How Do Commodity Futures Respond to Macroeconomic News?
نویسندگان
چکیده
This paper investigates the impact of seventeen US macroeconomic announcements on two broad and representative commodity futures indices. Based on a large sample from 1989 to 2005 we show that the daily price response of the CRB and GSCI commodity futures indices to macroeconomic news is state-dependent. During recessions, positive (negative) news about inflation and real activity lead to positive (negative) adjustments of commodity futures prices. In contrast, we find no significant reactions in economic expansions. We attribute this asymmetric response to the state-dependent interpretation of macroeconomic news. Our findings are robust to several alternative business cycle definitions.
منابع مشابه
Identifying and Predicting Market Reactions to Information Shocks in Commodity Markets
This project proposes a three-stage time series model to identify the relationship between properties of news information shocks and patterns in market reactions to such news. Then, given a specific news update, the model predicts how market players will subsequently respond. We apply multivariate time series segmentation and clustering techniques on gold commodity futures, and then run various...
متن کاملNews and Interest Rate Expectations: A Study of Six Central Banks
In this paper we analyse the effect of news relating to the expected path of monetary policy on interest rate futures. Central banks’ transparency is in most respects much greater than it was a decade ago, and so central bank communication needs to be included as a potential source of news. We therefore consider four types of news: macroeconomic news, overseas news, monetary policy surprises an...
متن کاملCommodity price stabilisation: macroeconomic impacts and policy options
A macroeconometric simulation study is undertaken to evaluate the impact of commodity price stabilisation (CPS) schemes for the export tree crop industry in Papua New Guinea. The findings suggest that there is a negligible level of favourable macroeconomic impacts of CPS. Contrary to the expectation, CPS adversely affects the stability of monetary and external sectors (BOP). CPS policy has fail...
متن کاملOil Consumption, Economic Growth, and Oil Futures: The Impact of Long-Run Oil Supply Uncertainty on Asset Prices Internet Appendix: Not For Publication
Data on total U.S. oil consumption and worldwide oil production comes from the Energy Information Association (EIA). Data on household consumption and GDP come from the BEA’s NIPA surveys. Data on TFP, hours worked, and capital supply are from the San Francisco Federal Reserve.1 Data on oil futures are for the NYMEX West Texas Intermediate (WTI) contract, and come from the Commodity Research Bu...
متن کاملInternational Financial Markets
This dissertation consists of two essays: one looks at the cross-country variations in volume-price variability relationship and cultural and other country factors, and the other looks at cause and effects of large one-day price changes in commodity futures. The first essay presented in Chapter 1 investigates the effect of cultural and other country factors on the dynamic relation between marke...
متن کامل