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| Christian Pierdzioch, Sebastian Rohloff and Roland von Campe |
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| ''The stance of U.S. monetary policy and the realized variance of gold-price returns'' |
| ( 2023, Vol. 43 No.2 ) |
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| 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. |
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| Keywords: Monetary policy; Gold; Realized variance; Quantile regression |
JEL: C2 - Single Equation Models; Single Variables: General
C5 - Econometric Modeling: General |
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| Manuscript Received : Sep 29 2022 | | Manuscript Accepted : Jun 30 2023 |
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