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The Effects of Macroeconomic Announcements on Commodity Prices
Author(s) -
Barnhart Scott W.
Publication year - 1989
Publication title -
american journal of agricultural economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.949
H-Index - 111
eISSN - 1467-8276
pISSN - 0002-9092
DOI - 10.2307/1241597
Subject(s) - economics , commodity , monetary economics , inflation (cosmology) , monetary policy , sample (material) , unemployment , interest rate , unemployment rate , keynesian economics , macroeconomics , finance , chemistry , physics , chromatography , theoretical physics
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.