Monetary policy uncertainty, positions of traders and changes in commodity futures prices
研究了商品价格变化对货币政策不确定性的敏感度，发现价格反应取决于货币政策冲击的正负、不确定性水平及经济衰退，且不确定性并非商品价格变化的风险因子。
Abstract 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.