Abstract

There is a notable scarcity of research on the impact of monetary policy announcements on gold prices in the Indian context. This study examined the impact of monetary policy announcements on gold prices. The monetary policy announcements made between January 2016 and March 2023 were considered. Gold price data were collected over 7 years and 3 months, from January 2016 to March 2023. The Single Index Model was employed to calculate expected returns, using ICOMDEX returns as the market index benchmark. Results indicated that the Cumulative Average Abnormal Returns (CAARs) were negative and statistically significant throughout the pre- and post-event windows across all three scenarios: Repo rate increases, decreases, and periods of no change. Moreover, the Average Abnormal Returns (AARs) were negative and statistically significant on most days within the pre- and post-event windows during periods of no change in repo rates. It was also observed that during periods without repo rate changes, the CAARs were negative and statistically significant throughout the entire event window. In contrast, the AAR was significant only on the actual event day. In conclusion, the Cumulative Average Abnormal Returns (CAARs) demonstrated that gold prices were significantly and negatively impacted by monetary policy announcements, regardless of whether the repo rate was increased, decreased, or held constant.

Keywords

Average abnormal returns, cumulative average abnormal returns, event window, REPO rates.

JEL Codes
            E52, G12, G14.

Description

Indian Journal of Economics and Development

https://doi.org/10.35716/IJED-23282

Impact Factor: 0.2 (2025)
NAAS Score: 6.20 (2026)
Indexed in Scopus (Since 2019)