Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/41353
Authors: 
Hess, Dieter E.
Huang, He
Niessen-Ruenzi, Alexandra
Year of Publication: 
2008
Series/Report no.: 
CFR working paper 08-03
Abstract: 
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.
Subjects: 
Commodities
Macroeconomic Announcements
Business Cycle
JEL: 
E44
G14
Document Type: 
Working Paper

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