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
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: Suggested Citation