk. Jonathan Fortun and Sergi Lanau find that commodity prices matter most where trade is less diversified, but that their influence changes substantially over time. The November 2019 analysis also emphasizes shifting sensitivity to other risks, cautioning against treating these currencies as a fixed proxy for commodity prices.
Cite this work
Jonathan Fortun, Sergi Lanau (2019). Economic Views: The Drivers of Commodity Currencies. Institute of International Finance.