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Among the so-called "commodity" currencies, the Australian and Canadian dollars and the Norwegian kronor have been most closely linked to the price patterns of crude oil, metals and other raw materials exported by their home countries, according to a study written by CME Group Managing Director John Labuszewski.
From the beginning of 2004 through February 2009, the kronor posted the highest correlation with a widely-followed commodity benchmark, the S&P GSCI Index. That period coincided with a record rally in oil prices, followed by a steep sell off amid the global financial crisis. Norway is one of the world's top crude exporters. Since February 2009, the Australian dollar was most highly correlated with the index, followed by the Canadian dollar and the Russian ruble.
In the wake of the financial crisis, "we have witnessed a rather remarkable, strong and generalized linkage of commodity and currency values," Labuszewski said in the report. "In general, correlations increased during the height of the crisis and into the post-crisis period."
The highest correlations were generally observed with energy products, notably crude oil, followed by precious metals. Correlations with grains and other agricultural products were "a bit weaker" than energy and metals.