\section{Appendix C - Results using the ZLB Sample Period}

\renewcommand{\thetable}{C-\arabic{table}}
\setcounter{table}{0}  % Reset table counter
\begin{sidewaystable}
\caption{Effects of Macro Announcements and Financialization on Futures Returns - ZLB Sample Period}
\label{tab:macro_fin_fut_returns_zlb}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lllllllllllll@{}}
\toprule
\textbf{Commodities}         & \multicolumn{2}{c}{\textbf{Crude Oil}}    & \multicolumn{2}{c}{\textbf{Gold}}          & \multicolumn{2}{c}{\textbf{Copper}}       & \multicolumn{2}{c}{\textbf{Silver}}  & \multicolumn{2}{c}{\textbf{Palladium}}    & \multicolumn{2}{c}{\textbf{Natural Gas}}       \\ \midrule
\textbf{Announcements}       & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} \\ \midrule 
\multicolumn{13}{c}{\textbf{Macroeconomic News Announcements}} \\ \midrule
\textbf{Initial jobless claims} & -0.13544*** & 0.03145 & 0.38937*** & -2.20180*** & -0.52935*** & 1.69862*** & 0.11665*** & -0.93702*** & 0.10728** & 0.09333 & -0.07764 & 0.02027 \\ 
\textbf{ADP Employment}         & 0.40401*** & -0.34661** & -1.04667*** & 0.17884*** & 1.09465*** & -0.30735*** & 0.18981 & 0.02337 & -0.27832** & -0.04634 & 0.35566* & -0.30378* \\ 
\textbf{CB Consumer}            & 0.04738*** & 0.01175 & -0.02012** & 0.62504*** & -0.00886 & -0.59504*** & -0.04047*** & 0.21153** & -0.01632 & 0.00898 & 0.04587** & -0.00829 \\ 
\textbf{Advance retail sales}   & 0.19924*** & -0.13052*** & -0.21536*** & -0.00301 & 0.21829*** & -0.02132** & -0.06358** & 0.01148 & -0.04149 & -0.01470 & 0.07127 & -0.08261** \\ 
\textbf{Building permit}        & 0.00876 & 0.01262 & -0.02796*** & 0.09826*** & 0.03448* & -0.14706*** & 0.01076 & -0.06447*** & -0.03238*** & -0.01135 & -0.01339 & -0.01139 \\ 
\textbf{Construction spending}  & -0.01690 & 0.01949 & 0.00174 & 0.00232 & 0.01964 & -0.00415 & -0.00216 & -0.01157 & 0.02190 & -0.00176 & -0.03652 & 0.01486 \\ 
\textbf{Consumer credit}        & -0.00477 & 0.01247 & -0.00297 & 0.00767 & 0.01331 & 0.00498 & 0.00779 & 0.02053** & 0.00688 & 0.01732 & 0.01528 & 0.00689 \\ 
\textbf{Consumer price index}   & -0.02604* & -0.01915 & -0.01121 & -0.00595* & 0.02882* & -0.01229*** & 0.00962 & -0.01451** & -0.03467** & 0.00074 & 0.01985 & 0.00602 \\ 
\textbf{Durable goods orders}   & 0.01955* & 0.00840 & -0.00926 & -0.00451 & 0.01189 & -0.00811 & 0.04012*** & 0.00826 & 0.04348*** & 0.01607 & 0.02851* & -0.01551 \\ 
\textbf{Existing home sales}    & 0.05956*** & -0.00741 & -0.03056*** & 0.02765*** & -0.02193 & -0.03688*** & -0.05200*** & 0.04313*** & -0.00767 & 0.00402 & -0.00295 & -0.01494 \\ 
\textbf{Factory orders}         & 0.00032 & 0.00381 & -0.02526*** & 0.03390*** & 0.03445** & -0.03750*** & 0.00079 & 0.00265 & -0.01269 & -0.01291 & 0.00259 & 0.01178 \\ 
\textbf{Gross domestic product} & 0.03011** & -0.03081** & -0.09874*** & -0.00417 & 0.14231*** & -0.00916 & 0.04358*** & 0.00699 & -0.07660*** & -0.00398 & 0.03823* & -0.02532** \\ 
\textbf{Housing starts}         & 0.01897 & 0.00464 & -0.06460*** & 0.02261*** & 0.08712*** & -0.03600*** & 0.04787*** & -0.01312 & -0.01460 & -0.03896** & 0.01486 & -0.03128** \\ 
\textbf{Industrial production}  & 0.03864* & 0.02468 & -0.01743* & 0.01087* & 0.03365* & -0.01217 & 0.00807 & -0.03854*** & -0.02556 & 0.01029 & 0.02772 & -0.00121 \\ 
\textbf{New home sales}         & 0.04508** & 0.00345 & -0.05411*** & 0.00318 & 0.04529** & 0.00117 & 0.08631*** & 0.00136 & -0.01694 & 0.00085 & 0.02382 & 0.00223 \\ 
\textbf{Non-farm employment}    & 2.88465*** & -0.58559*** & -3.26273*** & 0.03767*** & 2.54446*** & -0.02702** & -1.63634*** & 0.03802*** & 0.00194 & -0.02640 & 1.13985*** & -0.86544*** \\ 
\textbf{Pending home sales}     & 0.03575** & 0.00827 & -0.00068 & -1.18804*** & 0.00061 & -1.77992*** & -0.03715*** & 0.72042*** & -0.01184 & -0.46442** & 0.02185 & -0.02241 \\ 
\textbf{Personal consumption}   & 0.05077*** & -0.06441** & -0.01743 & 0.00769 & 0.00016 & -0.00554 & 0.01817 & 0.01877** & -0.01690 & -0.03080* & -0.01447 & -0.00431 \\ 
\textbf{Personal income}        & -0.05408 & -0.07328 & -0.01315 & -0.02674*** & -0.07365 & 0.00118 & 0.02456 & -0.00143 & 0.00748 & 0.00283 & -0.07876 & -0.18097** \\ 
\textbf{Producer price index}   & 0.02545** & 0.01051 & -0.01703** & -0.00020 & -0.01533 & -0.05688 & 0.00989 & 0.07844** & 0.02613** & -0.03985 & -0.02221 & -0.00095 \\ 
\textbf{Trade balance}          & -0.02379 & -0.03072*** & -0.02416** & -0.00750 & -0.00933 & -0.00533 & -0.01005 & -0.00455 & 0.00269 & -0.00794 & 0.02307 & 0.00533 \\ 
\textbf{Crude Oil Weekly inventory} & -0.18216*** & -0.04537*** &  &  &  &  &  &  &  &  &  &  \\ 
\textbf{Natural Gas Weekly inventory} &  &  &  &  &  &  &  &  &  &  & -0.01427 & 0.00311 \\ 
\midrule 
\textbf{Observations} & \multicolumn{2}{c}{495652} & \multicolumn{2}{c}{500857} & \multicolumn{2}{c}{492438} & \multicolumn{2}{c}{485244} & \multicolumn{2}{c}{315201} & \multicolumn{2}{c}{448530} \\ 
\textbf{$R^2$} & \multicolumn{2}{c}{0.00258} & \multicolumn{2}{c}{0.003119} & \multicolumn{2}{c}{0.001676} & \multicolumn{2}{c}{0.000838} & \multicolumn{2}{c}{0.000442} & \multicolumn{2}{c}{0.000339} \\ 
\bottomrule 
\end{tabular}
}
\begin{tablenotes}
\singlespacing
\footnotesize
This table presents estimates of eq. \ref{eq:Model 1}, $R_{t}^{t+\tau}=\alpha+\sum_{m=1}^{22} \gamma_m S_{m,t}+ \delta X_{t,i} + \sum_{m=1}^{22} \theta_m (S_{m,t} \cdot X_t)+\beta R_{t-\tau}^{t}+\epsilon_{t}$ using the method proposed by \citet{kurov2019price} and the financialization variable $PCA_t$. The period covered is from 2008-12-22 to 2015-12-21. The $\gamma_m$ coefficients capture the instantaneous change in return when an announcement has just occurred and especially if that announcement was unanticipated. The coefficients $\theta_m$ capture the instantaneous change in return when an announcement has just occurred in conjunction with the level of financialization.
