Work

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

Year: 2017

Type: article

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.

Source: European Financial Management

DOI: 10.1111/eufm.12150

Authors: Nikolay Gospodinov, Ibrahim Jamali

Institutions: Federal Reserve Bank of Atlanta, American University of Beirut

Language: English

Topic: Market Dynamics and Volatility

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2770744194

FWCI: 5.981

Cites: 98

Cited by: 49

Related to: 10