How do commodity futures respond to macroeconomic news?

Arbeitspapier

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, news about higher (lower) inflation and real activity lead to positive (negative) adjustments of commodity futures prices. In contrast, we find no significant reactions during 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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: CFR working paper ; No. 08-03

Classification and Topics

• Classification: Wirtschaft ; Financial Markets and the Macroeconomy ; Information and Market Efficiency; Event Studies; Insider Trading
• Subject: Commodities ; Macroeconomic Announcements ; Business Cycle ; Rohstoff-Futures ; Makroökonomischer Einfluss ; Konjunkturprognose ; USA

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Hess, Dieter E. ; Huang, He ; Niessen-Ruenzi, Alexandra
• Event: Veröffentlichung
• (who): University of Cologne, Centre for Financial Research (CFR)
• (where): Cologne
• (when): 2008

Further information

• Handle: http://hdl.handle.net/10419/41353
• Last update: 10.03.2025, 11:43 AM CET