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How commodity prices respond to macroeconomic news

Author

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  • Ghura, Dhaneshwar

Abstract

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.

Suggested Citation

  • Ghura, Dhaneshwar, 1990. "How commodity prices respond to macroeconomic news," Policy Research Working Paper Series 354, The World Bank.
    • Handle: RePEc:wbk:wbrwps:354
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    Citations

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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. 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).
    4. Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2017. "Macro News and Commodity Returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 22(1), pages 68-80, January.
    5. 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.
    6. Palaskas, Theodosios B. & Varangis, Panos N., 1991. "Is there excess co-movement of primary commodity prices? A co-integration test," Policy Research Working Paper Series 758, The World Bank.
    7. Kuwayama, Mikio, 1994. "Futures markets as a risk management tool for Latin American commodity exports: some pending issues," Series Históricas 9607, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).

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