Monetary Policy Surprises, Positions of Traders, and Changes in Commodity Futures Prices

Gospodinov, Nikolay; Jamali, Ibrahim

doi:10.2139/ssrn.2579859

Cited by 7 publications

(2 citation statements)

References 58 publications

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“…3 Gospodinov and Jamali (2013) use commodity futures data and find that US expansionary monetary policy surprises tend to increase commodity prices. However, they document that the sensitivity to monetary shocks varies significantly across different commodity groups.…”

Section: Introductionmentioning

confidence: 99%

Option-implied expectations in commodity markets and monetary policy

Triantafyllou

Dotsis

2017

Journal of International Money and Finance

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In this paper we estimate the dynamic interactions between option-implied variance and skewness in agricultural commodity markets and monetary policy. Using a structural vector autoregressive (SVAR) framework, we find that an expansionary (contractionary) monetary policy upwardly (downwardly) revises commodity markets' expectations about the price and volatility path of agricultural products. On the other hand, our empirical analysis reveals that monetary policy does not have a systematic and timely response to sudden changes in option implied expectations of commodity investors. In addition, we provide empirical evidence showing the robust forecasting power of agricultural option-implied information on monetary policy with R 2 values reaching almost 52%.

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Section: Introductionmentioning

confidence: 99%

Option-implied expectations in commodity markets and monetary policy

Triantafyllou

Dotsis

2017

Journal of International Money and Finance

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“…Recently, Gospodinov and Jamali (2013) studied monetary policy shocks on commodity prices, convenience yields, and the positions of traders. The analysis shows that monetary policy strongly affects the positions of futures traders.…”

Section: Literature Reviewmentioning

confidence: 99%

The Effects on Commodity Prices of Extraordinary Monetary Policy

Amatov

Dorfman

2017

J. Agric. Appl. Econ.

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This article examines the relationship between Federal Reserve monetary policy and other macroeconomic indicators to both a broad commodity price index and an agricultural commodity price index by employing a vector error correction model. Excessive liquidity and the recent long period of ultralow interest rates appear to have played a statistically significant role in affecting prices in the commodities markets. The responses of commodity prices to monetary policy that we estimate generally conform to earlier findings, but the sensitivity of the responses appears different in the face of the unprecedented scope of recent Fed activism.

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Food Security and Food Price Volatility

Mayer

2015

Global Economic Cooperation

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Monetary Policy Surprises, Positions of Traders, and Changes in Commodity Futures Prices

Cited by 7 publications

References 58 publications

Option-implied expectations in commodity markets and monetary policy

Option-implied expectations in commodity markets and monetary policy

The Effects on Commodity Prices of Extraordinary Monetary Policy

Food Security and Food Price Volatility

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