Monetary policy and uncertainty resolution in commodity markets

被引：3

作者：

Gu, Chen ^{[1
]}

Kurov, Alexander ^{[2
,4
]}

Stan, Raluca ^{[3
]}

机构：

[1] Shanghai Business Sch, Res Ctr Finance, Shanghai, Peoples R China

[2] West Virginia Univ, Dept Finance, Morgantown, WV USA

[3] Univ Minnesota Duluth, Dept Accounting & Finance, Duluth, MN USA

[4] West Virginia Univ, John Chambers Coll Business & Econ, Dept Finance, POB 6025, Morgantown, WV 26506 USA

来源：

FINANCE RESEARCH LETTERS | 2023年 / 55卷

基金：

中国国家自然科学基金;

关键词：

Monetary policy; Commodity market uncertainty; Implied volatility; Intraday data; INTEREST-RATES; VOLATILITY; PRICES; SURPRISES;

D O I：

10.1016/j.frl.2023.103907

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页数：7

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