This paper constructs risk-free interest rates implicit in index option prices for ten of the major G11 currencies. We compare these rates to the yields of government bonds to provide international estimates of the convenience yield earned by safe assets. Average convenience yields across...

This paper takes a cross-country and cross-sector perspective to investigate the drivers of commodity momentum strategies. Commodity momentum strategies deployed in the U.S. and Chinese markets generate positive average returns with non-negligible correlations, but their premia are primarily...

This study decomposes a momentum factor (MOM) in the commodity futures market. A high-to-price (HTP) factor generates a higher Sharpe ratio than a price-to-high (PTH) factor. We uncover that the profitability mechanisms across three momentum factors are different. The positive returns on MOM and...

The empirical evidence on the impact of international interest rates on emerging market (EM) bond spreads is mixed. In this article, we closely examine the 2000–2009 period and find a negative relationship between U.S. interest rates and EM bond spreads. We argue that the relationship between...

This paper examines the macro-spanning hypothesis for bond returns in international markets. Based on a large panel of real-time macro variables that are not subject to revisions, wefind that global macro factors have predictive power for bond returns unspanned by yield factors.Furthermore, we...

This paper investigates the sensitivity of the demand for safe government debt to currency unhedged and hedged excess returns in a sample of US mutual funds. We find evidence of active rebalancing towards government bonds that offer relatively higher returns on an unhedged basis, in particular...

Until recently, one could only gain expertise in commodity-derivatives relationships if one had worked in niche commodity-processor companies or in banks that specialized in hedging project risk for natural-resource companies. The contribution of this paper is to help fill the knowledge gap in...

This paper provides an introduction to U.S. commodity futures markets, which is especially relevant for individuals in developing markets who are newly embracing market solutions to financial uncertainty. The paper specifically covers the following topics: (1) the beginning, transformation, and...

This paper examines whether the proliferation of new index products, such as commodity-tracking exchange-traded funds (ETFs), amplified the volatility transmission channel introduced by financialization. This paper focuses on the volatility spillover effects among crude oil, metals, agriculture,...