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

Nikolay Gospodinov and Ibrahim Jamali

No 2013-12, FRB Atlanta Working Paper from Federal Reserve Bank of Atlanta

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 (search for similar items in EconPapers)
JEL-codes: G13 G14 G17 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2013-11-01
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.frbatlanta.org/documents/pubs/wp/wp1312.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.frbatlanta.org/documents/pubs/wp/wp1312.pdf [301 Moved Permanently]--> https://www.frbatlanta.org/documents/pubs/wp/wp1312.pdf [301 Moved Permanently]--> https://www.atlantafed.org/documents/pubs/wp/wp1312.pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedawp:2013-12

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in FRB Atlanta Working Paper from Federal Reserve Bank of Atlanta Contact information at EDIRC.
Bibliographic data for series maintained by Rob Sarwark ().