Monetary Policy and Uncertainty Resolution in Commodity Markets
28 Pages Posted: 28 Apr 2023
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: 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
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