Barone-Adesi, G. and Geman, Hélyette and Theal, J. (2014) On the lease rate, convenience yield and speculative effects in the gold futures market. International Journal of Financial Engineering and Risk Management 1 (3), pp. 282-307. ISSN 2049-0917.
Abstract
By examining data on the Gold Forward Offered Rate (GOFO) and lease rates, we conclude that the convenience yield of gold is better approximated by the lease rate than the interest adjusted spread. Using the former quantity, we study the relationship between gold leasing and the level of COMEX discretionary inventory and show 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: | Article |
|---|---|
| Keyword(s) / Subject(s): | gold futures, speculative pressure, convenience yield, gold leasing, lease rates, COMEX discretionary inventory |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Research Centres and Institutes: | Commodities Finance Centre |
| Depositing User: | Sarah Hall |
| Date Deposited: | 01 Apr 2014 16:10 |
| Last Modified: | 02 Aug 2023 17:10 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/9504 |
Statistics
Additional statistics are available via IRStats2.
Archive Staff Only (login required)
