文档介绍：Do Macroeconomics News Releases Affect
Gold and Silver Prices?
Rohan Christie–David, Mukesh Chaudhry, and Timothy W. Koch
Using intraday data, we document the responses of gold and silver future prices to
monthly macroeconomic news releases. Both metals respond strongly to the release of
Capacity Utilization. Gold also responds strongly to the release of the CPI. We also find
that the release of the Unemployment Rate affects both gold and silver, whereas the Gross
Domestic Product and PPI have significant effects on gold. Weak responses by gold to the
release of the Federal Deficit and silver to the release of the CPI, Hourly Wages, Business
Inventories, and Construction spending are also noted. © 2000 Elsevier Science Inc.
Keywords: Macroeconomic news; Metals; Volatility
JEL classification: G12; G14
I. Introduction
The incorporation of macroeconomic information into asset prices has been the subject of
much research for more than two decades. Several studies document the response of
various financial instruments to macroeconomic news releases (Harvey and Huang, 1991,
Ederington and Lee, 1993, 1995, Becker, Finnerty, and Kopecky, 1993, 1995). The
consensus has generally been that most of the information is incorporated within minutes
of the news release but that subsequent adjustments can take several minutes. For
example, Ederington and Lee (1993) show that, after macroeconomic news announce-
ments, most of the price adjustment in future markets take place within the first minute of
the release. They also note that higher volatility persists for approximately 15 min
thereafter and remains slightly elevated for several hours.
Assistant Professor of Finance, Department of Finance, College of Business Administration, University of
Rhode Island, Kingston, RI 02881 (RCD); Associate Professor of Finance, Department of Economics & Finance,
College of Business, Marshall University, Huntington, WV 25755 (MC); South Carolina Ba