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Doctoral thesis

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

    23.09.2009

99 p

Thèse de doctorat: Università della Svizzera italiana, 2009 (jury note: magna cum laude)

Commitments of traders
Marché à terme de l’or
Convenience yield
Gold leasing
Effets spéculatifs
Commitments of traders
Gold futures market
Convenience yield
Gold leasing
Speculative effects
English French By examining the gold leasing market and employing data on the gold forward offered rate (GOFO) and derived lease rates, we propose that rather than using the interest-adjusted basis as a proxy for the convenience yield of gold, the convenience yield is better approximated by the derived gold lease rate. Additionally, using the interest-adjusted basis as opposed to the lease rate can lead to incorrect inferences pertaining to the convenience yield. Using the lease rate, we study the relationship between gold leasing and the level of COMEX discretionary inventory. The results suggest that the lease rate has an asymmetric relationship with the level of discretionary inventory, which we calculate using weekly inventory data obtained from the COMEX futures trading exchange. Linear regressions of the level of discretionary inventory on lagged lease rates reveal that lease rate tenors of 1, 3 and 6 months have a negative effect on the level of discretionary inventory. After controlling for speculative effects we find that for bullion leases exceeding one month in duration inventory levels are dominated by speculative effects rather than lease rates. Furthermore, this speculative activity acts to increase the amount of bullion available to the gold futures market by decreasing the repayment effect. Finally, we show that the presence of speculation in gold futures contracts can be associated with increased futures contract returns and that this effect increases with increased futures contract maturity. These results suggest that speculation plays a significant role in the COMEX gold futures market. À travers l’examen du marché de l’emprunt d’or et l’utilisation à la fois des données relatives aux taux à terme offerts sur ce marché (GOFO) et aux taux du leasing de l’or, nous suggérons l’adoption de ce dernier taux comme étant une << proxy >> pour quantifier le rendement de l’or. Une telle approche permet de remédier aux insuffisances d’une approximation par un adjustement du différentiel de taux (interest-adjusted basis). En effet, l’utilisation de ce dernier est sujette à des biais d’inférence aboutissant à une estimation erronée du rendement de l’actif en question. Dans ce contexte, il est naturel d’utiliser le taux le plus approprié, en l’occurrence le taux d’emprunt (lease rate) pour étudier la relation entre l’emprunt de l’or et le niveau d’inventaire du COMEX. Enfin, notre analyse révèle que la présence de spéculateurs sur les marchés des contrats à terme est un facteur d’accroissement à la fois des rendements, mais aussi des maturités des contrats futures.
Language
  • English
Classification
Economics
License
License undefined
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Persistent URL
https://n2t.net/ark:/12658/srd1318424
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