The Effects of Macroeconomic Announcements on Commodity Prices

American Journal of Agricultural Economics, Vol. 17, No. 2, pp. 389-403, May, 1989

16 Pages Posted: 5 Oct 2009

Date Written: May 2, 1989

Abstract

This article analyzes the immediate reaction of a representative sample of commodity prices and two T-bill yields to the unanticipated components of thirteen macroeconomic announcements. Surprises in the monetary variables cause the majority of the significant commodity price responses; while these plus other cyclical surprises, such as the unemployment rate, cause significant lumber and T-bill reactions. The results provide strong support for the policy anticipations hypothesis and against the inflationary expectations hypothesis, i.e., that monetary surprises cause changes in real interest rates rather than in nominal rates only as the inflationary expectations hypothesis contends.

Keywords: commodity prices, macroeconomic announcements, policy anticipations hypothesis

JEL Classification: E51, E31

Suggested Citation

Barnhart, Scott W., The Effects of Macroeconomic Announcements on Commodity Prices (May 2, 1989). American Journal of Agricultural Economics, Vol. 17, No. 2, pp. 389-403, May, 1989. Available at SSRN: https://ssrn.com/abstract=1482028

Scott W. Barnhart (Contact Author)

Florida Atlantic University ( email )

Dept. of Finance 5353 Parkside Drive
Jupiter, FL 33431
United States
561-799-8512 (Phone)

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