\end{tablenotes}
\end{sidewaystable}



\begin{sidewaystable}
\caption{Effects of Macro Announcements and Financialization on Futures Conditional Variance - ZLB Sample Period}
\label{tab:macro_fin_fut_var_zlb}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lllllllllllll@{}}
\toprule
\textbf{Commodities}         & \multicolumn{2}{c}{\textbf{Crude Oil}}    & \multicolumn{2}{c}{\textbf{Gold}}          & \multicolumn{2}{c}{\textbf{Copper}}       & \multicolumn{2}{c}{\textbf{Silver}}  & \multicolumn{2}{c}{\textbf{Palladium}}    & \multicolumn{2}{c}{\textbf{Natural Gas}}       \\ \midrule
\textbf{Announcements}            & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} \\ \midrule \multicolumn{13}{c}{\textbf{Macroeconomic News Announcements}} \\ \midrule 
\textbf{Initial jobless claims} & 0.05230*** & -0.02390*** & 0.05120*** & -0.00208 & 0.06948*** & 0.00435 & 0.03286*** & -0.00654** & 0.07873*** & -0.01437*** & -0.01883*** & -0.01405*** \\ 
\textbf{ADP Employment}         & -0.00064 & -0.02039** & 0.03401*** & -0.01693*** & 0.01975* & -0.01844*** & 0.03716*** & -0.01102* & 0.01213 & 0.00286 & 0.01214 & -0.01709 \\ 
\textbf{CB Consumer}            & 0.05423*** & 0.00382 & 0.03491*** & -0.00805** & 0.06318*** & -0.00753 & 0.04855*** & -0.00729 & 0.03441*** & 0.00766 & -0.00136 & -0.00468 \\ 
\textbf{Advance retail sales}   & 0.08163*** & 0.01716 & 0.06425*** & -0.02067*** & 0.08051*** & -0.01868** & 0.05908*** & -0.00111 & 0.06138*** & 0.00211 & 0.01204 & -0.01596 \\ 
\textbf{Building permit}        & 0.02824*** & -0.02616** & 0.04710*** & -0.01613*** & 0.05076*** & -0.02120*** & 0.03100*** & -0.00311 & 0.05838*** & -0.00125 & 0.00152 & -0.02018* \\ 
\textbf{Construction spending}  & 0.07983*** & -0.03904*** & 0.05463*** & -0.01756*** & 0.05670*** & 0.00613 & 0.06941*** & -0.02122*** & 0.04758*** & -0.00686 & 0.02882* & -0.01822 \\ 
\textbf{Consumer credit}        & 0.01569 & 0.01426 & 0.00817 & 0.00565 & 0.02038* & 0.00663 & 0.00402 & -0.00019 & -0.00170 & -0.00942 & 0.00357 & 0.00090 \\ 
\textbf{Consumer price index}   & 0.00563 & 0.01145 & 0.05637*** & -0.01680*** & 0.07700*** & -0.04432*** & 0.00890 & -0.00318 & 0.03889** & 0.00686 & -0.00879 & -0.01715 \\ 
\textbf{Durable goods orders}   & 0.05961*** & -0.05183*** & 0.04597*** & -0.00691* & 0.06557*** & -0.00012 & 0.03034*** & -0.00654 & 0.07662*** & 0.01014 & 0.01540 & -0.00200 \\ 
\textbf{Existing home sales}    & 0.01855* & -0.02477** & 0.04511*** & -0.01162*** & 0.05889*** & 0.00880 & 0.03025*** & -0.01350** & 0.00448 & -0.00450 & 0.02979** & -0.02428** \\ 
\textbf{Factory orders}         & 0.02384** & -0.00138 & 0.02625*** & 0.00064 & 0.02110* & -0.00514 & 0.01934** & -0.00737 & 0.02307* & 0.00569 & 0.04423*** & -0.00473 \\ 
\textbf{Gross domestic product} & 0.04255*** & -0.05356*** & 0.06410*** & -0.01349*** & 0.10056*** & -0.01680** & 0.04971*** & -0.00819 & 0.07056*** & -0.03732*** & -0.03347** & -0.00852 \\ 
\textbf{Housing starts}         & 0.02871*** & -0.02024** & 0.03890*** & -0.01092*** & 0.04433*** & -0.01277* & 0.03447*** & 0.00137 & 0.05830*** & -0.00097 & -0.00431 & -0.01496 \\ 
\textbf{Industrial production}  & -0.00494 & -0.00948 & 0.01734*** & 0.00079 & 0.01097 & 0.00834 & 0.00637 & -0.00028 & -0.01547 & -0.01559* & -0.01885 & -0.03405*** \\ 
\textbf{New home sales}         & 0.04713*** & -0.03780*** & 0.05702*** & 0.00197 & 0.06054*** & 0.00135 & 0.04559*** & -0.01446** & 0.05664*** & -0.05001*** & 0.00841 & -0.02391** \\ 
\textbf{Non-farm employment}    & 0.25386*** & -0.00842** & 0.27310*** & -0.03339*** & 0.36578*** & -0.03915*** & 0.17894*** & -0.01511*** & 0.17564*** & 0.00139 & 0.09638*** & -0.01587* \\ 
\textbf{Pending home sales}     & 0.02915*** & -0.03815*** & 0.01095* & 0.00048 & 0.02361** & -0.01508** & 0.04939*** & -0.01620*** & 0.00786 & 0.00298 & 0.02930** & -0.07122*** \\ 
\textbf{Personal consumption}   & -0.01296 & -0.03662*** & 0.02088*** & 0.00532 & 0.03304*** & 0.00595 & -0.01157 & -0.01046* & 0.06353*** & 0.00710 & 0.04514*** & -0.01013 \\ 
\textbf{Personal income}        & 0.01238 & -0.03356*** & 0.05491*** & -0.01713*** & 0.07143*** & -0.03372*** & 0.01392 & 0.00363 & 0.06359*** & 0.01845 & 0.02882* & -0.01777 \\ 
\textbf{Producer price index}   & 0.06409*** & 0.01709 & 0.04481*** & 0.00272 & 0.05388*** & -0.02738*** & 0.02235** & -0.00973 & 0.14576*** & -0.02135** & 0.02488 & -0.01853 \\ 
\textbf{Trade balance}          & 0.05802*** & -0.01613*** & 0.04319*** & 0.00406 & 0.04435*** & -0.00285 & 0.01022 & -0.00094 & 0.04279*** & 0.00306 & -0.01591 & -0.01452* \\ 
\textbf{Crude Oil Weekly inventory} & 0.11581*** & 0.07104*** &  &  &  &  &  &  &  &  &  &  \\ 
\textbf{Natural Gas Weekly inventory} &  &  &  &  &  &  &  &  &  &  & 0.77055*** & -0.02633*** \\ 
\midrule 
\textbf{Observations}             & \multicolumn{2}{c}{495652} & \multicolumn{2}{c}{500857} & \multicolumn{2}{c}{492438} & \multicolumn{2}{c}{485244} & \multicolumn{2}{c}{315201} & \multicolumn{2}{c}{448530} \\ 
\textbf{$R^2$}                    & \multicolumn{2}{c}{0.143674} & \multicolumn{2}{c}{0.084117} & \multicolumn{2}{c}{0.074892} & \multicolumn{2}{c}{0.068345} & \multicolumn{2}{c}{0.057901} & \multicolumn{2}{c}{0.163648} \\ 
\bottomrule 
\end{tabular}
}
\begin{tablenotes}
\singlespacing
\footnotesize
This table presents estimates of eq. \ref{eqn:VarianceEqn} using the financialization variable $PCA_t$. The equation is $\sigma_{t}^2=\alpha_0+\alpha_1 \sigma_{t-1}^2+\alpha_2 \epsilon_t^2 +\sum_{m=1}^{22} \Phi_m D_{m,t}+\beta X_{i,t}+\sum_{k=1}^n \phi_k I_{kt} + \sum_{h=1}^{23} \rho_h D_h$ where $I_{kt}=D_{m,t} \cdot X_{i,t}$ and $D_{m,t}$ is a macro announcement dummy variable for release $m$. The period covered is from 2008-12-22 to 2015-12-21. The $\Phi_m$ coefficients capture the instantaneous change in the conditional variance when an announcement has just occurred. The $\phi_m$ coefficients capture the conditional variance when an announcement has just occurred in conjunction with the level of financialization.
\end{tablenotes}
\end{sidewaystable}

\begin{sidewaystable}
\caption{Effects of Macro Announcements and Financialization (Money Managers only) on Futures Returns - ZLB Sample Period}
\label{tab:macro_fin_mm_fut_returns_zlb}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lllllllllllll@{}}
\toprule
\textbf{Commodities}         & \multicolumn{2}{c}{\textbf{Crude Oil}}    & \multicolumn{2}{c}{\textbf{Gold}}          & \multicolumn{2}{c}{\textbf{Copper}}       & \multicolumn{2}{c}{\textbf{Silver}}  & \multicolumn{2}{c}{\textbf{Palladium}}    & \multicolumn{2}{c}{\textbf{Natural Gas}}       \\ \midrule
\textbf{Announcements}       & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} \\ \midrule \multicolumn{13}{c}{\textbf{Macroeconomic News Announcements}} \\ \midrule 
\textbf{Initial jobless claims} & -0.61873*** & 3.79363*** & 0.82122*** & -1.83823*** & -0.94610*** & 3.51646*** & 0.13481*** & 0.26240 & -0.30845 & 0.89588* & -0.06368 & 0.28495 \\ 
\textbf{ADP Employment}         & 1.44785*** & -7.85026*** & -2.63505*** & 6.54340*** & 1.65861*** & -5.12131*** & -0.29183** & -0.98879 & 0.09768 & -0.81895 & 0.66288** & 0.35649 \\ 
\textbf{CB Consumer}            & 0.23286*** & -1.72586*** & -0.02786* & 0.03013 & 0.03949* & 0.20351 & -0.03721*** & -0.12280 & -0.10851* & 0.19894* & 0.06576** & 0.22021 \\ 
\textbf{Advance retail sales}   & 0.72061*** & -5.21570*** & -0.48559*** & 1.07889*** & 0.40723*** & -1.59806*** & -0.04838* & 0.51979** & -0.14490 & 0.22726 & 0.10462* & 0.03384 \\ 
\textbf{Building permit}        & 0.00943 & -0.03507 & -0.01738 & -0.04424 & 0.03626* & -0.02107 & -0.00067 & -0.01652 & 0.00852 & -0.09906 & -0.03031 & -0.14419 \\ 
\textbf{Construction spending}  & -0.01686 & -0.07735 & 0.00554 & -0.01680 & 0.03991 & -0.13778 & 0.01419 & -0.25300*** & 0.09235 & -0.15374 & -0.04047 & -0.07342 \\ 
\textbf{Consumer credit}        & -0.00935 & 0.00035 & -0.02739** & 0.10286** & 0.01537 & -0.18194*** & 0.00156 & 0.05545 & 0.05113 & -0.09891 & 0.02655 & 0.14118 \\ 
\textbf{Consumer price index}   & 0.00068 & -0.14800 & -0.04091** & 0.12628 & -0.04450* & 0.12259 & 0.00586 & -0.31484*** & 0.00768 & -0.09833 & 0.03047 & 0.18925 \\ 
\textbf{Durable goods orders}   & 0.20737*** & -1.59397*** & -0.08826*** & 0.32878*** & 0.06089*** & -0.45767*** & -0.02528** & -0.04901 & 0.07290 & -0.06165 & 0.00919 & -0.30145 \\ 
\textbf{Existing home sales}    & 0.09446** & -0.43011 & -0.07796*** & 0.23737*** & -0.04781 & 0.30091 & -0.05891*** & -0.13818 & -0.05208 & 0.10284 & 0.00204 & -0.03008 \\ 
\textbf{Factory orders}         & -0.05469 & 0.45466 & -0.05182* & 0.10148 & 0.07530** & 0.27928 & 0.00053 & -0.02256 & 0.02337 & -0.07138 & 0.02626 & 0.38077 \\ 
\textbf{Gross domestic product} & 0.09203** & -0.51635** & -0.16170*** & 0.24657** & 0.25379*** & -0.84989*** & -0.02338* & 0.24025** & -0.23846*** & 0.38337** & 0.01852 & -0.11700 \\ 
\textbf{Housing starts}         & 0.10174** & -0.67073** & -0.08595*** & 0.07723 & 0.12082*** & 0.23702 & -0.02456** & -0.00819 & -0.06445 & 0.10574 & -0.01387 & -0.26555 \\ 
\textbf{Industrial production}  & 0.13054** & -0.83082* & -0.03781 & 0.08352 & -0.05807* & 0.16764 & 0.01605 & -0.17091 & -0.15723** & 0.27747* & 0.03047 & 0.02433 \\ 
\textbf{New home sales}         & 0.11875** & -0.61516 & -0.16013*** & 0.41718*** & 0.08742*** & 0.26801 & 0.07452*** & -0.01334 & -0.13515 & 0.25862 & 0.02251 & -0.06486 \\ 
\textbf{Non-farm employment}    & 8.42886*** & -45.72262*** & -7.18381*** & 15.65980*** & 5.95620*** & -24.71473*** & -1.55073*** & 2.37769** & -0.02971 & 0.41305 & 0.48504 & -11.46876*** \\ 
\textbf{Pending home sales}     & 0.23739*** & -1.67951*** & 0.01256 & -0.06539 & -0.00922 & 0.07800 & -0.03930*** & -0.06399 & -0.15640* & 0.32581* & -0.00562 & -0.42268 \\ 
\textbf{Personal consumption}   & -0.01615 & 0.35868 & -0.06144* & 0.19471* & 0.02187 & -0.16030 & 0.00970 & 0.19646 & -0.08276 & 0.13089 & -0.02085 & -0.11183 \\ 
\textbf{Personal income}        & -0.12451 & 1.06590 & 0.07096 & -0.31886 & -0.21668 & 1.21137 & 0.02078 & -0.32997 & -0.38298 & 0.75093 & -0.29178** & -3.32571*** \\ 
\textbf{Producer price index}   & 0.12110*** & -0.87303*** & -0.05265*** & 0.13217** & -0.04707* & 0.21052 & 0.01299 & -0.11666 & 0.09948* & -0.16284 & -0.03937 & -0.19326 \\ 
\textbf{Trade balance}          & -0.02921 & 0.14179 & -0.02691 & 0.02610 & -0.02325 & 0.10813 & -0.01952 & 0.11285 & 0.08551 & -0.16591 & 0.02784 & 0.06101 \\  
\textbf{Crude Oil Weekly inventory} & -0.14249*** & -0.10192 &  &  &  &  &  &  &  &  &  &  \\ 
\textbf{Natural Gas Weekly inventory} &  &  &  &  &  &  &  &  &  &  & -0.69681*** & -0.87379*** \\  \midrule 
\textbf{Observations}             & \multicolumn{2}{c}{495652} & \multicolumn{2}{c}{500857} & \multicolumn{2}{c}{492438} & \multicolumn{2}{c}{485244} & \multicolumn{2}{c}{315201} & \multicolumn{2}{c}{448530} \\ 
\textbf{$R^2$}                    & \multicolumn{2}{c}{0.002881} & \multicolumn{2}{c}{0.003122} & \multicolumn{2}{c}{0.001578} & \multicolumn{2}{c}{0.000642} & \multicolumn{2}{c}{0.000452} & \multicolumn{2}{c}{0.001913} \\ 
\bottomrule 
\end{tabular}
}
\begin{tablenotes}
\singlespacing
\footnotesize
This table presents estimates of eq. \ref{eq:Model 1}, $R_{t}^{t+\tau}=\alpha+\sum_{m=1}^{22} \gamma_m S_{m,t}+ \delta X_{t,i} + \sum_{m=1}^{22} \theta_m (S_{m,t} \cdot X_t)+\beta R_{t-\tau}^{t}+\epsilon_{t}$ using the method proposed by \citet{kurov2019price} and the financialization variable $MM_NLS_t$, calculated with the money manager positions. The period covered is from 2008-12-22 to 2015-12-21. The $\gamma_m$ coefficients capture the instantaneous change in return when an announcement has just occurred and especially if that announcement was unanticipated. The coefficients $\theta_m$ capture the instantaneous change in return when an announcement has just occurred in conjunction with the level of financialization.
