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dc.contributor.authorHess, Dieter E.en_US
dc.contributor.authorHuang, Heen_US
dc.contributor.authorNiessen-Ruenzi, Alexandraen_US
dc.date.accessioned2010-10-28T14:42:21Z-
dc.date.available2010-10-28T14:42:21Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/41353-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisherCentre for Financial Research Cologneen_US
dc.relation.ispartofseriesCFR working paper 08-03en_US
dc.subject.jelE44en_US
dc.subject.jelG14en_US
dc.subject.ddc330en_US
dc.subject.keywordCommoditiesen_US
dc.subject.keywordMacroeconomic Announcementsen_US
dc.subject.keywordBusiness Cycleen_US
dc.subject.stwRohstoff-Futuresen_US
dc.subject.stwMakroökonomischer Einflussen_US
dc.subject.stwKonjunkturprognoseen_US
dc.subject.stwUSAen_US
dc.titleHow do commodity futures respond to macroeconomic news?en_US
dc.typeWorking Paperen_US
dc.identifier.ppn582126487en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfrwps:0803-
Appears in Collections:CFR Working Papers, Centre for Financial Research (CFR), Universität Köln

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