Convenience Yields and Exchange Rate Puzzles

We thank Andy Atkeson (discussant), Javier Bianchi, Philipp Illeditsch (discussant), Oleg Itskhoki, Dmitry Mukhin (discussant), Dimitry Vayanos (discussant), and Tony Zhang (discussant), as well as participants at Stanford University, Paul Woolley Centre/BIS conference, NBER Summer Institute IAP, 11th Workshop on Exchange Rates, NBER Spring IFM, Western Finance Association, Society for Economic Dynamics, China International Conference in Finance, Southern Economic Association, and American Economic Association for helpful comments. An earlier version of the paper was circulated under the title “Beyond Incomplete Spanning: Convenience Yields and Exchange Rate Disconnect.” Arvind Krishnamurthy received a Research Grant, Goldman Sachs Global Markets Institute, 2012-2015, to study ECB policy. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.