The effect of macroeconomic news announcements on the implied volatility of commodities: The role of survey releases

Abstract

We examine the response of the implied volatility in crude oil, gold, and silver commodity markets to macroeconomic news announcements. We find that macroeconomic releases reduce uncertainty in commodity markets consistent with the hypothesis of uncertainty resolution following scheduled news announcements, while macroeconomic releases from the category of survey news announcements increase it. This result can be explained by the qualitative nature of these surveys and their ability to provide information in advance of major official macroeconomic indicators. Nevertheless, we show that survey news announcements can also be useful in resolving commodity market uncertainty in periods of heightened global financial turmoil and when the manufacturing sector of the largest economies is in contraction.