\end{tablenotes}
\end{sidewaystable}



\begin{sidewaystable}
\caption{Effects of Macro Announcements and Financialization (Swap Dealers only) on Futures Returns - ZLB Sample Period}
\label{tab:macro_fin_sd_fut_returns_zlb}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lllllllllllll@{}}
\toprule
\textbf{Commodities}         & \multicolumn{2}{c}{\textbf{Crude Oil}}    & \multicolumn{2}{c}{\textbf{Gold}}          & \multicolumn{2}{c}{\textbf{Copper}}       & \multicolumn{2}{c}{\textbf{Silver}}  & \multicolumn{2}{c}{\textbf{Palladium}}    & \multicolumn{2}{c}{\textbf{Natural Gas}}       \\ \midrule
\textbf{Announcements}       & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} \\ \midrule 
\multicolumn{13}{c}{\textbf{Macroeconomic News Announcements}} \\ \midrule 
\textbf{Initial jobless claims} & -0.32056*** & -1.72794*** & 0.38264*** & 0.42661 & -0.40779*** & -1.27055 & 0.13737 & -0.87888 & 0.14847** & 0.45145 & -0.07010 & -0.10390 \\ 
\textbf{ADP Employment}         & 0.69846*** & 3.71649*** & -0.85488*** & -1.58718 & 0.85300*** & 0.48351 & -0.99839 & 4.17881* & -0.16141 & 1.79936* & 0.90271* & -1.93898 \\ 
\textbf{CB Consumer}            & 0.10301*** & 0.87977*** & -0.01011 & 0.10979 & -0.01216 & -0.10324 & -0.14402* & 0.57572** & -0.02866* & -0.14917 & 0.11438 & -0.43482 \\ 
\textbf{Advance retail sales}   & 0.24843*** & 1.51216*** & -0.28012*** & -0.97235*** & 0.13895*** & -0.56864 & -0.63271*** & -2.12932*** & -0.07521** & -0.39294 & 0.46335*** & -2.78721*** \\ 
\textbf{Building permit}        & 0.02936 & 0.18263 & -0.02238** & 0.03441 & 0.03317** & 0.25235 & -0.22253*** & -0.75451*** & -0.03283*** & 0.00983 & 0.01802 & -0.28407 \\ 
\textbf{Construction spending}  & 0.00556 & 0.30199** & 0.01642 & 0.13233 & 0.01630 & 0.12278 & -0.29005*** & -0.96048*** & 0.03267 & 0.13762 & -0.01452 & -0.12698 \\ 
\textbf{Consumer credit}        & -0.00969 & -0.01432 & -0.00832 & -0.07044 & 0.01001 & -0.11920 & 0.02716 & -0.07626 & 0.00857 & 0.07192 & 0.04016 & -0.17524 \\ 
\textbf{Consumer price index}   & -0.04760*** & -0.23974** & 0.02015 & 0.31684 & -0.01748 & -0.44052* & -0.11054 & 0.39000 & -0.03451** & 0.05952 & 0.05187 & -0.23282 \\ 
\textbf{Durable goods orders}   & 0.11917*** & 0.59693*** & -0.05002*** & -0.26004*** & 0.00327 & 0.25498* & -0.08716** & -0.20937* & 0.09130*** & 0.25771*** & 0.00296 & 0.12176 \\ 
\textbf{Existing home sales}    & 0.05460*** & 0.01145 & -0.02656 & -0.13171 & -0.00135 & 0.15546 & -0.07654 & 0.40998* & -0.01008 & -0.08721 & 0.15042* & -0.85454* \\ 
\textbf{Factory orders}         & -0.00835 & -0.14771 & -0.04126* & -0.14039 & 0.02815* & -0.11486 & -0.06044 & 0.19988 & -0.01459 & -0.03536 & 0.07999 & -0.53160 \\ 
\textbf{Gross domestic product} & 0.06167*** & 0.31740*** & -0.04749** & 0.37778*** & 0.14238*** & 0.34776* & -0.03946 & 0.23063 & -0.07962*** & -0.16292 & -0.03689 & 0.44542 \\ 
\textbf{Housing starts}         & 0.09313*** & 0.48485*** & -0.09264*** & -0.16993 & 0.09609*** & -0.25287 & -0.02460 & 0.15814 & -0.03424** & -0.19375** & -0.01233 & 0.00095 \\ 
\textbf{Industrial production}  & 0.07388*** & 0.42044** & 0.00084 & 0.14587 & 0.03551* & 0.23188 & -0.00288 & 0.03430 & -0.03194 & -0.07516 & 0.07229 & -0.28270 \\ 
\textbf{New home sales}         & 0.09002*** & 0.44011*** & -0.03834 & 0.11355 & 0.04672** & 0.06064 & 0.01671 & 0.17876 & -0.00305 & 0.01911 & 0.09846 & -0.50693 \\ 
\textbf{Non-farm employment}    & 3.88185*** & 13.80768*** & -4.82381*** & -15.84916*** & 2.10300*** & 8.70416** & -0.61228 & 6.83749*** & 0.35630 & 2.69980 & 0.22581 & 5.96351 \\ 
\textbf{Pending home sales}     & 0.05149*** & 0.45606*** & 0.00041 & 0.05162 & 0.01186 & 0.51632** & -0.00387 & 0.12369 & -0.00455 & -0.07283 & 0.08726 & -0.27124 \\ 
\textbf{Personal consumption}   & 0.03372 & -0.02065 & 0.00836 & 0.12445 & 0.00736 & 0.54898* & 0.10110 & -0.27521 & -0.01750 & -0.00691 & -0.05347 & 0.27416 \\ 
\textbf{Personal income}        & -0.05994 & -0.50016 & -0.02996 & -0.16180 & 0.01430 & 2.79718** & -0.10297 & 0.41100 & -0.05688 & -0.65726 & -0.46663 & 3.32969 \\ 
\textbf{Producer price index}   & 0.02268* & 0.11458 & -0.00540 & 0.08145 & -0.01398 & 0.34543** & -0.00170 & 0.03633 & 0.01875 & -0.08175 & -0.06659 & 0.30030 \\ 
\textbf{Trade balance}          & -0.02017 & -0.09883 & -0.00403 & 0.14655 & -0.00768 & -0.21584 & -0.06485 & 0.18213 & 0.01558 & 0.10698 & 0.01481 & 0.04146 \\  
\textbf{Crude Oil Weekly inventory} & -0.25063*** & -0.60613*** &  &  &  &  &  &  &  &  &  &  \\ 
\textbf{Natural Gas Weekly inventory} &  &  &  &  &  &  &  &  &  &  & -1.20271*** & 3.39611*** \\  
\midrule 
\textbf{Observations}             & \multicolumn{2}{c}{495652} & \multicolumn{2}{c}{500857} & \multicolumn{2}{c}{492438} & \multicolumn{2}{c}{485244} & \multicolumn{2}{c}{315201} & \multicolumn{2}{c}{448530} \\ 
\textbf{$R^2$}                    & \multicolumn{2}{c}{0.002955} & \multicolumn{2}{c}{0.002525} & \multicolumn{2}{c}{0.001046} & \multicolumn{2}{c}{0.000681} & \multicolumn{2}{c}{0.000478} & \multicolumn{2}{c}{0.002085} \\ 
\bottomrule 
\end{tabular}
}
\begin{tablenotes}
\singlespacing
\footnotesize
This table presents estimates of eq. \ref{eq:Model 1}, $R_{t}^{t+\tau}=\alpha+\sum_{m=1}^{22} \gamma_m S_{m,t}+ \delta X_{t,i} + \sum_{m=1}^{22} \theta_m (S_{m,t} \cdot X_t)+\beta R_{t-\tau}^{t}+\epsilon_{t}$ using the method proposed by \citet{kurov2019price} and the financialization variable $SWAP_NLS_t$, calculated with the swap dealer positions. The period covered is from 2008-12-22 to 2015-12-21. The $\gamma_m$ coefficients capture the instantaneous change in return when an announcement has just occurred and especially if that announcement was unanticipated. The coefficients $\theta_m$ capture the instantaneous change in return when an announcement has just occurred in conjunction with the level of financialization.
