Hirschey, Nicholas H.Callaghan, Ciaran2024-12-092024-12-092024-01-232023-12-20http://hdl.handle.net/10362/176309This paper analyses the usefulness of commodity terms of trade as a trading signal in a universe of advanced and emerging market currencies. Three variations of the strategy were tested; one which traded long and short positions, one only long positions and one only short positions. All were found to generate statistically significant alpha in out-of-sample testing. This paper contributes to the literature as it provides evidence that the uncovered interest rate parity condition does not always hold, as well as providing examples of how commodity terms of trade can be used as a trading signal to exploit these deviations.engCommodity terms of tradeForeign exchangeCurrencyCommoditiesSystematic trading strategyFinancial marketsCurrency pairsLong shortmaster thesis203681282