The Effects of Economic News on Commodity Prices: Is Gold Just Another Commodity?, Issues 2009-2140
International Monetary Fund, Jul 1, 2009 - Business & Economics - 28 pages
The paper uses an event study methodology to investigate which and how macroeconomic announcements affect commodity prices. Results show that gold is unique among commodities, with prices reacting to specific scheduled announcements in the United States and the Euro area (such as indicators of activity or interest rate decisions) in a manner consistent with gold's traditional role as a safe-haven and store of value. Other commodity prices, where such news is significant, exhibit pro-cyclical sensitivities and these have risen somewhat as commodities have become increasingly financialized. These results are important for those trading in the commodity markets on a frequent basis and long-term market participants that take their decisions based on information on price fundamentals, which are reflected in the release of macroeconomic announcements.
What people are saying - Write a review
We haven't found any reviews in the usual places.
1-standard deviation surprise 95 percent Advance GDP Housing Advance retail sales Aggregate news t-2 Aluminium basis point CBOT Change in non-farm COMEX Commodity Price Sensitivity Consumer confidence Consumer Consumer price index cost index FOMC Crude Oil decision ISM manufacturing decision UK interest dollar index change ECB interest rate Employment cost index energy ECB interest estimates Euro area ex-food and energy exchange rate Existing home sales FOMC interest rate futures price GDP Housing starts German IFO survey gold price Gold spot Heating Oil home sales Advance IFO survey Lagged index Employment cost index FOMC interest interest rate decision ISM manufacturing survey Lagged price t-1 manufacturing survey PPI Natural Gas nearest gold futures NYMEX percent change rate decision ISM rate decision UK regressor remaining heteroscedasticity robust to remaining sales Advance GDP Soybeans statistically significant store of value survey PPI ex-food troy ounces U.S. dollar index U.S. macroeconomic announcements UK interest rate