The effects of economic news on commodity prices

Shaun K. Roache and Marco Rossi

The Quarterly Review of Economics and Finance, 2010, vol. 50, issue 3, 377-385

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.

Keywords: Commodities; Macroeconomic; announcements; Futures; pricing; Financial; forecasting (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (61)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:50:y:2010:i:3:p:377-385

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