Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/41353 
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dc.contributor.authorHess, Dieter E.en
dc.contributor.authorHuang, Heen
dc.contributor.authorNiessen-Ruenzi, Alexandraen
dc.date.accessioned2010-10-28T14:42:21Z-
dc.date.available2010-10-28T14:42:21Z-
dc.date.issued2008-
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
dc.language.isoengen
dc.publisher|aUniversity of Cologne, Centre for Financial Research (CFR) |cCologneen
dc.relation.ispartofseries|aCFR working paper |x08-03en
dc.subject.jelE44en
dc.subject.jelG14en
dc.subject.ddc330en
dc.subject.keywordCommoditiesen
dc.subject.keywordMacroeconomic Announcementsen
dc.subject.keywordBusiness Cycleen
dc.subject.stwRohstoff-Futuresen
dc.subject.stwMakroökonomischer Einflussen
dc.subject.stwKonjunkturprognoseen
dc.subject.stwUSAen
dc.titleHow do commodity futures respond to macroeconomic news?-
dc.type|aWorking Paperen
dc.identifier.ppn582126487en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfrwps:0803en

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