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The effects of economic news on commodity prices · Study

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ArticleThe effects of economic news on commodity prices

Shaun K. Roache2010

Article2010

The effects of economic news on commodity prices

Shaun K. Roache · Marco Rossi

109 citations·0/0 files stored·The Quarterly Review of Economics and Finance

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Market Dynamics and Volatility Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 2001Economic News and Bond Prices: Evidence from the U.S. Treasury Market 1999Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information 2010Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices 2008The Effect of Monetary Policy on Real Commodity Prices 2009Exchange rate forecasting, order flow and macroeconomic information

Cited by

2014On the relationship between the prices of oil and the precious metals: Revisiting with a multivariate regime-switching decision tree 2014Commodity Price Responses to Monetary Policy Surprises 2018The influence of investor sentiment on the monetary policy announcement liquidity response in precious metal markets 2015The importance of belief dispersion in the response of gold futures to macroeconomic announcements

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2010A Survey of Announcement Effects on Foreign Exchange Returnsarticle · 7 shared references 2015The importance of belief dispersion in the response of gold futures to macroeconomic announcementsarticle · 7 shared references 2018The influence of investor sentiment on the monetary policy announcement liquidity response in precious metal marketsarticle · 6 shared references 2006Transmission of Information across International Equity Marketsarticle · 5 shared references 2017Monetary policy uncertainty and the market reaction to macroeconomic newsarticle · 5 shared references 2017Is the intrinsic value of a macroeconomic news announcement related to its asset price impact?article · 5 shared references

Details

Year2010

Typearticle

Published2010-03-30

VenueThe Quarterly Review of Economics and Finance

ISSN-L1062-9769

Languageen

Citations109

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.qref.2010.02.007

openalex_workW2052877147

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