Fig. 7
From: Understanding Swiss real interest rates in a financially globalized world
Convenience Yield and Deviations from CIP. This figure shows the evolution of \(\eta\) (in black) and \(\lambda\) (in red), that are two measures of the convenience yields for the Swiss franc with respect to the euro and the US dollar at one-year maturity. \(\eta\) is based on Eq. (4); \(\lambda\) involves the forward discount; the difference between the two (\(\tau\), in blue) captures CIP deviations. Data source: Du et al. (2018) and Datastream. One unit corresponds to one-percentage point