The stance of U.S. monetary policy and the realized variance of gold-price returns

Christian Pierdzioch, Sebastian Rohloff () and Roland von Campe ()
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Sebastian Rohloff: Department of Economics, Helmut Schmidt University
Roland von Campe: Department of Economics, Helmut Schmidt University

Economics Bulletin, 2023, vol. 43, issue 2, 719 - 732

Abstract: We use a quantile-regression model to study the association between the stance of U.S. monetary policy and the realized variance of gold-price. We measure the stance of monetary policy using the spread between the real interest rate and the natural real interest rate. During a hawkish policy regime, tighter monetary policy is associated with a lower realized variance at the upper quantiles its conditional distribution. During the recent dovish policy regime, in contrast, the link between tighter monetary policy and the realized variance of gold price returns at the upper quantiles of its conditional distributionis positive.

Keywords: Monetary policy; Gold; Realized variance; Quantile regression (search for similar items in EconPapers)
JEL-codes: C2 C5 (search for similar items in EconPapers)
Date: 2023-06-30
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