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

See all articles by Lee A. Smales

Lee A. Smales

University of Western Australia

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

Smales, Lee A., Commodity Market Volatility in the Presence of U.S. and Chinese Macroeconomic News (November 23, 2016). Journal of Commodity Markets, Vol. 7, 2017, Available at SSRN: https://ssrn.com/abstract=2875170 or http://dx.doi.org/10.2139/ssrn.2875170

Lee A. Smales (Contact Author)

University of Western Australia ( email )

UWA Business School
35 Stirling Highway
Perth, Western Australia 6009
Australia

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