The Effects of Economic News on Commodity Prices : Is Gold Just Another Commodity?

Author/Editor:

Shaun K. Roache ; Marco Rossi

Publication Date:

July 1, 2009

Electronic Access:

Free Full Text. Use the free Adobe Acrobat Reader to view this PDF file

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

The paper uses an event study methodology to investigate which and how macroeconomic announcements affect commodity prices. Results show that gold is unique among commodities, with prices reacting to specific scheduled announcements in the United States and the Euro area (such as indicators of activity or interest rate decisions) in a manner consistent with gold's traditional role as a safe-haven and store of value. Other commodity prices, where such news is significant, exhibit pro-cyclical sensitivities and these have risen somewhat as commodities have become increasingly financialized. These results are important for those trading in the commodity markets on a frequent basis and long-term market participants that take their decisions based on information on price fundamentals, which are reflected in the release of macroeconomic announcements.

Series:

Working Paper No. 09/140

Subject:

Frequency:

Quarterly

English

Publication Date:

July 1, 2009

ISBN/ISSN:

9781451872873/1018-5941

Stock No:

WPIEA2009140

Price:

$18.00 (Academic Rate:$18.00)

Format:

Paper

Pages:

28

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