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

Author

Listed:
  • Christian Pierdzioch

    (Department of Economics, Helmut Schmidt University)

  • Sebastian Rohloff

    (Department of Economics, Helmut Schmidt University)

  • Roland von Campe

    (Department of Economics, Helmut Schmidt University)

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.

Suggested Citation

  • Christian Pierdzioch & Sebastian Rohloff & Roland von Campe, 2023. "The stance of U.S. monetary policy and the realized variance of gold-price returns," Economics Bulletin, AccessEcon, vol. 43(2), pages 719-732.
    • Handle: RePEc:ebl:ecbull:eb-22-00723
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Monetary policy; Gold; Realized variance; Quantile regression;
    All these keywords.

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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