کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
980437 | 1480463 | 2010 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The effects of economic news on commodity prices
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We assess how commodity prices respond to macroeconomic news and show that commodities have been relatively insensitive to such news over daily frequencies between 1997 and 2009 compared to other financial assets and major exchange rates. Where commodity prices are influenced by news, there is a pro-cyclical bias and these sensitivities have risen as commodities have become increasingly financialized. However, models based on news still do a relatively poor job of forecasting commodity prices at daily frequencies. We also find some asymmetries in how commodity prices respond to news, most notably for gold, which alone among commodities acts as a safe-haven when “bad” economic news emerges.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 50, Issue 3, August 2010, Pages 377–385
Journal: The Quarterly Review of Economics and Finance - Volume 50, Issue 3, August 2010, Pages 377–385
نویسندگان
Shaun K. Roache, Marco Rossi,