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Commodity market volatility in the presence of U.S. and Chinese macroeconomic news

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  • Smales, L.A.

Abstract

Utilising a comprehensive sample of U.S. and Chinese macroeconomic news announcements, we determine that volatility in commodity prices is significantly impacted by news that conveys information regarding prospective demand for commodities. This includes news regarding U.S. employment and economic output together with the purchasing intentions of Chinese manufacturers. Commodity price volatility is also closely related to the cost of credit. Much of this effect appears to be driven by volatility in the Energy markets. During the 2007-09 crisis, commodity markets appear to pay more attention to forward-looking macroeconomic news, such as PMI surveys.

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  • Smales, L.A., 2017. "Commodity market volatility in the presence of U.S. and Chinese macroeconomic news," Journal of Commodity Markets, Elsevier, vol. 7(C), pages 15-27.
    • Handle: RePEc:eee:jocoma:v:7:y:2017:i:c:p:15-27
    DOI: 10.1016/j.jcomm.2017.06.002
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    5. Duc Khuong Nguyen & Thomas Walther, 2020. "Modeling and forecasting commodity market volatility with long‐term economic and financial variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 126-142, March.
    6. Ye, Wuyi & Guo, Ranran & Deschamps, Bruno & Jiang, Ying & Liu, Xiaoquan, 2021. "Macroeconomic forecasts and commodity futures volatility," Economic Modelling, Elsevier, vol. 94(C), pages 981-994.
    7. Dinh, Theu & Goutte, Stéphane & Nguyen, Duc Khuong & Walther, Thomas, 2022. "Economic drivers of volatility and correlation in precious metal markets," Journal of Commodity Markets, Elsevier, vol. 28(C).
    8. Rice, Gregory & Wirjanto, Tony & Zhao, Yuqian, 2023. "Exploring volatility of crude oil intraday return curves: A functional GARCH-X model," Journal of Commodity Markets, Elsevier, vol. 32(C).
    9. Awasthi, Kritika & Ahmad, Wasim & Rahman, Abdul & Phani, B.V., 2020. "When US sneezes, clichés spread: How do the commodity index funds react then?," Resources Policy, Elsevier, vol. 69(C).
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    More about this item

    Keywords

    G1; G10; G14; Commodity markets; Macroeconomic announcements; Volatility; China; GSCI;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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