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Monetary policy uncertainty, positions of traders and changes in commodity futures prices
Author(s) -
Gospodinov Nikolay,
Jamali Ibrahim
Publication year - 2018
Publication title -
european financial management
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.311
H-Index - 64
eISSN - 1468-036X
pISSN - 1354-7798
DOI - 10.1111/eufm.12150
Subject(s) - economics , futures contract , monetary policy , commodity , monetary economics , asset (computer security) , contango , recession , sign (mathematics) , price level , shock (circulatory) , financial economics , macroeconomics , finance , medicine , mathematical analysis , computer security , mathematics , computer science
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.