The Market Impact of FOMC Meetings Part 4

[WITH CODE] Analyzing the impact of FOMC meetings on returns and volatility across asset classes

Reviewed and updated 19 July 2026

Hello!

This post is the last post in the “Market Impact of FOMC Meetings” series. In prior posts, we explored the relationship between FOMC meetings and the returns in U.S. equities, rates, and FX. We also investigated how these meetings impact volatility expectations across these asset classes.

In this post, we’ll turn our attention to commodities, exploring how these markets respond to FOMC decisions, in terms of price returns and shifts in volatility expectations.

Let’s get into it.

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Introduction

In the first three posts, the clearer statistical patterns were concentrated in bond volatility and the broad dollar proxy. Several other equity, rate, and currency comparisons were weaker, but the results still provide a useful starting point for commodities.

Even though commodities are more disconnected from direct monetary policy channels, they aren’t immune to the Fed’s influence. Gold and silver, in particular, are sensitive to real interest rates, among other forces. Gold is often described as an inflation hedge, but that relationship varies; lower real rates can reduce the opportunity cost of holding non-yielding precious metals.

All else equal, a more dovish policy path can support precious metals through lower real yields and a weaker dollar, while a more hawkish path can work in the opposite direction. Silver shares those channels but also has substantial industrial demand.

Crude oil, on the other hand, responds more to economic growth expectations and the U.S. dollar. A stronger dollar from hawkish Fed policy tends to weigh on oil prices, while fears of slowing growth from rate hikes can dampen demand. But if the Fed signals it will support growth or tolerate inflation, oil often benefits from those pro-growth signals.

Now, we can determine if these relationships hold up to statistical tests. Specifically, is there a relationship between the returns and/or volatility of commodities around FOMC meetings, and how strong is this relationship?

For this analysis, I use 151 scheduled FOMC policy-decision dates actually held from 2006 through 2024. Each asset is placed on its own observed trading calendar, then each trading day is categorized as one of four types:

• FOMC Meeting Day (decision day)

• Pre-FOMC (one trading day before the meeting)

• Post-FOMC (one trading day after the meeting)

• Non-FOMC (all other trading days)

Returns use adjusted closes without forward-filling missing observations. OVX and GVZ use index-point changes. The six focal comparisons in this post are adjusted together with Holm’s method.

The analysis below includes ETFs and volatility indices for a variety of commodities.