Commodity Currencies: The most informative currencies
I use the concept of 鈥渃urrency baskets鈥 also known as weighted average currency (Aloosh & Bekaert, 2022) to investigate the informativeness of eight major currencies. Using constrained and unconstrained Seemingly Unrelated Regressions (SUR), I find the Canadian dollar, Australian dollar, and New Zealand dollar also known as commodity currencies are the most informative currencies in explaining other currencies where Euro and Sterling are the least informative currencies.
Keywords: Commodity Currencies, Currency Weighted Average, Seemingly Unrelated Regression
21 February 2026