文档介绍：Applied Financial Economics, 2008, 18, 985–994
Nonneutral short-run effects of
derivatives on gold prices
Adrienne Kearneya,* and Raymond Lombrab
aUniversity of Maine, 5774 Stevens Hall, Orono, ME 04469
bPennsylvania State University, 111 Sparks Building, University Park,
PA 16802
About 90% of the decline in gold prices over the decade of the 1990s –
from $393 (per ounce) in the beginning of 1990 to $286 in early 2000 –
occurred after early 1995. While gold prices were falling, the use of
derivative instruments (forwards, options, futures and the like) by the gold
mining industry increased rapidly. Traditionally, such activity would not
be expected to affect gold prices. In this article we investigate the possible
impact of derivatives on the gold market. The research findings suggest
that the use of derivatives by gold producers, whether it was to hedge
against the risk of declining gold prices, or for other purposes, probably
pushed gold prices below what they would have been based upon historical
relationships. Conversely, when gold producers reduced
derivative positions over the April 1999:IV to January 2006:I period, this
de-hedging appears to have helped boost gold prices back toward
levels consistent with longer run fundamentals.
I. Introduction (2003), believe that the growth in derivatives has
increased rather than decreased risk exposures, gold
About 90% of the decline in gold prices over the producers consistently argued that, by increasing
decade of the 1990s – from $393 (per ounce) in the their use of derivatives, they were able to ‘manage’
beginning of 1990 to $286 in early 2000 – occurred risk in the face of declining gold prices.
after early 1995. Since the demand for gold as an From the first half of the 1990s to the second, the
asset dominates its use as modity, and average annual volume of gold sold forward via
economic theory points toward an inverse relation- forward contracts (which occupy the largest share of
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