The Effects of Macroeconomic Announcements on Commodity Prices
分析13种宏观经济公告的意外成分如何影响大宗商品价格和国债收益率，发现货币政策意外是主要驱动因素，支持政策预期假说而非通胀预期假说。
Abstract 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.