\end{tablenotes}
\end{sidewaystable}



\begin{sidewaystable}
\caption{Effects of Macro Announcements and Financialization (Money Managers only) on Futures Conditional Variance - ZLB Sample Period}
\label{tab:macro_fin_mm_var_zlb}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lllllllllllll@{}}
\toprule
\textbf{Commodities}         & \multicolumn{2}{c}{\textbf{Crude Oil}}    & \multicolumn{2}{c}{\textbf{Gold}}          & \multicolumn{2}{c}{\textbf{Copper}}       & \multicolumn{2}{c}{\textbf{Silver}}  & \multicolumn{2}{c}{\textbf{Palladium}}    & \multicolumn{2}{c}{\textbf{Natural Gas}}       \\ \midrule
\textbf{Announcements}            & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} \\ \midrule 
\multicolumn{13}{c}{\textbf{Macroeconomic News Announcements}} \\ \midrule 
\textbf{Initial jobless claims} & 0.11042*** & -0.51631*** & 0.05263*** & -0.00595 & 0.08731*** & -0.12781** & 0.03485*** & -0.06463* & 0.17234*** & -0.20324*** & -0.02869*** & -0.13137 \\ 
\textbf{ADP Employment}         & 0.06053** & -0.52779** & 0.07769*** & -0.17422*** & 0.06459*** & -0.31473*** & 0.03757*** & -0.03711 & 0.00838 & 0.00886 & 0.01206 & -0.00492 \\ 
\textbf{CB Consumer}            & 0.20124*** & -1.34580*** & 0.05019*** & -0.06305 & 0.05986*** & 0.02708 & 0.05096*** & -0.13200* & 0.09902** & -0.14213 & -0.00238 & -0.01103 \\ 
\textbf{Advance retail sales}   & 0.20892*** & -1.16165*** & 0.12186*** & -0.22994*** & 0.12102*** & -0.28523** & 0.06519*** & -0.25509*** & 0.06152 & -0.00004 & -0.00614 & -0.23023 \\ 
\textbf{Building permit}        & 0.10335*** & -0.67730** & 0.08754*** & -0.16183*** & 0.10387*** & -0.38658*** & 0.03230*** & -0.08438 & 0.05805 & 0.00050 & -0.01453 & -0.22983 \\ 
\textbf{Construction spending}  & 0.30662*** & -2.00920*** & 0.10043*** & -0.17977*** & 0.09162*** & -0.24762** & 0.07129*** & -0.15578** & 0.03585 & 0.02620 & 0.01936 & -0.11956 \\ 
\textbf{Consumer credit}        & 0.06781** & -0.45377* & 0.01954 & -0.04524 & 0.02045 & -0.00112 & 0.00041 & 0.13979** & -0.07108 & 0.14854 & 0.00592 & 0.03352 \\ 
\textbf{Consumer price index}   & 0.03264 & -0.30328 & 0.10382*** & -0.19722*** & 0.09979*** & -0.21962 & 0.01185 & -0.02195 & 0.02337 & 0.03283 & -0.02505 & -0.27462 \\ 
\textbf{Durable goods orders}   & 0.16495*** & -0.98185*** & 0.05274*** & -0.02911 & 0.03975** & 0.19593 & 0.03304*** & -0.11622 & 0.11101** & -0.07750 & 0.02164 & 0.07533 \\ 
\textbf{Existing home sales}    & 0.06024** & -0.37169 & 0.06853*** & -0.09569** & 0.07145*** & -0.09328 & 0.03615*** & -0.19790*** & 0.02413 & -0.04280 & 0.03945* & 0.08293 \\ 
\textbf{Factory orders}         & 0.08018*** & -0.53355** & 0.00713 & 0.07431 & -0.00389 & 0.18423 & 0.02073** & 0.01816 & 0.10843** & -0.18796* & 0.00491 & -0.51457*** \\ 
\textbf{Gross domestic product} & 0.19148*** & -1.31834*** & 0.08641*** & -0.09203* & 0.13275*** & -0.23199* & 0.05266*** & -0.04615 & 0.24948*** & -0.39107*** & -0.04221* & -0.10882 \\ 
\textbf{Housing starts}         & 0.07005** & -0.38038 & 0.05814*** & -0.07651 & 0.07579*** & -0.22709* & 0.03668*** & -0.11181 & 0.04081 & 0.03840 & -0.01655 & -0.17388 \\ 
\textbf{Industrial production}  & 0.07962** & -0.78674*** & 0.01453 & 0.01179 & 0.04212** & -0.22839* & 0.00789 & -0.05580 & 0.07086 & -0.18734* & -0.04399** & -0.34835** \\ 
\textbf{New home sales}         & 0.13000*** & -0.72125*** & 0.05974*** & -0.01109 & 0.06094*** & -0.00298 & 0.04619*** & -0.06623 & 0.27489*** & -0.48294*** & -0.00206 & -0.15513 \\ 
\textbf{Non-farm employment}    & 0.41187*** & -1.49559*** & 0.38777*** & -0.47071*** & 0.46246*** & -0.70966*** & 0.17870*** & 0.07823 & 0.13212*** & 0.09361 & 0.07222*** & -0.36383** \\ 
\textbf{Pending home sales}     & 0.16519*** & -1.17845*** & 0.02729** & -0.06490 & -0.00125 & 0.17222 & 0.04910*** & -0.05658 & 0.04843 & -0.08794 & -0.02888 & -0.72767*** \\ 
\textbf{Personal consumption}   & 0.00594 & -0.09037 & 0.06558*** & -0.17108*** & 0.07976*** & -0.31621** & -0.01151 & 0.07871 & 0.16883*** & -0.22576* & 0.01929 & -0.26873 \\ 
\textbf{Personal income}        & 0.03350 & -0.15354 & 0.15047*** & -0.37937*** & 0.17321*** & -0.73187*** & 0.01627* & -0.11945 & 0.17525*** & -0.24260** & -0.00037 & -0.36836** \\ 
\textbf{Producer price index}   & 0.17157*** & -1.00764*** & 0.07182*** & -0.10851** & 0.12842*** & -0.53013*** & 0.02160** & 0.04167 & 0.28218*** & -0.29799*** & 0.03465 & 0.10017 \\ 
\textbf{Trade balance}          & 0.11056*** & -0.48706** & 0.06293*** & -0.08213* & 0.03800** & 0.04965 & 0.01111 & -0.02654 & 0.02059 & 0.04861 & -0.02653 & -0.17166 \\  
\textbf{Crude Oil Weekly inventory} & 0.10301*** & 0.10001 &  &  &  &  &  &  &  &  &  &  \\ 
\textbf{Natural Gas Weekly inventory} &  &  &  &  &  &  &  &  &  &  & 0.80936*** & 0.99041*** \\  
\midrule 
\textbf{Observations}             & \multicolumn{2}{c}{495652} & \multicolumn{2}{c}{500857} & \multicolumn{2}{c}{492438} & \multicolumn{2}{c}{485244} & \multicolumn{2}{c}{315201} & \multicolumn{2}{c}{448530} \\ 
\textbf{$R^2$}                    & \multicolumn{2}{c}{0.16859} & \multicolumn{2}{c}{0.085873} & \multicolumn{2}{c}{0.071917} & \multicolumn{2}{c}{0.072993} & \multicolumn{2}{c}{0.05873} & \multicolumn{2}{c}{0.162315} \\ 
\bottomrule 
\end{tabular}
}
\begin{tablenotes}
\singlespacing
\footnotesize
This table presents estimates of eq. \ref{eqn:VarianceEqn} using the financialization variable $MM_NLS_t$, calculated with the money manager positions. The equation is $\sigma_{t}^2=\alpha_0+\alpha_1 \sigma_{t-1}^2+\alpha_2 \epsilon_t^2 +\sum_{m=1}^{22} \Phi_m D_{m,t}+\beta X_{i,t}+\sum_{k=1}^n \phi_k I_{kt} + \sum_{h=1}^{23} \rho_h D_h$ where $I_{kt}=D_{m,t} \cdot X_{i,t}$ and $D_{m,t}$ is a macro announcement dummy variable for release $m$. The period covered is from 2008-12-22 to 2015-12-21. The $\Phi_m$ coefficients capture the instantaneous change in the conditional variance when an announcement has just occurred. The $\phi_m$ coefficients capture the conditional variance when an announcement has just occurred in conjunction with the level of financialization.
\end{tablenotes}
\end{sidewaystable}


\begin{sidewaystable}
\caption{Effects of Macro Announcements and Financialization (Swap Dealers only) on Futures Conditional Variance - ZLB Sample Period}
\label{tab:macro_fin_sd_var_zlb}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lllllllllllll@{}}
\toprule
\textbf{Commodities}         & \multicolumn{2}{c}{\textbf{Crude Oil}}    & \multicolumn{2}{c}{\textbf{Gold}}          & \multicolumn{2}{c}{\textbf{Copper}}       & \multicolumn{2}{c}{\textbf{Silver}}  & \multicolumn{2}{c}{\textbf{Palladium}}    & \multicolumn{2}{c}{\textbf{Natural Gas}}       \\ \midrule
\textbf{Announcements}            & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} \\ \midrule 
\multicolumn{13}{c}{\textbf{Macroeconomic News Announcements}} \\ \midrule 
\textbf{Initial jobless claims} & 0.06549*** & 0.23925*** & 0.03655*** & -0.12678*** & 0.06619*** & 0.16700** & -0.08182*** & 0.37478*** & 0.09328*** & 0.22900*** & 0.00441 & -0.14759 \\ 
\textbf{ADP Employment}         & 0.01409 & 0.23268*** & 0.05449*** & 0.17291** & 0.01648 & 0.17252 & 0.09995** & 0.43807*** & 0.00677 & -0.08376 & 0.01720 & -0.03058 \\ 
\textbf{CB Consumer}            & 0.07658*** & 0.44580*** & 0.05110*** & 0.14388* & 0.06286*** & 0.03792 & 0.11840** & 0.53857*** & 0.03987*** & 0.10670 & 0.01192 & -0.08440 \\ 
\textbf{Advance retail sales}   & 0.10253*** & 0.41360*** & 0.06959*** & 0.03131 & 0.07934*** & 0.12412 & 0.16067*** & 0.71939*** & 0.06466*** & 0.05069 & 0.00636 & 0.03670 \\ 
\textbf{Building permit}        & 0.04852*** & 0.34467*** & 0.05713*** & 0.07698 & 0.04958*** & 0.14126 & 0.16538*** & 0.65673*** & 0.05851*** & 0.00501 & -0.01757 & 0.12566 \\ 
\textbf{Construction spending}  & 0.11014*** & 0.54991*** & 0.09045*** & 0.30367*** & 0.04787*** & 0.38803*** & 0.17841*** & 0.78982*** & 0.05540*** & 0.11190 & 0.16948*** & -0.89328*** \\ 
\textbf{Consumer credit}        & 0.02295** & 0.10146 & 0.02228** & 0.11800 & 0.02205** & -0.07699 & 0.09392* & 0.29470* & -0.01962 & -0.24147* & 0.01390 & -0.06912 \\ 
\textbf{Consumer price index}   & 0.00803 & 0.17941 & 0.06524*** & 0.10223 & 0.08070*** & 0.35766* & -0.05375 & 0.21154 & 0.03108* & -0.11694 & 0.01028 & -0.08624 \\ 
\textbf{Durable goods orders}   & 0.07999*** & 0.42086*** & 0.03571*** & -0.08651 & 0.06175*** & 0.14099 & -0.00805 & 0.12492 & 0.08454*** & 0.14655 & 0.01360 & 0.01322 \\ 
\textbf{Existing home sales}    & 0.01941* & 0.00449 & 0.06046*** & 0.13692* & 0.05950*** & -0.05527 & -0.09607** & 0.42236*** & 0.00571 & 0.02091 & 0.09926** & -0.42834 \\ 
\textbf{Factory orders}         & 0.03087*** & 0.21435** & 0.03428*** & 0.06602 & 0.02560** & -0.14294 & 0.11869*** & 0.45413*** & 0.04081*** & 0.31705*** & -0.04324 & 0.59690** \\ 
\textbf{Gross domestic product} & 0.06672*** & 0.47858*** & 0.04323*** & -0.16305* & 0.09343*** & 0.38106*** & -0.00081 & 0.16193 & 0.09609*** & 0.43490*** & -0.02224 & -0.06610 \\ 
