Rosa Abrantes-Metz’s analysis re possible gold fix

By Rosa M. Abrantes-Metz on March 6, 2014

The Economist has more on the possible gold market fix, including a discussion of our colleague Rosa Abrantes-Metz’s analysis suggesting possible collusion:

“Another bit of bad news for the gold market comes from a forthcoming paper by Rosa Abrantes-Metz, of New York University’s Stern School of Business, and her husband Albert Metz, a ratings-agency chief (writing in a personal capacity). This identifies a puzzling number of large downward price movements in the run-up to the afternoon fix: a conference call, typically ten minutes long, when the banks exchange information and decide on the price. Ms Abrantes-Metz terms the spikes too frequent and too large to be mere chance.

The couple have previously highlighted problems in other benchmarks, such as LIBOR (the London interbank offered rate). Ms Abrantes-Metz says it is troubling that a small group of people with complete lack of oversight set prices in which they have multiple other interests. The anomalous spikes were not noticeable in the period 2001-03, she notes, but became apparent only after 2004, when the gold-derivatives market expanded sharply.”

For the complete article, see Gold: In a Fix, Mr. Bond