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Monetary policy uncertainty, positions of traders and changes in commodity futures prices

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  • Nikolay Gospodinov
  • Ibrahim Jamali

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.

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  • Nikolay Gospodinov & Ibrahim Jamali, 2018. "Monetary policy uncertainty, positions of traders and changes in commodity futures prices," European Financial Management, European Financial Management Association, vol. 24(2), pages 239-260, March.
    • Handle: RePEc:bla:eufman:v:24:y:2018:i:2:p:239-260
    DOI: 10.1111/eufm.12150
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