\textbf{Housing starts}         & 0.04340*** & 0.28794*** & 0.03510*** & -0.03896 & 0.04387*** & 0.05641 & -0.12478*** & 0.53005*** & 0.05811*** & -0.00276 & -0.03612 & 0.21804 \\ 
\textbf{Industrial production}  & 0.01151 & 0.33085*** & 0.02356** & 0.05644 & 0.00956 & 0.08248 & 0.02927 & -0.07343 & -0.00602 & 0.11675 & 0.00339 & -0.13793 \\ 
\textbf{New home sales}         & 0.06516*** & 0.30707*** & 0.09172*** & 0.30519*** & 0.05405*** & 0.28987** & 0.00163 & 0.14223 & 0.08315*** & 0.44694*** & 0.00018 & 0.06456 \\ 
\textbf{Non-farm employment}    & 0.28112*** & 0.64937*** & 0.27301*** & 0.02822 & 0.32165*** & 2.05556*** & 0.10034** & 0.25963** & 0.20289*** & 0.43864*** & 0.13651*** & -0.23850 \\ 
\textbf{Pending home sales}     & 0.05843*** & 0.46806*** & 0.03808*** & 0.22974*** & 0.02312** & 0.01365 & 0.15574*** & 0.65543*** & 0.01164 & 0.05860 & 0.03240 & -0.01779 \\ 
\textbf{Personal consumption}   & -0.00771 & -0.05499 & 0.06986*** & 0.40150*** & 0.02991** & 0.30442* & 0.02375 & -0.11179 & 0.08672*** & 0.33367*** & -0.03480 & 0.49927* \\ 
\textbf{Personal income}        & 0.01155 & -0.08770 & 0.15783*** & 0.89515*** & 0.05059*** & 0.66424*** & 0.09887* & 0.27659* & 0.07954*** & 0.29818** & -0.09135* & 0.79020*** \\ 
\textbf{Producer price index}   & 0.07622*** & 0.29168*** & 0.05587*** & 0.10034 & 0.04884*** & 0.21410 & -0.02427 & 0.15638 & 0.16635*** & 0.31874*** & 0.12565*** & -0.65777** \\ 
\textbf{Trade balance}          & 0.06486*** & 0.08942 & 0.00256 & -0.36379*** & 0.05518*** & 0.56239*** & -0.01684 & 0.09220 & 0.04085*** & -0.03389 & -0.02124 & 0.04951 \\   
\textbf{Crude Oil Weekly inventory} & 0.27209*** & 1.11802*** &  &  &  &  &  &  &  &  &  &  \\ 
\textbf{Natural Gas Weekly inventory} &  &  &  &  &  &  &  &  &  &  & 0.91556*** & -1.06191*** \\  
\midrule 
\textbf{Observations}             & \multicolumn{2}{c}{495652} & \multicolumn{2}{c}{500857} & \multicolumn{2}{c}{492438} & \multicolumn{2}{c}{485244} & \multicolumn{2}{c}{315201} & \multicolumn{2}{c}{448530} \\ 
\textbf{$R^2$}                    & \multicolumn{2}{c}{0.164857} & \multicolumn{2}{c}{0.084522} & \multicolumn{2}{c}{0.080360} & \multicolumn{2}{c}{0.081774} & \multicolumn{2}{c}{0.060560} & \multicolumn{2}{c}{0.159830} \\ 
\bottomrule 
\end{tabular}
}
\begin{tablenotes}
\singlespacing
\footnotesize
This table presents estimates of eq. \ref{eqn:VarianceEqn} using the financialization variable $SWAP_NLS_t$, calculated with the swap dealer positions. The equation is $\sigma_{t}^2=\alpha_0+\alpha_1 \sigma_{t-1}^2+\alpha_2 \epsilon_t^2 +\sum_{m=1}^{22} \Phi_m D_{m,t}+\beta X_{i,t}+\sum_{k=1}^n \phi_k I_{kt} + \sum_{h=1}^{23} \rho_h D_h$ where $I_{kt}=D_{m,t} \cdot X_{i,t}$ and $D_{m,t}$ is a macro announcement dummy variable for release $m$. The period covered is from 2008-12-22 to 2015-12-21. The $\Phi_m$ coefficients capture the instantaneous change in the conditional variance when an announcement has just occurred. The $\phi_m$ coefficients capture the conditional variance when an announcement has just occurred in conjunction with the level of financialization.
\end{tablenotes}
\end{sidewaystable}





\begin{sidewaystable}
\caption{Effects of Macro Announcements and Financialization on Futures Bid-Ask Spreads - ZLB Sample Period}
\label{tab:macro_fin_fut_spread_zlb}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lllllllllllll@{}}
\toprule
\textbf{Commodities}         & \multicolumn{2}{c}{\textbf{Crude Oil}}    & \multicolumn{2}{c}{\textbf{Gold}}          & \multicolumn{2}{c}{\textbf{Copper}}       & \multicolumn{2}{c}{\textbf{Silver}}  & \multicolumn{2}{c}{\textbf{Palladium}}    & \multicolumn{2}{c}{\textbf{Natural Gas}}       \\ \midrule
\textbf{Announcements}       & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} \\ \midrule 
\multicolumn{13}{c}{\textbf{Macroeconomic News Announcements}} \\ \midrule 
\textbf{Initial jobless claims} & -16.00333*** & -51.10653* & -1.73127 & -12.56477 & 1.85348 & -15.59903 & -5.64733** & -33.84972** & -32.4102* & 48.40736 & 5.70478 & 42.48549 \\ 
\textbf{ADP Employment}         & -16.35851* & 85.82022 & -16.78598 & 50.52782 & -5.37368 & 30.51418 & 0.03847 & 3.65756 & -24.67035 & 61.81186 & -5.12503 & 5.96857 \\ 
\textbf{CB Consumer}            & -1.23711 & -69.2872 & -14.06577 & 0.64039 & -0.87123 & -52.32945 & -4.03997 & 18.31622 & -51.39933 & 115.90883 & -0.40159 & 94.69497 \\ 
\textbf{Advance retail sales}   & 1.40018 & -45.6879 & -13.77611 & 35.45859 & 3.27477 & -71.30641* & 4.89159 & 56.34027 & -30.45098 & 39.79882 & -0.23822 & -8.98071 \\ 
\textbf{Building permit}        & 1.0965 & -42.88952 & -0.0073 & -29.39759 & -2.79939 & -5.92466 & 2.84472 & 16.29514 & 16.96645 & -77.52439 & 4.78917 & 36.56556 \\ 
\textbf{Construction spending}  & -8.1099 & -31.87598 & -1.89998 & -36.67751 & -3.10591 & -33.29713 & -1.16889 & -6.621 & 35.00149 & -38.30712 & -12.96835 & -3.34615 \\ 
\textbf{Consumer credit}        & -2.58426 & -14.29559 & -10.61788 & 10.6241 & -3.40728 & 0.15245 & 1.11525 & 2.04455 & 31.20187 & -24.57443 & -8.41912 & -26.36806 \\ 
\textbf{Consumer price index}   & -5.30815 & -2.13596 & 1.81553 & -36.01225 & 3.80651 & -73.91784 & -3.18302 & -23.15434 & -53.65038 & 69.63912 & 14.61196 & 122.18279 \\ 
\textbf{Durable goods orders}   & -5.0545 & -16.78362 & 7.73155 & -27.70292 & 0.12963 & -33.61572 & -12.15565*** & -73.07976** & -14.32433 & 28.10486 & 24.58134 & 167.9539* \\ 
\textbf{Existing home sales}    & -41.33384*** & -177.251*** & 1.47027 & -38.49211 & 1.6915 & -50.53013 & -7.88794* & -25.39868 & -20.46618 & 13.35423 & -2.40443 & 63.14923 \\ 
\textbf{Factory orders}         & -12.09431 & 47.58704 & -24.32356** & 47.49917 & -4.94705 & -1.58757 & -9.77857** & -66.24584* & -21.516 & 74.87304 & 11.00565 & 93.9416 \\ 
\textbf{Gross domestic product} & -0.59704 & -48.89464 & 1.80948 & -34.2578 & -3.86269 & -10.78592 & -8.14099* & -50.41495 & 54.1126 & -83.66291 & 4.47733 & 49.12674 \\ 
\textbf{Housing starts}         & 2.37208 & -58.50889 & -2.18171 & -26.1717 & 1.79126 & -27.81315 & 4.17817 & 23.10012 & 25.26078 & -95.61864 & 5.16356 & 51.09392 \\ 
\textbf{Industrial production}  & 7.91328 & -85.82509 & 6.1417 & 13.16061 & 1.64513 & -5.01436 & 0.31643 & -25.28908 & 25.85394 & -48.9534 & -5.10113 & 3.66837 \\ 
\textbf{New home sales}         & -12.50029 & 5.15278 & -15.74503 & 26.09201 & 0.73836 & -60.33626* & -8.0408* & -53.98368 & -18.52912 & 19.2442 & -22.81888** & -55.61635 \\ 
\textbf{Non-farm employment}    & -23.73484** & 101.78191 & 10.92711 & -67.74338* & -1.21567 & -68.55908* & -2.87725 & 0.98461 & 39.44131 & -120.72932* & -1.08631 & 37.70346 \\ 
\textbf{Pending home sales}     & -12.36887 & 46.59198 & -8.89564 & -5.03952 & -6.91436 & 8.49183 & -0.90003 & -1.19892 & 58.60186 & -83.49949 & -17.93609 & -40.79346 \\ 
\textbf{Personal consumption}   & -3.16096 & -45.86163 & -42.77794*** & -94.24372** & 2.38111 & -44.88402 & -4.99405 & -28.83845 & 36.92665 & -93.51525 & 15.47596 & 99.25116 \\ 
\textbf{Personal income}        & -17.44851 & 9.28027 & -5.8513 & -6.0265 & -0.74131 & -32.70676 & -6.09333 & -8.80177 & 72.22104 & -168.1134* & 1.77599 & 43.97083 \\ 
\textbf{Producer price index}   & -4.18185 & -3.40316 & 4.39087 & -59.49314 & 2.38309 & -49.41511 & 3.10567 & 13.27673 & 43.1821 & -96.27467 & -1.31215 & -8.00578 \\ 
\textbf{Trade balance}          & -2.89459 & 0.12539 & 16.28516 & -68.83361* & -12.28214** & -73.47717** & -5.13375 & -68.19869* & -34.95634 & 52.70414 & 19.49949 & 108.20832 \\  
\textbf{Crude Oil Weekly inventory} & -3.78018 & 2.94781 &  &  &  &  &  &  &  &  &  &  \\ 
\textbf{Natural Gas Weekly inventory} &  &  &  &  &  &  &  &  &  &  & -15.92054*** & 8.01229 \\  
\midrule 
\textbf{Observations}             & \multicolumn{2}{c}{442484} & \multicolumn{2}{c}{423623} & \multicolumn{2}{c}{425419} & \multicolumn{2}{c}{423604} & \multicolumn{2}{c}{263717} & \multicolumn{2}{c}{402138} \\ 
\textbf{$R^2$}                    & \multicolumn{2}{c}{0.00217} & \multicolumn{2}{c}{0.004576} & \multicolumn{2}{c}{0.003518} & \multicolumn{2}{c}{0.006533} & \multicolumn{2}{c}{0.000792} & \multicolumn{2}{c}{0.001498} \\ 
\bottomrule 
\end{tabular}
}
\begin{tablenotes}
    \singlespacing
    \footnotesize
    This table presents estimates of the equation $R_{\text{SPREAD}}_{t}^{t+\tau}=\alpha+\sum_{m=1}^{22} \gamma_m D_{m,t}+ \delta X_{t,i} + \sum_{m=1}^{22} \theta_m (D_{m,t} \cdot X_t)+\beta R_{\text{SPREAD}}_{t-\tau}^{t}+\epsilon_{t}$, analyzing the effects of financialization and macroeconomic announcements on the bid-ask spread using the financialization variable $PCA_t$. The period covered is from 2008-12-22 to 2015-12-21. The $\gamma_m$ coefficients capture the instantaneous change in the bid-ask spread when a macroeconomic announcement occurs. The $\delta$ coefficient represents the effect of the financialization variable $PCA_t$. The $\theta_m$ coefficients capture the interaction effect between macroeconomic announcements and financialization. The $\beta$ coefficient represents the effect of the lagged bid-ask spread. 
