Lyric discussion by jrrtolk1en 

It is obvious to me that the monkey is a symbol for punishing someone completely innocent while letting the bad person go.

The policeman is asking about a smoking gun. Why would he do that? Is the gun still smoking in his oppinion? Yes he seems to be corrupted, "He is asking about the facts".

But who is the person described in the lyrics? It seems to me it is someone who has been overpowered

Yup, I think that this describes how political corruption is usually handled. Some low-level functionary is found, implicated and then all the public venom is directed at him. Kind of like how everyone is fascinated by the monkey's antics, forgetting that everything the monkey does, he learned from the organ grinder. - v

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