We thank the editor and referee for their valuable comments and suggestions. We also thank Professor Lutz Kilian for providing us the program code to compute the robust P-values. *Correspondence author, Department of Finance and Real Estate, Colorado State University, Fort Collins, CO. Tel: (970) 491-2356, Fax: (970) 491-7665, e-mail: hong.miao@colostate.edu ■ Arjun Chatrath is a Professor of Finance at the University of Portland’s Pamplin School of Business, Portland, Oregon. ■ Hong Miao is an Assistant Professor at the Department of Finance and Real Estate, Colorado State University, Fort Collins, Colorado. ■ Sanjay Ramchander is an Associate Professor at the Department of Finance and Real Estate, Colorado State University, Fort Collins, Colorado. © 2011 Wiley Periodicals, Inc. DOI: 10.1002/fut.20525 DOES THE PRICE OF CRUDE OIL RESPOND TO MACROECONOMIC NEWS? ARJUN CHATRATH HONG MIAO* SANJAY RAMCHANDER In a recent study, Kilian L. and Vega C. (2011) indicate that the daily price of crude oil is mostly unresponsive to macroeconomic news, and at times exhibits response-coefficients that are counterintuitive. The authors conclude that the price of crude oil is predetermined to macro aggregates, and hence determined in a flow demand/supply framework. We make the argument that inferences on commodity price determination should be drawn from news responses only after the standard tests are subject to inventory (or stock) controls. Using daily and intraday price data and proxies for inventory levels, we reexamine the responsive- ness of crude prices to macroeconomic news. Our evidence suggests a very limit- ed role for stock levels in the responsiveness of crude oil. The prior conclusion that crude oil is priced primarily in a flow-environment is supported by our data. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark 32:536–559, 2012 The Journal of Futures Markets, Vol. 32, No. 6, 536–559 (2012) Published online June 2, 2011 in Wiley Online Library (wileyonlinelibrary.com) Received January 2011; Accepted February 2011