\end{tablenotes}
\end{sidewaystable}



\begin{sidewaystable}
\caption{Effects of Macro Announcements and Financialization (Money Managers only) on Futures Bid-Ask Spreads - ZLB Sample Period}
\label{tab:macro_fin_mm_fut_spread_zlb}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lllllllllllll@{}}
\toprule
\textbf{Commodities}         & \multicolumn{2}{c}{\textbf{Crude Oil}}    & \multicolumn{2}{c}{\textbf{Gold}}          & \multicolumn{2}{c}{\textbf{Copper}}       & \multicolumn{2}{c}{\textbf{Silver}}  & \multicolumn{2}{c}{\textbf{Palladium}}    & \multicolumn{2}{c}{\textbf{Natural Gas}}       \\ \midrule
\textbf{Announcements}       & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} \\ \midrule \multicolumn{13}{c}{\textbf{Macroeconomic News Announcements}} \\ \midrule \textbf{Initial jobless claims} & -20.68427*** & -105.00327** & -2.37886 & -13.88928 & 0.85187 & -15.81395 & -3.84721** & -25.38919** & -29.32423* & 47.61619 & 0.23161 & 14.08545 \\ 
\textbf{ADP Employment}         & -10.70784 & 61.35073 & -7.9992 & 27.61237 & -1.95043 & 14.46688 & -0.4924 & -5.75308 & -37.17904 & 96.00867 & -6.46641 & -6.80614 \\ 
\textbf{CB Consumer}            & 8.24743 & -172.08814** & -13.0998 & -3.37821 & -3.5525 & -53.8779** & -6.70922* & 7.23005 & -54.23384 & -136.78321* & -14.0705** & 17.40477 \\ 
\textbf{Advance retail sales}   & 4.64624 & -89.95338 & -11.26009 & 36.68171 & -2.43298 & -53.85158 & 1.42316 & 30.63149 & -29.36105 & 42.45732 & 1.12961 & 1.01811 \\ 
\textbf{Building permit}        & -2.89125 & -17.897 & -3.43736 & -22.37716 & -1.63887 & -21.8388 & 2.48143 & 18.48554 & 14.75744 & -82.69896 & -1.05121 & -3.58565 \\ 
\textbf{Construction spending}  & 3.29696 & -134.29107 & -3.84404 & -39.90423 & -3.09324 & -49.3878* & -0.87022 & 1.11585 & 35.44588 & -43.58201 & -13.8704** & -21.05458 \\ 
\textbf{Consumer credit}        & -11.22279 & 49.53703 & -8.56694 & 5.44352 & -1.76439 & -15.71136 & 1.39558 & -19.33393 & 28.63734 & -22.10787 & -9.13929** & -83.23667** \\ 
\textbf{Consumer price index}   & -13.93216 & 76.50589 & -0.21954 & -39.20841 & -0.10717 & -75.22832 & -1.62078 & -11.4688 & -42.60754 & 56.08179 & 1.209 & 71.71343 \\ 
\textbf{Durable goods orders}   & -7.54133 & 3.55354 & -2.83085 & 12.56572 & -1.73257 & -31.56256 & -7.59164** & -41.68739 & -25.03093 & 53.77892 & 7.50562 & -156.29075** \\ 
\textbf{Existing home sales}    & -3.34707 & -81.4449 & -3.20009 & -29.63337 & 0.14226 & -61.46683 & -5.86357* & -18.99988 & -27.87553 & 30.56141 & -10.1933* & 29.23645 \\ 
\textbf{Factory orders}         & -6.16365 & 17.32965 & -13.98287 & 16.73252 & -4.13087 & -9.12439 & -5.97947 & -44.06619 & -39.12619 & 124.28877 & 1.88641 & 69.96703 \\ 
\textbf{Gross domestic product} & -13.76375 & 46.47701 & -0.30476 & -35.97655 & -3.04203 & -21.34015 & -6.41353* & -52.79619** & 64.36866 & -115.3362 & -2.09212 & 20.63409 \\ 
\textbf{Housing starts}         & -0.80429 & -42.1111 & -5.76125 & -16.85222 & 2.23226 & -54.12491 & 3.20416 & 23.16712 & 19.64747 & -95.49455 & -2.45369 & 1.93243 \\ 
\textbf{Industrial production}  & 3.31097 & -68.28671 & 1.25975 & 42.47721 & 0.19297 & 10.95381 & 2.18291 & -9.1981 & 29.09147 & -61.27499 & -6.44157 & -10.15044 \\ 
\textbf{New home sales}         & 1.73875 & -111.66443 & -12.67987* & 19.533 & -2.59729 & -59.86757** & -5.65855* & -62.00041* & -25.48035 & 37.20469 & -16.79411*** & -41.26684 \\ 
\textbf{Non-farm employment}    & -6.05015 & -8.55708 & -0.50504 & -34.62659 & -4.55827 & -71.49574** & -3.2698 & -37.44957 & 20.57392 & -94.2021 & -6.84786 & -6.63895 \\ 
\textbf{Pending home sales}     & 0.18598 & -44.49616 & -7.31374 & -14.32549 & -4.21469 & -9.86129 & -1.38583 & 3.41728 & -66.17146* & -109.8488 & -13.62246** & -27.54183 \\ 
\textbf{Personal consumption}   & -6.45243 & -19.81889 & -35.93527*** & -91.85734*** & -1.08025 & -36.35222 & -3.68456 & -24.59092 & 24.11914 & -77.60203 & 6.26835 & 90.18945 \\ 
\textbf{Personal income}        & -15.8152 & 4.34974 & -7.30566 & -1.51559 & -2.23903 & -34.31172 & -5.35807 & -2.78512 & 50.25133 & -143.72241 & -3.64513 & 20.74326 \\ 
\textbf{Producer price index}   & -1.3336 & -23.78791 & -4.20022 & -36.81842 & -1.21427 & -42.38487 & 2.1662 & -1.09006 & 27.0739 & -73.16995 & 1.83996 & 27.28103 \\ 
\textbf{Trade balance}          & 12.0524 & -124.28376 & 3.85427 & -35.0069 & 3.29726 & -32.51734 & -1.18248 & -50.97158* & -34.48335 & 57.20098 & 8.274 & 79.76658 \\  
\textbf{Crude Oil Weekly inventory}& 0.03916 & -27.99856 &  &  &  &  &  &  &  &  &  &  \\ \textbf{Natural Gas Weekly inventory}&  &  &  &  &  &  &  &  &  &  & -16.29304*** & 14.84561 \\  \midrule \textbf{Observations}             & \multicolumn{2}{c}{442484} & \multicolumn{2}{c}{423623} & \multicolumn{2}{c}{425419} & \multicolumn{2}{c}{423604} & \multicolumn{2}{c}{263717} & \multicolumn{2}{c}{402138} \\ \textbf{$R^2$}                    & \multicolumn{2}{c}{0.002641} & \multicolumn{2}{c}{0.005741} & \multicolumn{2}{c}{0.006596} & \multicolumn{2}{c}{0.005428} & \multicolumn{2}{c}{0.000793} & \multicolumn{2}{c}{0.001472} \\ \bottomrule 
\end{tabular}
}
\begin{tablenotes}
    \singlespacing
    \footnotesize
    This table presents estimates of the equation $R_{\text{SPREAD}}_{t}^{t+\tau}=\alpha+\sum_{m=1}^{22} \gamma_m D_{m,t}+ \delta X_{t,i} + \sum_{m=1}^{22} \theta_m (D_{m,t} \cdot X_t)+\beta R_{\text{SPREAD}}_{t-\tau}^{t}+\epsilon_{t}$, analyzing the effects of financialization and macroeconomic announcements on the bid-ask spread using the financialization variable $MM_NLS_t$, calculated with the money manager positions. The period covered is from 2008-12-22 to 2015-12-21. The $\gamma_m$ coefficients capture the instantaneous change in the bid-ask spread when a macroeconomic announcement occurs. The $\delta$ coefficient represents the effect of the financialization variable $MM_NLS_t$. The $\theta_m$ coefficients capture the interaction effect between macroeconomic announcements and financialization. The $\beta$ coefficient represents the effect of the lagged bid-ask spread. 
