Abstract
Notes increasing investment by US pension funds in foreign currency denominated assets and briefly outlines previous research on the links between various types of assetscurrencies. Uses cointegration methodologies on 19781996 futures data for commodities and four currencies Swiss, German, British and Canadian to assess the longrun stochastic relationships between them and suggests that currencies are more closely cointegrated with soft commodities and precious metals than with livestock. Considers the implications for hedging and diversification by pension fund managers trying to manage risk.