This paper investigates the impact of seventeen US macroeconomic announcements on two broad and representative commodity futures indices. Based on a large sample from 1989 to 2005, we show that the daily price response of the CRB and GSCI commodity futures indices to macroeconomic news is...

The intraday response of T-bond futures prices to surprises in headline figures of U.S. macroeconomic reports is investigated. Analyzing the time series properties and the information content of the macroeconomic news flow, the answer to the question, “What determines the relative price impact...

This paper investigates the intraday response of CBOT T-bond futures prices to surprises in headline figures contained in scheduled U.S. macroeconomic news releases. While several previous studies try to find out which releases have a significant impact on prices and volatility in financial...