The dollar's ”Convenience Yield”

Research output: Contribution to journalArticlepeer-review


I link deviations from forward-spot parity for currencies and commodities. The key is to think of the U.S. dollar as a “commodity.” When commodity spot prices are too high compared to futures, arbitrageurs will short the commodity and bank dollars. When physical scarcity constrains commodity borrowing, the result is a positive convenience yield. In the currency space, it is the dollar itself that needs to be shorted, with proceeds converted spot and deposited in foreign currency. When dollars are hard to borrow, covered interest parity (CIP) deviations arise. Thus, a negative “cross-currency basis” is the U.S. dollar's positive convenience yield.

Original languageEnglish (US)
Article number102858
JournalFinance Research Letters
StatePublished - Aug 2022


  • CIP
  • Commodities
  • Convenience yield
  • Cross-currency basis
  • Scarcity

ASJC Scopus subject areas

  • Finance


Dive into the research topics of 'The dollar's ”Convenience Yield”'. Together they form a unique fingerprint.

Cite this