This paper analyzes the immediate, delayed and group responses of 20 commodity prices in four commodity groups (foods and livestock, crops, energy and metals) to macroeconomic"news"(unexpected announcements) in the United States between 1985 and 1989. It finds that macroeconomic news generally affects commodities within groups in the same direction - but there is no clear evidence that the prices of largely unrelated commodity groups react in the same way to macroeconomic shocks. The paper also notes that the business cycle must be carefully considered in analyzing the impact of macroeconomic news on commodity prices. It looks at variables such as inflation, exchange rates, interest rates, money stock and real activity. For each of the variables, the immediate impact of news is often different from the one-day-lagged impact - and different for different commodity groups.
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