\end{tablenotes}
\end{sidewaystable}


\begin{sidewaystable}
\caption{Effects of Macro Announcements and Financialization (Swap Dealers only) on Futures Bid-Ask Spreads - ZLB Sample Period}
\label{tab:macro_fin_sd_fut_spread_zlb}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lllllllllllll@{}}
\toprule
\textbf{Commodities}         & \multicolumn{2}{c}{\textbf{Crude Oil}}    & \multicolumn{2}{c}{\textbf{Gold}}          & \multicolumn{2}{c}{\textbf{Copper}}       & \multicolumn{2}{c}{\textbf{Silver}}  & \multicolumn{2}{c}{\textbf{Palladium}}    & \multicolumn{2}{c}{\textbf{Natural Gas}}       \\ \midrule
\textbf{Announcements}       & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} \\ \midrule \multicolumn{13}{c}{\textbf{Macroeconomic News Announcements}} \\ \midrule \textbf{Initial jobless claims} & -9.70982*** & -15.54702 & -7.41405* & -16.99933 & -0.87426 & -12.05957 & -28.39027** & 79.51247* & -12.8026** & 78.8092** & 6.89901 & -50.86415 \\ 
\textbf{ADP Employment}         & -5.04102 & -19.02927 & 7.12669 & 62.36418 & -0.99439 & -48.34049 & -37.24995 & 117.49739 & -3.46974 & 166.90156** & -1.98372 & -28.54869 \\ 
\textbf{CB Consumer}            & -7.71462** & 38.80791 & -18.99452** & -44.64697 & -10.14746*** & 74.74238* & 1.32911 & -24.44071 & -0.8234 & 150.76645* & -5.04671 & -65.45442 \\ 
\textbf{Advance retail sales}   & -2.71514 & 29.49461 & -8.28581 & -31.79646 & -8.07342** & 49.69185 & 31.88235 & -108.56536 & -17.28082 & -105.20463 & -3.91055 & 33.44669 \\ 
\textbf{Building permit}        & -2.4287 & 30.95294 & -10.20073 & -19.85955 & -5.85395 & 93.58691* & 12.59912 & -35.79649 & -19.13448 & 59.08388 & 0.70383 & -10.01426 \\ 
\textbf{Construction spending}  & -10.28971*** & 28.67396 & -5.69355 & 58.78217 & -11.26693*** & 129.75726*** & 19.93967 & -74.54055 & 18.80882 & 66.45357 & -9.79129 & -16.70764 \\ 
\textbf{Consumer credit}        & -4.64729 & 2.7322 & -12.81252* & -39.6375 & -5.31435* & -50.33509 & -2.88824 & 16.66229 & 18.75699 & 13.70968 & -14.94415 & 69.68635 \\ 
\textbf{Consumer price index}   & -3.58355 & 20.93 & -17.80927 & -91.09082 & -7.40821 & -1.58168 & 19.04109 & -73.64789 & -19.25252 & -30.63022 & 8.67378 & -81.47668 \\ 
\textbf{Durable goods orders}   & -6.29166 & 13.71442 & -9.92567 & -84.27418 & -5.34766 & -26.81333 & -76.51265*** & 227.76389** & -0.84517 & -23.54654 & 19.76025 & -141.30414 \\ 
\textbf{Existing home sales}    & -21.96591*** & 93.33814*** & -11.92521 & -21.92123 & -6.6351* & -26.137 & -29.97805 & 80.20644 & -17.34199 & -63.01144 & -0.81818 & -74.29811 \\ 
\textbf{Factory orders}         & -5.37916 & -9.29571 & -15.11789 & -42.07155 & -6.45161 & 80.14459* & 66.45919*** & 252.39659*** & 12.77376 & -50.47565 & 13.08624 & -108.75549 \\ 
\textbf{Gross domestic product} & -2.95996 & 55.29713* & -20.52585** & -94.82327 & -7.02991* & -52.11982 & -30.72292 & 80.88127 & 2.39599 & -40.31041 & 5.75672 & -57.21379 \\ 
\textbf{Housing starts}         & -2.83051 & 39.84226 & -12.8538 & -31.36574 & -4.50277 & -79.94489 & 3.45189 & 0.18174 & -18.02096 & 79.79165 & 3.6474 & -42.64445 \\ 
\textbf{Industrial production}  & -0.3606 & 50.91209 & 15.8752* & 53.38602 & 2.89946 & 103.28414* & -9.79112 & 43.35057 & 0.8095 & 2.70895 & -3.74984 & -12.27813 \\ 
\textbf{New home sales}         & -12.33853*** & -6.63989 & -9.29849 & -3.74621 & -9.385*** & -34.76467 & -20.88664 & 54.30035 & -11.73976 & -56.28 & -26.8981** & 81.549 \\ 
\textbf{Non-farm employment}    & -10.22689** & -26.44439 & -2.96963 & 40.02359 & -12.62304*** & 56.40337 & -48.90015*** & 144.63828** & -17.01717 & 77.99757 & -2.36315 & -28.38375 \\ 
\textbf{Pending home sales}     & -8.15393* & -37.19652 & -11.84533 & -15.34974 & -6.43336* & -50.29698 & 31.06753 & -112.98075 & 19.11827* & 70.14828 & -26.46345** & 94.41996 \\ 
\textbf{Personal consumption}   & -5.91986 & 57.1833* & -35.50488*** & 176.31043*** & -4.3936 & 12.90128 & -24.06962 & 60.49793 & -12.75231 & -12.28368 & 25.56888 & -163.91677 \\ 
\textbf{Personal income}        & -14.16262*** & 22.91791 & -15.21694 & -63.02097 & -6.14842 & -11.83513 & -12.65687 & 18.54016 & -13.20959 & 71.40471 & 7.32959 & -79.47057 \\ 
\textbf{Producer price index}   & -3.10533 & 18.07292 & -7.05299 & 35.47537 & -5.95269 & -17.13207 & 53.30866 & -174.17692 & -6.29783 & -12.09179 & -0.82314 & 5.00915 \\ 
\textbf{Trade balance}          & -3.33891 & -5.69184 & -2.22867 & 7.51202 & 1.15567 & 51.57873 & 51.27467** & 177.58139** & -17.16892 & -110.72695 & 20.11087 & -112.49114 \\  
\textbf{Crude Oil Weekly inventory}& -4.02655 & -5.05036 &  &  &  &  &  &  &  &  &  &  \\ 
\textbf{Natural Gas Weekly inventory}&  &  &  &  &  &  &  &  &  &  & -13.95719** & 21.27953 \\  \midrule \textbf{Observations}             &\multicolumn{2}{c}{442484} & \multicolumn{2}{c}{423623} & \multicolumn{2}{c}{425419} & \multicolumn{2}{c}{423604} & \multicolumn{2}{c}{263717} & \multicolumn{2}{c}{402138} \\ \textbf{$R^2$}                    &\multicolumn{2}{c}{0.001695} & \multicolumn{2}{c}{0.003782} & \multicolumn{2}{c}{0.004444} & \multicolumn{2}{c}{0.001106} & \multicolumn{2}{c}{0.000875} & \multicolumn{2}{c}{0.001482} \\ \bottomrule 
\end{tabular}
}
\begin{tablenotes}
    \singlespacing
    \footnotesize
    This table presents estimates of the equation $R_{\text{SPREAD}}_{t}^{t+\tau}=\alpha+\sum_{m=1}^{22} \gamma_m D_{m,t}+ \delta X_{t,i} + \sum_{m=1}^{22} \theta_m (D_{m,t} \cdot X_t)+\beta R_{\text{SPREAD}}_{t-\tau}^{t}+\epsilon_{t}$, analyzing the effects of financialization and macroeconomic announcements on the bid-ask spread using the financialization variable $SWAP_NLS_t$, calculated with the swap dealer positions. The period covered is from 2008-12-22 to 2015-12-21. The $\gamma_m$ coefficients capture the instantaneous change in the bid-ask spread when a macroeconomic announcement occurs. The $\delta$ coefficient represents the effect of the financialization variable $SWAP_NLS_t$. The $\theta_m$ coefficients capture the interaction effect between macroeconomic announcements and financialization. The $\beta$ coefficient represents the effect of the lagged bid-ask spread.
\end{tablenotes}
\end{sidewaystable}



\begin{sidewaystable}
\caption{Effects of Macro Announcements and Financialization (NLS) on Futures Returns - ZLB Sample Period}
\label{tab:macro_fin_nls_fut_returns_zlb}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lllllllllllll@{}}
\toprule
\textbf{Commodities}         & \multicolumn{2}{c}{\textbf{Crude Oil}}    & \multicolumn{2}{c}{\textbf{Gold}}          & \multicolumn{2}{c}{\textbf{Copper}}       & \multicolumn{2}{c}{\textbf{Silver}}  & \multicolumn{2}{c}{\textbf{Palladium}}    & \multicolumn{2}{c}{\textbf{Natural Gas}}       \\ \midrule
\textbf{Announcements}       & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} \\ \midrule \multicolumn{13}{c}{\textbf{Macroeconomic News Announcements}} \\ \midrule \textbf{Initial jobless claims} & -0.70429*** & 3.78529*** & 1.09087*** & -2.25841*** & -1.39832*** & 4.71356*** & 0.12351*** & 0.17344 & 0.12053 & -0.00437 & -0.0518 & 0.20917 \\ 
\textbf{ADP Employment}         & 1.39435*** & -7.12987*** & -3.84009*** & 8.90483*** & 1.98621*** & -5.40179*** & 0.24898** & -1.03637 & 0.04779 & -0.64322 & 1.06705* & 2.42274 \\ 
\textbf{CB Consumer}            & 0.25256*** & -1.62456*** & -0.04746** & 0.08402 & 0.06657** & -0.29594* & -0.03378*** & -0.06595 & -0.11484** & 0.19093* & 0.0321 & -0.07378 \\ 
\textbf{Advance retail sales}   & 0.50785*** & -2.82851*** & -0.65198*** & 1.35297*** & 0.51345*** & -1.65641*** & 0.00957 & 0.64197*** & -0.15308 & 0.2109 & 0.22209* & 0.79246 \\ 
\textbf{Building permit}        & 0.03023 & -0.13412 & -0.01199 & -0.05338 & -0.04015 & 0.00913 & -0.00318 & -0.03226 & -0.01608 & -0.03873 & -0.00869 & 0.09105 \\ 
\textbf{Construction spending}  & 0.03806 & -0.44559* & 0.04202 & -0.121 & 0.06492 & -0.22008 & -0.00302 & 0.37014*** & 0.09459 & -0.13789 & -0.11753* & -0.51691 \\ 
\textbf{Consumer credit}        & -0.01035 & 0.01027 & -0.03464** & 0.10232** & 0.02475* & -0.18162*** & 0.00614 & 0.10737 & 0.04239 & -0.0683 & 0.04942 & 0.2199 \\ 
\textbf{Consumer price index}   & -0.05367* & 0.22486 & -0.05491** & 0.14857* & -0.0711** & 0.2472 & -0.00286 & -0.27025** & 0.02297 & -0.1113 & 0.05088 & 0.20721 \\ 
\textbf{Durable goods orders}   & 0.22761*** & -1.12323*** & -0.1184*** & 0.34599*** & 0.10638*** & -0.58869*** & -0.02373*** & 0.15346 & 0.1488*** & -0.18161** & -0.03788 & -0.34522 \\ 
\textbf{Existing home sales}    & 0.06734*** & -0.1611 & -0.09425*** & 0.24307*** & -0.07379 & 0.34111* & -0.05257*** & -0.15687* & -0.05244 & 0.0895 & 0.094 & 0.47253 \\ 
\textbf{Factory orders}         & -0.02188 & 0.16758 & -0.06297* & 0.11496 & -0.07732* & 0.21643 & -0.00072 & -0.03245 & 0.00867 & -0.03692 & 0.08812 & 0.56325 \\ 
\textbf{Gross domestic product} & 0.09399*** & -0.41028** & -0.19392*** & 0.29743*** & 0.33782*** & -1.01923*** & -0.04529*** & 0.16728 & -0.26445*** & 0.37966** & -0.01533 & -0.24002 \\ 
\textbf{Housing starts}         & 0.15596*** & -0.7602*** & -0.11085*** & 0.14525** & 0.1609*** & -0.39369** & -0.02807** & 0.1126 & -0.01944 & 0.01178 & -0.02819 & -0.12451 \\ 
\textbf{Industrial production}  & 0.12147** & -0.60138** & -0.04582 & 0.08981 & -0.08024* & 0.23464 & 0.00612 & -0.08287 & -0.14273* & 0.21769 & 0.029 & -0.01512 \\ 
\textbf{New home sales}         & 0.15372*** & -0.69244*** & -0.20306*** & 0.48779*** & 0.11643*** & -0.33441* & -0.0736*** & -0.00415 & -0.17056 & 0.28999 & 0.04644 & 0.13686 \\ 
\textbf{Non-farm employment}    & 6.45167*** & -25.2801*** & -8.95331*** & 18.07887*** & 7.96384*** & -27.72306*** & -1.57712*** & 0.35965 & -0.74642 & 1.70491 & -1.55898** & -17.77143*** \\ 
\textbf{Pending home sales}     & 0.14767*** & -0.90112*** & 0.00245 & -0.02759 & -0.01856 & 0.09937 & -0.03845*** & -0.20744* & -0.11909 & 0.21728 & -0.01862 & -0.31759 \\ 
\textbf{Personal consumption}   & 0.00221 & 0.19129 & -0.07321* & 0.19355* & 0.02273 & -0.12291 & 0.02338 & 0.18267 & -0.03361 & 0.02948 & -0.04455 & -0.20038 \\ 
\textbf{Personal income}        & -0.16673 & 1.15899 & 0.0385 & -0.14958 & -0.25816 & 1.09273 & 0.01267 & -0.53643 & -0.31864 & 0.56008 & -0.62609*** & -4.00139*** \\ 
\textbf{Producer price index}   & 0.07284*** & -0.42142*** & -0.06599*** & 0.14536** & 0.06633** & -0.24047* & 0.00701 & -0.08332 & 0.02887 & -0.00862 & -0.0945** & -0.41908 \\ 
\textbf{Trade balance}          & -0.00985 & -0.00227 & -0.04424 & 0.07583 & -0.02616 & 0.09349 & -0.0116 & 0.03755 & 0.07156 & -0.1219 & -0.02821 & -0.32178 \\  
\textbf{Crude Oil Weekly inventory} & -0.14108*** & -0.0825 &  &  &  &  &  &  &  &  &  &  \\ 
\textbf{Natural Gas Weekly inventory} &  &  &  &  &  &  &  &  &  &  & -0.98452*** & -2.09043*** \\  \midrule 
\textbf{Observations}             & \multicolumn{2}{c}{ 495652 } & \multicolumn{2}{c}{ 500857 } & \multicolumn{2}{c}{ 492438 } & \multicolumn{2}{c}{ 485244 } & \multicolumn{2}{c}{ 315201 } & \multicolumn{2}{c}{ 448530 } \\ 
\textbf{$R^2$}                    & \multicolumn{2}{c}{ 0.003123 } & \multicolumn{2}{c}{ 0.003413 } & \multicolumn{2}{c}{ 0.001762 } & \multicolumn{2}{c}{ 0.000693 } & \multicolumn{2}{c}{ 0.000439 } & \multicolumn{2}{c}{ 0.002058 } \\ 
\bottomrule 
\end{tabular}
}
\begin{tablenotes}
\singlespacing
\footnotesize
This table presents estimates of eq. \ref{eq:Model 1}, $R_{t}^{t+\tau}=\alpha+\sum_{m=1}^{22} \gamma_m S_{m,t}+ \delta X_{t,i} + \sum_{m=1}^{22} \theta_m (S_{m,t} \cdot X_t)+\beta R_{t-\tau}^{t}+\epsilon_{t}$ using the method proposed by \citet{kurov2019price} and financialization variable $X_{t,2}=NLS_t$. The period covered is from 2008-12-22 to 2015-12-21. The $\gamma_m$ coefficients capture the instantaneous change in return when an announcement has just occurred and especially if that announcement was unanticipated. The coefficients $\theta_m$ capture the instantaneous change in return when an announcement has just occurred in conjunction with the level of financialization.
