Commodity Market Volatility in the Presence of U.S. and Chinese Macroeconomic News
Journal of Commodity Markets, Vol. 7, 2017
21 Pages Posted: 28 Nov 2016 Last revised: 27 Oct 2020
Date Written: November 23, 2016
Abstract
Utilising a comprehensive sample of U.S. and Chinese macroeconomic news announcements, we determine that volatility in commodity prices is significantly impacted by news regarding U.S. economic output (Industrial Production) and Chinese producer prices (PPI). Much of this effect appears to be driven by volatility in the Energy markets. During the 2007-09 crisis, commodity markets appear to pay more attention to forward-looking macroeconomic news, such as PMI surveys. Currently, economic analysts do a poor job in forecasting Chinese macroeconomic data and it is possible that improvements in this reliability may lead to Chinese news becoming more influential.
Keywords: Commodity Markets, Macroeconomic Announcements, Volatility, China, GSCI, CRB
JEL Classification: G1, G10, G14
Suggested Citation: Suggested Citation