Monetary policy and uncertainty resolution in commodity markets

Chen Gu; Alexander Kurov; Raluca Stan

doi:10.1016/j.frl.2023.103907

Monetary policy and uncertainty resolution in commodity markets

Chen Gu, Alexander Kurov, Raluca Stan

Accounting & Finance

Research output: Contribution to journal › Article › peer-review

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.

Original language	English (US)
Article number	103907
Journal	Finance Research Letters
DOIs	https://doi.org/10.1016/j.frl.2023.103907
State	Accepted/In press - 2023

Bibliographical note

Funding Information:
We thank the editor, Jonathan Batten, and two anonymous referees for helpful comments and suggestions. Chen Gu acknowledges the financial support from the National Natural Science Foundation of China (Nos. 72201174, 91846108) and the Ministry of Education of Humanities and Social Science project (22YJC790031). Errors or omissions are our responsibility. The authors are listed in alphabetical order.

Funding Information:
We thank the editor, Jonathan Batten, and two anonymous referees for helpful comments and suggestions. Chen Gu acknowledges the financial support from the National Natural Science Foundation of China (Nos. 72201174, 91846108 ) and the Ministry of Education of Humanities and Social Science project ( 22YJC790031 ). Errors or omissions are our responsibility. The authors are listed in alphabetical order.

Publisher Copyright:
© 2023 Elsevier Inc.

Keywords

Commodity market uncertainty
Implied volatility
Intraday data
Monetary policy

Publisher link

10.1016/j.frl.2023.103907

Cite this

@article{acf12c965cf04d788a8b38f0efa73da6,

title = "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 = "Commodity market uncertainty, Implied volatility, Intraday data, Monetary policy",

author = "Chen Gu and Alexander Kurov and Raluca Stan",

note = "Funding Information: We thank the editor, Jonathan Batten, and two anonymous referees for helpful comments and suggestions. Chen Gu acknowledges the financial support from the National Natural Science Foundation of China (Nos. 72201174, 91846108) and the Ministry of Education of Humanities and Social Science project (22YJC790031). Errors or omissions are our responsibility. The authors are listed in alphabetical order. Funding Information: We thank the editor, Jonathan Batten, and two anonymous referees for helpful comments and suggestions. Chen Gu acknowledges the financial support from the National Natural Science Foundation of China (Nos. 72201174, 91846108 ) and the Ministry of Education of Humanities and Social Science project ( 22YJC790031 ). Errors or omissions are our responsibility. The authors are listed in alphabetical order. Publisher Copyright: {\textcopyright} 2023 Elsevier Inc.",

year = "2023",

doi = "10.1016/j.frl.2023.103907",

language = "English (US)",

journal = "Finance Research Letters",

issn = "1544-6123",

publisher = "Elsevier BV",

}

TY - JOUR

T1 - Monetary policy and uncertainty resolution in commodity markets

AU - Gu, Chen

AU - Kurov, Alexander

AU - Stan, Raluca

N1 - Funding Information: We thank the editor, Jonathan Batten, and two anonymous referees for helpful comments and suggestions. Chen Gu acknowledges the financial support from the National Natural Science Foundation of China (Nos. 72201174, 91846108) and the Ministry of Education of Humanities and Social Science project (22YJC790031). Errors or omissions are our responsibility. The authors are listed in alphabetical order. Funding Information: We thank the editor, Jonathan Batten, and two anonymous referees for helpful comments and suggestions. Chen Gu acknowledges the financial support from the National Natural Science Foundation of China (Nos. 72201174, 91846108 ) and the Ministry of Education of Humanities and Social Science project ( 22YJC790031 ). Errors or omissions are our responsibility. The authors are listed in alphabetical order. Publisher Copyright: © 2023 Elsevier Inc.

PY - 2023

Y1 - 2023

N2 - 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.

AB - 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.

KW - Commodity market uncertainty

KW - Implied volatility

KW - Intraday data

KW - Monetary policy

UR - http://www.scopus.com/inward/record.url?scp=85153351372&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85153351372&partnerID=8YFLogxK

U2 - 10.1016/j.frl.2023.103907

DO - 10.1016/j.frl.2023.103907

M3 - Article

AN - SCOPUS:85153351372

SN - 1544-6123

JO - Finance Research Letters

JF - Finance Research Letters

M1 - 103907

ER -

Monetary policy and uncertainty resolution in commodity markets

Abstract

Bibliographical note

Keywords

Publisher link

Other files and links

Fingerprint

Cite this