Monetary Policy Surprises, Positions of Traders, and Changes in Commodity Futures Prices

39 Pages Posted: 22 Mar 2015

See all articles by Nikolay Gospodinov

Nikolay Gospodinov

Federal Reserve Bank of Atlanta

Ibrahim Jamali

American University of Beirut

Date Written: November 2013

Abstract

Using futures data for the period 1990–2008, this paper finds evidence that expansionary monetary policy surprises tend to increase crude and heating oil prices, and contractionary monetary policy shocks increase gold and platinum prices. Our analysis uncovers substantial heterogeneity in the magnitude of this response to positive and negative surprises across different commodities and commodity groups. The results also suggest that the positions of futures traders for the metals and energy commodities strongly respond to monetary policy shocks. The adjustment of the net long positions of hedgers and speculators appears to be a channel through which the monetary policy shocks are propagated to commodity price changes.

Keywords: commodity prices, monetary policy shocks, futures data, convenience yields, positions of traders, speculators, hedgers

JEL Classification: G13, G14, G17

Suggested Citation

Gospodinov, Nikolay and Jamali, Ibrahim, Monetary Policy Surprises, Positions of Traders, and Changes in Commodity Futures Prices (November 2013). FRB Atlanta Working Paper 2013-12. Available at SSRN: https://ssrn.com/abstract=2579859 or http://dx.doi.org/10.2139/ssrn.2579859

Nikolay Gospodinov (Contact Author)

Federal Reserve Bank of Atlanta ( email )

Atlanta, GA 30309
United States

HOME PAGE: https://www.frbatlanta.org/research/economists/gospodinov-nikolay.aspx?panel=1

Ibrahim Jamali

American University of Beirut ( email )

Beirut, 0236
Lebanon

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