Monetary Policy and Uncertainty Resolution in Commodity Markets

28 Pages Posted: 28 Apr 2023

See all articles by Chen Gu

Chen Gu

Shanghai Business School - Research Center of Finance

Alexander Kurov

West Virginia University - College of Business & Economics

Raluca Stan

University of Minnesota - Duluth

Date Written: April 20, 2023

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

Suggested Citation

Gu, Chen and Kurov, Alexander and Stan, Raluca, Monetary Policy and Uncertainty Resolution in Commodity Markets (April 20, 2023). Finance Research Letters, Forthcoming, Available at SSRN: https://ssrn.com/abstract=4425021

Chen Gu

Shanghai Business School - Research Center of Finance ( email )

Shanghai
China

Alexander Kurov (Contact Author)

West Virginia University - College of Business & Economics ( email )

P.O. Box 6025
Morgantown, WV 26506
United States

Raluca Stan

University of Minnesota - Duluth ( email )

1049 University Drive
Duluth, MN 55812
United States

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