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How do commodity futures respond to macroeconomic news?

  • Dieter Hess


  • He Huang


  • Alexandra Niessen


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    Article provided by Springer in its journal Financial Markets and Portfolio Management.

    Volume (Year): 22 (2008)
    Issue (Month): 2 (June)
    Pages: 127-146

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    Handle: RePEc:kap:fmktpm:v:22:y:2008:i:2:p:127-146
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    1. Jeffrey A. Frankel, 2006. "The Effect of Monetary Policy on Real Commodity Prices," NBER Working Papers 12713, National Bureau of Economic Research, Inc.
    2. Gary Gorton & K. Rouwenhorst, 2004. "Facts and Fantasies about Commodity Futures," Yale School of Management Working Papers amz2619, Yale School of Management, revised 01 Mar 2005.
    3. Mark J. Flannery & Aris A. Protopapadakis, 2002. "Macroeconomic Factors Do Influence Aggregate Stock Returns," Review of Financial Studies, Society for Financial Studies, vol. 15(3), pages 751-782.
    4. Andersson, Magnus & Hansen, Lars Jul & Sebestyén, Szabolcs, 2006. "Which news moves the euro area bond market?," Working Paper Series 0631, European Central Bank.
    5. Frode Brevik & Axel Kind, 2004. "What is going on in the oil market?," Financial Markets and Portfolio Management, Springer, vol. 18(4), pages 442-457, December.
    6. Greg Adams & Grant McQueen & Robert Wood, 2004. "The Effects of Inflation News on High Frequency Stock Returns," The Journal of Business, University of Chicago Press, vol. 77(3), pages 547-574, July.
    7. Douglas K. Pearce & V. Vance Roley, 1984. "Stock Prices and Economic News," NBER Working Papers 1296, National Bureau of Economic Research, Inc.
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