Nikolay Gospodinov and Ibrahim Jamali
Working Paper 2013-12
November 2013

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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.

JEL classification: G13, G14, G17

Key words: commodity prices, monetary policy shocks, futures data, convenience yields, positions of traders, speculators, hedgers

The authors thank two anonymous referees, Prosper Dovonon, Anders Bredahl Kock, Ivana Komunjer, and the participants at the meeting of the Canadian Econometrics Study Group at Queen's University for useful comments and suggestions. Serena Ng acknowledges financial support from the National Science Foundation (grant number SES-0962431). The views expressed here are the authors' and not necessarily those of the Federal Reserve Bank of Atlanta or the Federal Reserve System. Any remaining errors are the authors' responsibility.

Please address questions regarding content to Nikolay Gospodinov, Federal Reserve Bank of Atlanta, Research Department, 1000 Peachtree Street NE, Atlanta, GA 30309-4470,, or Ibrahim Jamali (contact author), Department of Finance, Accounting and Managerial Economics, Olayan School of Business, American University of Beirut, Beirut 1107 2020, P.O. Box 11-0236, Riad El-Solh Street, Lebanon, 961-1-340-460 (ext. 3770),

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