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

22 Pages Posted: 7 Mar 2018

See all articles by Nikolay Gospodinov

Nikolay Gospodinov

Federal Reserve Bank of Atlanta

Ibrahim Jamali

American University of Beirut

Date Written: March 2018

Abstract

This paper examines the sensitivity of commodity price changes to monetary policy uncertainty. We find evidence that the response of commodity price changes hinges on the sign of the monetary policy shock, the level of monetary policy uncertainty as well as a recession dummy. Uncertainty associated with negative monetary policy shocks leads to a decrease in commodity prices and excess speculative activity. The results from estimating an asset pricing model suggest that monetary policy uncertainty appears not to be a priced risk factor in the cross‐section of commodity price changes.

Keywords: commodity prices, monetary policy uncertainty, futures data, Fama‐Macbeth regression, asset pricing model, futures basis, positions of traders, speculators

Suggested Citation

Gospodinov, Nikolay and Jamali, Ibrahim, Monetary Policy Uncertainty, Positions of Traders and Changes in Commodity Futures Prices  (March 2018). European Financial Management, Vol. 24, Issue 2, pp. 239-260, 2018. Available at SSRN: https://ssrn.com/abstract=3135534 or http://dx.doi.org/10.1111/eufm.12150

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 )

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