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Gold Options and Belgian/Dutch Investors

by on October 7, 2013

This 1983 paper is one of the first to look at the value of the implied gold/dollar rate from the non-US perspective.   They focus on gold options when the currency of the investor varies from the dollar.

Method: Autocorrelations, Correlation analysis

Data: Daily COMEX gold futures and NYMEX oil futures from July 1993 to June 2010 using the nearest expiration contract.

Full Citation:  Beckers, S., & Soenen, L. A. (1983). Gold options, an attractive investment instrument for the non-U.S. investor – the case of the belgian and dutch investor. De Economist, 131(1), 80-87. 

Abstract: Since gold transactions occur in U.S. dollars any investor with a non-U.S. dollar base currency will therefore assume exchange risk exposure. Empirical evidence is given that the gold price has historically varied inversely with the strength of the U.S. dollar. The investor whose base currency is not the dollar, i.e. the Belgian franc or Dutch guilder, incurs less risk when investing in gold than his dollar counterpart.


From → Empirical, Gold

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