The Effect of Macroeconomic Announcements on Commodity Prices

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. Key words: commodity prices, macroeconomic announcements, policy anticipations hypothesis. The importance of macroeconomic linkages to the U.S. agricultural sector is now fully recog-nized. Many theoretical and empirical studies have illustrated the significant impact of mac-roeconomic disturbances on agriculture. The bulk of the empirical literature by Chamber