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The effects of economic news on commodity prices

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  • Roache, Shaun K.
  • Rossi, Marco
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    Abstract

    We assess how commodity prices respond to macroeconomic news and show that commodities have been relatively insensitive to such news over daily frequencies between 1997 and 2009 compared to other financial assets and major exchange rates. Where commodity prices are influenced by news, there is a pro-cyclical bias and these sensitivities have risen as commodities have become increasingly financialized. However, models based on news still do a relatively poor job of forecasting commodity prices at daily frequencies. We also find some asymmetries in how commodity prices respond to news, most notably for gold, which alone among commodities acts as a safe-haven when "bad" economic news emerges.

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    Bibliographic Info

    Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

    Volume (Year): 50 (2010)
    Issue (Month): 3 (August)
    Pages: 377-385

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    Handle: RePEc:eee:quaeco:v:50:y:2010:i:3:p:377-385

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    Web page: http://www.elsevier.com/locate/inca/620167

    Related research

    Keywords: Commodities Macroeconomic announcements Futures pricing Financial forecasting;

    References

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    Cited by:
    1. Philippe Charlot & VĂȘlayoudom Marimoutou, 2014. "On the relationship between the prices of oil and the precious metals: Revisiting with a multivariate regime-switching decision tree," Working Papers hal-00980125, HAL.
    2. Riadh Aloui & Mohamed Safouane Ben Aissa & Duc Khuong Nguyen, 2014. "A wavelet-based copula approach for modeling market risk in agricultural commodity markets," Working Papers 2014-412, Department of Research, Ipag Business School.

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