Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/101008
Authors: 
Gospodinov, Nikolay
Jamali, Ibrahim
Year of Publication: 
2013
Series/Report no.: 
Working Paper, Federal Reserve Bank of Atlanta 2013-12
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.
Subjects: 
commodity prices
monetary policy shocks
futures data
convenience yields
positions of traders
speculators
hedgers
JEL: 
G13
G14
G17
Document Type: 
Working Paper

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