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The Effects of Macroeconomic Announcements on Commodity Prices

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  • Scott W. Barnhart

Abstract

This article analyzes the immediate reaction of a representative sample of commodity prices and two T-bill yields to the unanticipated components of thirteen macroeconomic announcements. Surprises in the monetary variables cause the majority of the significant commodity price responses; while these plus other cyclical surprises, such as the unemployment rate, cause significant lumber and T-bill reactions. The results provide strong support for the policy anticipations hypothesis and against the inflationary expectations hypothesis, i.e., that monetary surprises cause changes in real interest rates rather than in nominal rates only as the inflationary expectations hypothesis contends.

Suggested Citation

  • Scott W. Barnhart, 1989. "The Effects of Macroeconomic Announcements on Commodity Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 71(2), pages 389-403.
    • Handle: RePEc:oup:ajagec:v:71:y:1989:i:2:p:389-403.
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    File URL: http://hdl.handle.net/10.2307/1241597
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    Cited by:

    1. Roache, Shaun K. & Rossi, Marco, 2010. "The effects of economic news on commodity prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 377-385, August.
    2. Mr. Shaun K. Roache & Mr. Marco Rossi, 2009. "The Effects of Economic News on Commodity Prices: Is Gold Just Another Commodity?," IMF Working Papers 2009/140, International Monetary Fund.
    3. Bariviera, Aurelio F. & Font-Ferrer, Alejandro & Sorrosal-Forradellas, M. Teresa & Rosso, Osvaldo A., 2019. "An information theory perspective on the informational efficiency of gold price," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    4. Bannigidadmath, Deepa & Narayan, Paresh Kumar, 2021. "Economic news and the cross-section of commodity futures returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
    5. Juan Ignacio Guzmán & Enrique Silva, 2018. "Copper price determination: fundamentals versus non-fundamentals," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 31(3), pages 283-300, October.
    6. Akihiro Omura & Neda Todorova, 2019. "The quantile dependence of commodity futures markets on news sentiment," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 818-837, July.
    7. Zhou, Liyun & Huang, Jialiang, 2020. "Contagion of future-level sentiment in Chinese Agricultural Futures Markets," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
    8. Olivier Rousse & Benoît Sévi, 2017. "Informed Trading in Oil-Futures Market," Working Papers hal-01460186, HAL.
    9. Olivier Rousse & Benoît Sévi, 2016. "Informed Trading in Oil-Futures Market," Working Papers hal-01410093, HAL.
    10. Dhuyvetter, Kevin C. & Schroeder, Ted C. & Parcell, Joseph L., 1997. "The Effect of USDA Cattle on Feed Reports on Feeder Cattle Futures Prices," 1997 Annual Meeting, July 13-16, 1997, Reno\ Sparks, Nevada 35751, Western Agricultural Economics Association.
    11. Schaefer, Matthew P. & Myers, Robert J., 1999. "Forecasting Accuracy, Rational Expectations And Market Efficiency In The Us Beef Cattle Industry," 1999 Annual meeting, August 8-11, Nashville, TN 21487, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    12. Colling, Phil L. & Irwin, Scott H. & Zulauf, Carl R., 1991. "The Reaction Of Livestock Futures Prices To New Information," 1991 Annual Meeting, August 4-7, Manhattan, Kansas 271203, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    13. Tai, Meng-Yi & Chao, Chi-Chur & Hu, Shih-Wen & Lai, Ching-Chong & Wang, Vey, 2014. "Monetary policy and price dynamics in a commodity futures market," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 372-379.
    14. de Villiers, J. & Blignaut, C. S., 1990. "DOELTREFFENDHEID IN DIE LANDBOU: 'n LANDBOUBELEIDSIENING," Agrekon, Agricultural Economics Association of South Africa (AEASA), vol. 29(4), December.
    15. Lai, Ching-Chong & Hu, Shih-Wen & Fan, Chih-Ping, 2005. "The Overshooting Hypothesis of Agricultural Prices: The Role of Asset Substitutability," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 30(1), pages 1-23, April.
    16. Dieter Hess & He Huang & Alexandra Niessen, 2008. "How do commodity futures respond to macroeconomic news?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 22(2), pages 127-146, June.
    17. Bahloul, Walid & Gupta, Rangan, 2018. "Impact of macroeconomic news surprises and uncertainty for major economies on returns and volatility of oil futures," International Economics, Elsevier, vol. 156(C), pages 247-253.
    18. Florian Verheyen, 2010. "Monetary Policy, Commodity Prices and Infl ation – Empirical Evidence from the US," Ruhr Economic Papers 0216, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
    19. Sun Young Kim & Kyung Yoon Kwon, 2021. "Does economic uncertainty matter in international commodity futures markets?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 849-869, January.
    20. Jena, Pratap Kumar, 2015. "Commodity Prices and Macroeconomic Variables in India: An Auto-Regressive Distributed Lag (ARDL) Approach," MPRA Paper 73892, University Library of Munich, Germany.
    21. Diandian Ma & Benfu Lv & Xuerong Li & Xiuting Li & Shuqin Liu, 2023. "Heterogeneous Impacts of Policy Sentiment with Different Themes on Real Estate Market: Evidence from China," Sustainability, MDPI, vol. 15(2), pages 1-21, January.
    22. repec:zbw:rwirep:0216 is not listed on IDEAS
    23. M. D. Mckenzie & R. D. Brooks, 2003. "The role of information in Hong Kong individual stock futures trading," Applied Financial Economics, Taylor & Francis Journals, vol. 13(2), pages 123-131.
    24. Chiou-Wei, Song-Zan & Chen, Sheng-Hung & Zhu, Zhen, 2020. "Natural gas price, market fundamentals and hedging effectiveness," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 321-337.

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