Monetary Policy and Uncertainty Resolution in Commodity Markets

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

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Year of publication:	[2023]
Authors:	Gu, Chen ; Kurov, Alexander ; Stan, Raluca
Publisher:	[S.l.] : SSRN
Subject:	Geldpolitik \| Monetary policy \| Rohstoffmarkt \| Commodity market \| Volatilität \| Volatility \| Risiko \| Risk \| Welt \| World

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Extent:	1 Online-Ressource (28 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Finance Research Letters Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 20, 2023 erstellt
Classification:	E44 - Financial Markets and the Macroeconomy ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; E58 - Central Banks and Their Policies ; G14 - Information and Market Efficiency; Event Studies ; q02 ; Q31 - Demand and Supply
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014350925