Search Results

SORT BY: PREVIOUS / NEXT
Keywords:VIX 

Working Paper
The US, Economic News, and the Global Financial Cycle

We provide evidence for a causal link between the US economy and the global financial cycle. Using intraday data, we show that US macroeconomic news releases have large and significant effects on global risky asset prices. Stock price indexes of 27 countries, the VIX, and commodity prices all jump instantaneously upon news releases. The responses of stock indexes co-move across countries and are large - often comparable in size to the response of the S&P 500. Further, US macroeconomic news explains on average 23 percent of the quarterly variation in foreign stock markets. The joint behavior ...
International Finance Discussion Papers , Paper 1371

Discussion Paper
The Low Volatility Puzzle: Is This Time Different?

As stock market volatility hovers near all-time lows, some analysts are questioning whether investors are complacent, drawing an analogy to the lead-up to the financial crisis. But, is this time different? We follow up on our previous post by investigating the persistence of low volatility periods. Historically, realized stock market volatility is persistent and mean-reverting: low volatility today predicts slightly higher, but still low, volatility one month and one year from now. Moreover, as of mid-September, the market is pricing implied volatility of 19 percent in one to two years? time. ...
Liberty Street Economics , Paper 20171115

Journal Article
The Persistent Effects of the Temporary Tightening in Financial Conditions

Market-based measures of uncertainty, a common proxy for broader financial conditions, rose sharply in the fourth quarter of 2018 but have retreated to more normal levels over the last few months. While the recent increase in uncertainty was brief, the temporary tightening in financial conditions will likely have longer-lasting effects on economic activity and prices.
Economic Bulletin , Issue April 17, 2019 , Pages 4

Working Paper
Asset Return Dynamics under Habits and Bad-Environment Good-Environment Fundamentals

We introduce a "bad environment-good environment" (BEGE) technology for consumption growth in a consumption-based asset pricing model with external habit formation. The model generates realistic non-Gaussian features of consumption growth and fits standard salient features of asset prices including the means and volatilities of equity returns and a low risk free rate. BEGE dynamics additionally allow the model to generate realistic properties of equity index options prices, and their comovements with the macroeconomic outlook. In particular, when option implied volatility is high, as ...
Finance and Economics Discussion Series , Paper 2015-53

Discussion Paper
The Low Volatility Puzzle: Are Investors Complacent?

In recent months, some analysts and policymakers have raised concerns about the unusually low level of stock market volatility. For example, in the June Federal Open Market Committee (FOMC) minutes ?a few participants expressed concern that subdued market volatility, coupled with a low equity premium, could lead to a buildup of risks to financial stability.? In this post, we review this concern and find the evidence on investor complacency is mixed. On one hand, we present a view suggesting that historical volatility may have been abnormally high, rather than current volatility being ...
Liberty Street Economics , Paper 20171113

Discussion Paper
Constructing Zero-Beta VIX Portfolios with Dynamic CAPM

This paper focuses on actively managed portfolios of VIX derivatives constructed to reduce portfolio correlation with the equity market. We find that the best results are obtained using Kalman filter-based dynamic CAPM. The portfolio construction method is capable of constructing zero-beta portfolios with positive alpha.
Occasional Papers , Paper 14-1

FILTER BY year

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

G1 2 items

G12 2 items

E44 1 items

E52 1 items

F40 1 items

G10 1 items

show more (3)

PREVIOUS / NEXT