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How do commodity futures respond to macroeconomic news?

Author

Listed:
  • Dieter Hess
  • He Huang
  • Alexandra Niessen
Abstract
No abstract is available for this item.

Suggested Citation

  • Dieter Hess & He Huang & Alexandra Niessen, 2008. "How do commodity futures respond to macroeconomic news?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 22(2), pages 127-146, June.
    • Handle: RePEc:kap:fmktpm:v:22:y:2008:i:2:p:127-146
    DOI: 10.1007/s11408-008-0074-x
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    References listed on IDEAS

    as
    1. Robert G. Chambers, 1985. "Credit Constraints, Interest Rates, and Agricultural Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 67(2), pages 390-395.
    2. Pearce, Douglas K & Roley, V Vance, 1985. "Stock Prices and Economic News," The Journal of Business, University of Chicago Press, vol. 58(1), pages 49-67, January.
    3. Jeffrey A. Frankel, 2008. "The Effect of Monetary Policy on Real Commodity Prices," NBER Chapters, in: Asset Prices and Monetary Policy, pages 291-333, National Bureau of Economic Research, Inc.
    4. Greg Adams & Grant McQueen & Robert Wood, 2004. "The Effects of Inflation News on High Frequency Stock Returns," The Journal of Business, University of Chicago Press, vol. 77(3), pages 547-574, July.
    5. Andersson, Magnus & Hansen, Lars Jul & Sebestyén, Szabolcs, 2006. "Which news moves the euro area bond market?," Working Paper Series 631, European Central Bank.
    6. Gary Gorton & K. Geert Rouwenhorst, 2004. "Facts and Fantasies about Commodity Futures," NBER Working Papers 10595, National Bureau of Economic Research, Inc.
    7. Frode Brevik & Axel Kind, 2004. "What is going on in the oil market?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 18(4), pages 442-457, December.
    8. Gary E. Bond, 1984. "The Effects of Supply and Interest Rate Shocks in Commodity Futures Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 66(3), pages 294-301.
    9. Scott W. Barnhart, 1989. "The Effects of Macroeconomic Announcements on Commodity Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 71(2), pages 389-403.
    10. Mark J. Flannery & Aris A. Protopapadakis, 2002. "Macroeconomic Factors Do Influence Aggregate Stock Returns," The Review of Financial Studies, Society for Financial Studies, vol. 15(3), pages 751-782.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Commodities; Macroeconomic announcements; Business cycle; E44; G14;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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