Macroeconomic Announcements and Commodity Price Reactions
Summary
The document addresses how traders can identify economic announcements that move different markets, with a particular question about agricultural commodities. It cites a study examining the immediate responses of commodity prices and short-term Treasury bill yields to unexpected components of macroeconomic announcements. The cited findings indicate that surprises in monetary variables account for many significant commodity price responses, while monetary and other cyclical surprises, including unemployment, affect lumber and Treasury bills.
The study interprets its results as more consistent with a policy anticipations explanation than with inflation expectations alone: monetary surprises may shift real interest rates. This provides a research lead on announcement sensitivity, rather than a complete reference list of market-moving releases by asset class. The document gives no detailed commodity-by-commodity estimates, release calendar, or trading rules. A separate reply describes a real-time news filtering service, but that is a product suggestion and does not supply evidence about which announcements move agricultural markets.
Key ideas
- The cited study examines commodity and Treasury bill responses to unexpected macroeconomic announcements.
- Monetary surprises account for many of the significant commodity price responses reported in the study.
- Unemployment and other cyclical surprises are associated with responses in lumber and Treasury bills.
- The cited interpretation emphasizes policy expectations and changes in real interest rates.
- The document does not provide a comprehensive release-to-market mapping or a trading strategy.
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Full text
# Where can I find a list of market-moving news announcements for different asset classes? # Where can I find a list of market-moving news announcements for different asset classes? Different asset classes have different important news announcements that move the markets intraday. For instance, oil volatility increases after the EIA Petroleum Status Report, but that announcement has little impact on other markets. Treasuries respond to auction result announcements. Almost everything increases volatility in response to unemployment news. However, I'm having trouble finding what news announcements have the most impact on agricultural commodities. Is there any place that shows a list of what numbers most affect which markets? ## Answer by altabq (score 2) https://quant.stackexchange.com/a/15054 How about: Barnhart, Scott W. "The effects of macroeconomic announcements on commodity prices." American Journal of Agricultural Economics 71.2 (1989): 389-403. > This article analyzes the immediate reaction of a representative sample of commodity prices and two T-bill yields to the unanticipated components of thirteen macroeconomic announcements. Surprises in the monetary variables cause the majority of the significant commodity price responses; while these plus other cyclical surprises, such as the unemployment rate, cause significant lumber and T-bill reactions. The results provide strong support for the policy anticipations hypothesis and against the inflationary expectations hypothesis, i.e., that monetary surprises cause changes in real interest rates rather than in nominal rates only as the inflationary expectations hypothesis contends. SSRN: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1482028 ## Answer by Jay (score -1) https://quant.stackexchange.com/a/43417 I developed newsfilter.io - a real-time financial news API service. It allows you to create filter rules, and triggers. For example, you can let the system speak out loud a message if a new article with `Petroleum Status Report` in the heading was found. #### Filter Rule Use cases - BP filed sec.gov Form 10K - You want to see all real-time news that include the word `unemployment` in the headline - Press releases - Etc. #### Example
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