\end{tablenotes}
\end{sidewaystable}





\begin{sidewaystable}
\caption{Effects of Macro Announcements and Financialization (NLS) on Futures Conditional Variance - ZLB Sample Period}
\label{tab:macro_fin_nls_var_zlb}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lllllllllllll@{}}
\toprule
\textbf{Commodities}         & \multicolumn{2}{c}{\textbf{Crude Oil}}    & \multicolumn{2}{c}{\textbf{Gold}}          & \multicolumn{2}{c}{\textbf{Copper}}       & \multicolumn{2}{c}{\textbf{Silver}}  & \multicolumn{2}{c}{\textbf{Palladium}}    & \multicolumn{2}{c}{\textbf{Natural Gas}}       \\ \midrule
\textbf{Announcements}       & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} \\ \midrule \multicolumn{13}{c}{\textbf{Macroeconomic News Announcements}} \\ \midrule \textbf{Initial jobless claims} & 0.10694*** & -0.42408*** & 0.05269*** & -0.00488 & 0.10043*** & -0.16325*** & 0.03223*** & -0.03834 & 0.16713*** & -0.16984*** & -0.02784 & -0.05767 \\ 
\textbf{ADP Employment}         & 0.06941*** & -0.53219*** & 0.10252*** & -0.2171*** & 0.07215*** & -0.272** & 0.03539*** & -0.05173 & 0.00482 & 0.01455 & -0.00141 & -0.08407 \\ 
\textbf{CB Consumer}            & 0.16537*** & -0.87541*** & 0.05819*** & -0.07511 & 0.04967** & 0.07337 & 0.0439*** & -0.14431** & 0.09397* & -0.1162 & -0.00335 & -0.01169 \\ 
\textbf{Advance retail sales}   & 0.18938*** & -0.86228*** & 0.13967*** & -0.23979*** & 0.13996*** & -0.30885*** & 0.05161*** & -0.25845*** & 0.06489 & -0.00631 & -0.04253 & -0.33072 \\ 
\textbf{Building permit}        & 0.09698*** & -0.52935*** & 0.12162*** & -0.24222*** & 0.14168*** & -0.4931*** & 0.02762*** & -0.11219 & 0.03091 & 0.05324 & -0.04738 & -0.30239 \\ 
\textbf{Construction spending}  & 0.2325*** & -1.18295*** & 0.15062*** & -0.30249*** & 0.12038*** & -0.33192*** & 0.066*** & -0.07152 & 0.02884 & 0.03642 & 0.03301 & 0.02156 \\ 
\textbf{Consumer credit}        & 0.0453** & -0.22174 & 0.02772* & -0.06164 & 0.03052 & -0.05207 & 0.00668 & 0.10916 & -0.07063 & 0.13114 & 0.01441 & 0.06766 \\ 
\textbf{Consumer price index}   & 0.04682 & -0.40441* & 0.14873*** & -0.30026*** & 0.11292*** & -0.23301 & 0.01046 & -0.05358 & 0.05319 & -0.0272 & -0.00815 & -0.03531 \\ 
\textbf{Durable goods orders}   & 0.14852*** & -0.70578*** & 0.04542*** & 0.00033 & 0.01576 & 0.27348** & 0.02838*** & -0.06921 & 0.1074** & -0.06132 & 0.01688 & 0.0068 \\ 
\textbf{Existing home sales}    & 0.02751 & -0.05921 & 0.06524*** & -0.06524 & 0.05876** & -0.00113 & 0.02689*** & -0.17408** & 0.00283 & 0.00325 & 0.04728 & 0.08737 \\ 
\textbf{Factory orders}         & 0.06571*** & -0.3652** & -0.00722 & 0.10438** & -0.02243 & 0.23381** & 0.02224** & 0.03656 & 0.10924** & -0.16832* & -0.06361 & -0.68095*** \\ 
\textbf{Gross domestic product} & 0.16121*** & -0.91541*** & 0.11461*** & -0.16196*** & 0.15722*** & -0.29682** & 0.04996*** & -0.04091 & 0.26447*** & -0.37431*** & -0.06994 & -0.2124 \\ 
\textbf{Housing starts}         & 0.08035*** & -0.40519** & 0.08746*** & -0.15567*** & 0.10646*** & -0.32943*** & 0.0307*** & -0.14564** & 0.02419 & 0.06669 & -0.05308 & -0.30261 \\ 
\textbf{Industrial production}  & 0.0652*** & -0.56456*** & 0.0062 & 0.03609 & 0.03259 & -0.11575 & 0.00655 & -0.00002 & 0.0695 & -0.16238* & -0.04995 & -0.19915 \\ 
\textbf{New home sales}         & 0.11635*** & -0.51095*** & 0.07002*** & -0.04171 & 0.06764*** & -0.03879 & 0.04642*** & 0.04233 & 0.32761*** & -0.53084*** & -0.01708 & -0.16199 \\ 
\textbf{Non-farm employment}    & 0.41625*** & -1.34407*** & 0.42629*** & -0.49897*** & 0.5661*** & -1.06553*** & 0.18526*** & -0.15465** & 0.18194*** & -0.01315 & 0.02026 & -0.49134** \\ 
\textbf{Pending home sales}     & 0.14487*** & -0.8662*** & 0.03822** & -0.08605* & -0.00309 & 0.1383 & 0.04684*** & -0.03212 & 0.05059 & -0.0823 & -0.08788** & -0.70701*** \\ 
\textbf{Personal consumption}   & -0.02318 & 0.15519 & 0.05627*** & -0.109* & 0.09287*** & -0.29668** & -0.00731 & 0.10063 & 0.14937** & -0.16345 & -0.06411 & -0.60997** \\ 
\textbf{Personal income}        & -0.00477 & 0.16598 & 0.16396*** & -0.34493*** & 0.2105*** & -0.73824*** & 0.01295 & -0.02388 & 0.16505*** & -0.19673* & -0.09811** & -0.76453*** \\ 
\textbf{Producer price index}   & 0.12583*** & -0.51275*** & 0.04942*** & -0.01475 & 0.14451*** & -0.47612*** & 0.02331** & 0.02659 & 0.2776*** & -0.25324*** & 0.07495* & 0.29216 \\ 
\textbf{Trade balance}          & 0.08875*** & -0.24 & 0.04125*** & 0.00637 & 0.02838 & 0.08788 & 0.01139 & 0.03537 & 0.01691 & 0.05017 & -0.03151 & -0.11329 \\  
\textbf{Crude Oil Weekly inventory} & 0.0962*** & 0.15058 &  &  &  &  &  &  &  &  &  &  \\ 
\textbf{Natural Gas Weekly inventory} &  &  &  &  &  &  &  &  &  &  & 0.9177*** & 1.06866*** \\  \midrule 
\textbf{Observations}             & \multicolumn{2}{c}{ 495652 } & \multicolumn{2}{c}{ 500857 } & \multicolumn{2}{c}{ 492438 } & \multicolumn{2}{c}{ 485244 } & \multicolumn{2}{c}{ 315201 } & \multicolumn{2}{c}{ 448530 } \\ 
\textbf{$R^2$}                    & \multicolumn{2}{c}{ 0.15738 } & \multicolumn{2}{c}{ 0.084362 } & \multicolumn{2}{c}{ 0.071708 } & \multicolumn{2}{c}{ 0.064643 } & \multicolumn{2}{c}{ 0.058782 } & \multicolumn{2}{c}{ 0.161297 } \\ 
\bottomrule 
\end{tabular}
}
\begin{tablenotes}
\singlespacing
\footnotesize
This table presents estimates of eq. \ref{eqn:VarianceEqn} using the financialization variable $NLS_t$. The equation is $\sigma_{t}^2=\alpha_0+\alpha_1 \sigma_{t-1}^2+\alpha_2 \epsilon_t^2 +\sum_{m=1}^{22} \Phi_m D_{m,t}+\beta X_{i,t}+\sum_{k=1}^n \phi_k I_{kt} + \sum_{h=1}^{23} \rho_h D_h$ where $I_{kt}=D_{m,t} \cdot X_{i,t}$ and $D_{m,t}$ is a macro announcement dummy variable for release $m$. The period covered is from 2008-12-22 to 2015-12-21. The $\Phi_m$ coefficients capture the instantaneous change in the conditional variance when an announcement has just occurred. The $\phi_m$ coefficients capture the conditional variance when an announcement has just occurred in conjunction with the level of financialization.
\end{tablenotes}
\end{sidewaystable}

