Monetary Policy and Uncertainty Resolution in Commodity Markets

Abstract

This paper examines the intraday changes of gold and crude oil implied volatility around the release of FOMC statements. We find that monetary policy releases lead to intraday uncertainty resolution in these commodity markets. The resolution of uncertainty is stronger after announcements accompanied by releases of the Summary of Economic Projections. We also show that monetary policy announcements contain information about future commodity demand and supply.

Keywords: Monetary policy, commodity market uncertainty, implied volatility, intraday data

JEL Classification: E44, E52, E58, G14, Q02, Q31