Commodity futures prices and economic news: An examination under alternative monetary regimes

Barnhart, Scott W.

doi:10.1002/fut.3990080407

Cited by 9 publications

(2 citation statements)

References 33 publications

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“…Also, news of the bankruptcies of banks, like Lehman filed bankruptcy, exerts a stronger impact on commodities market (Büyükşahin & Robe, ). On the other hand, after the release of monetary policy, financial institutions, like banks, will adjust their strategies, which would indirectly lead to upward (downward) revisions in investor expectations about the price and volatility paths of futures (Barnhart, ; Triantafyllou & Dotsis, ). Thus, when the fluctuations in news on financial intermediation increase, volatility of commodity futures tend to be larger, based on the changes in positions and expectations.…”

Section: Resultsmentioning

confidence: 99%

Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors

Liu

Han

Yin

2018

Journal of Futures Markets

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This study investigates the impact of news implied volatility (NVIX) and its two sub‐components (news about stock markets, SMI, and news about banks and other financial intermediaries, FII) on the long‐term volatilities of commodity futures. Our empirical results clearly show that NVIX behaves heterogeneously in energy and non‐energy sectors. NVIX exerts a positively significant influence on volatilities of non‐energy futures. By contrast, volatilities of energy futures cannot be triggered by NVIX. We further show that SMI significantly affects both energy and non‐energy futures, whereas, FII only impacts non‐energy futures.

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Section: Resultsmentioning

confidence: 99%

Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors

Liu

Han

Yin

2018

Journal of Futures Markets

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“…Barnhart (1988) considers the effect of M1 announcements, the FED discount rate, the CPI, the PPI, the unemployment rate and industrial production index on a variety of commodity futures contracts. Given the particular sensitivity of commodity prices to inflation expectations, he finds significant negative responses to unanticipated changes in M1 and inflation during the monetary operating period of 10/11/79 to 12/28/84 for several commodities that trade mainly in the domestic market (cattle, hogs, lumber and oats).…”

Section: Literature Reviewmentioning

confidence: 99%

The Influence of Monetary Conditions on the Response of Interest Rate Futures to M1 Releases: 1976–1998

Mann¹,

Dowen²

2004

Business Fin & Account

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This study examines the response of T-bill and T-bond futures prices to weekly M1 announcements over the period March 1976 to November 1998 conditioned upon monetary operating procedures and the stance in monetary policy. In concurrence with previous studies, this study finds that unanticipated increases in M1 are negatively related to changes in T-bill and T-bond futures prices. However, when the data is sorted by monetary regime, the stance in monetary policy, and direction of money surprise, we find evidence to support the several competing theories historically suggested by Cornell (1983b) to explain the impact of money supply announcements. Copyright Blackwell Publishing Ltd, 2004.

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Are cattle on feed report revisions random and does industry anticipate them?

Mills¹,

Schroeder

2004

Agribusiness

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Cattle on Feed (COF) reports are the most important source of cattle supply information for the beef industry. Accuracy of these reports is critical, as they have marked impacts on current and expected fed cattle market prices and influence resource allocation decisions. This study investigates whether COF report revisions are unbiased, random, and anticipated by beef industry analysts. Initial COF reports are biased, but the bias is economically small. Thus, there is no evidence that users of these reports should be concerned about bias. Revisions to COF estimates are not random and exhibit persistence, suggesting when revisions are made subsequent similar types of revisions tend to follow. However, on average, market analysts do not correctly anticipate revisions. Thus, if analysts' prerelease estimates are different from the initial COF report, this does not signal any useful information about future probable COF revisions. [EconLit citations: Q130, D840.] © 2004 Wiley Periodicals, Inc. Agribusiness 20: 363-374, 2004.

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Commodity futures prices and economic news: An examination under alternative monetary regimes

Cited by 9 publications

References 33 publications

Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors

Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors

The Influence of Monetary Conditions on the Response of Interest Rate Futures to M1 Releases: 1976–1998

Are cattle on feed report revisions random and does industry anticipate them?

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