How do commodity futures respond to macroeconomic news?

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.

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Year of publication:	2008
Authors:	Hess, Dieter E. ; Huang, He ; Niessen-Ruenzi, Alexandra
Publisher:	Cologne : Centre for Financial Research
Subject:	Rohstoff-Futures \| Makroökonomischer Einfluss \| Konjunkturprognose \| USA \| Commodities \| Macroeconomic Announcements \| Business Cycle

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Series:	CFR working paper ; 08-03
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	582126487 [GVK] hdl:10419/41353 [Handle] RePEc:zbw:cfrwps:0803 [RePEc]
Classification:	E44 - Financial Markets and the Macroeconomy ; G14 - Information and Market Efficiency; Event Studies
Source:	EconStor