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    On the lease rate, convenience yield and speculative effects in the gold futures market

    Barone-Adesi, G. and Geman, Hélyette and Theal, J. (2009) On the lease rate, convenience yield and speculative effects in the gold futures market. Working Paper. Swiss Finance Institute, Switzerland.

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    Abstract

    By examining data on the gold forward offered rate (GOFO) and lease rates over the period 1996- 2009, we conclude that the convenience yield of gold is better approximated by the lease rate than the interest-adjusted spread of Fama & French (1983). Using the latter quantity, we study the relationship between gold leasing and the level of COMEX discretionary inventory and exhibit that lease rates are negatively related to inventories. We also show that Futures prices have increasingly exceeded forward prices over the period, and this effect increases with the speculative pressure and the maturity of the contracts.

    Metadata

    Item Type: Monograph (Working Paper)
    Keyword(s) / Subject(s): gold futures market, convenience yield, gold lease rate, speculative pressure
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Research Centre: Commodities Finance Centre
    Depositing User: Sarah Hall
    Date Deposited: 14 Apr 2014 15:52
    Last Modified: 07 Dec 2016 15:31
    URI: http://eprints.bbk.ac.uk/id/eprint/9578

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