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Displaying results 1 to 18 of 18.

  1. US equity tail risk and currency risk premia
    Author: Fan, Zhenzhen; Londono, Juan M.; Xiao, Xiao
    Published: 2019
    Publisher:  Board of Governors of the Federal Reserve System, [Washington, DC]

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Edition: This version: July 2019
    Series: International finance discussion papers ; number 1253 (July 2019)
    FRB International Finance Discussion Paper ; No. 1253
    Subjects: Equity tail risk; Global tail risk; Currency returns; Carry trade; Currency momentum
    Scope: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  2. Direct and spillover effects of unconventional monetary and exchange rate policies
    Author: Gagnon, Joseph E.; Bayoumi, Tamim A.; Londono, Juan M.; Saborowski, Christian; Sapriza, Horacio
    Published: March 2017
    Publisher:  International Monetary Fund, [Washington, D.C.]

    This paper explores the effects of unconventional monetary and exchange rate policies. We find that official foreign asset purchases have large effects on current accounts that diminish as capital mobility rises and spill over to financially... more

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    This paper explores the effects of unconventional monetary and exchange rate policies. We find that official foreign asset purchases have large effects on current accounts that diminish as capital mobility rises and spill over to financially integrated countries. There is an additional effect through the stock of central bank assets. Domestic asset purchases have an effect on current accounts only when capital mobility is low. We also find that rising US bond yields drive foreign yields, stock prices and depreciations, but less so on days of policy announcements. We develop a theoretical model that is broadly consistent with our results

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9781475586237
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    Series: IMF working paper ; WP/17, 56
    Subjects: Spillover-Effekt; Geldpolitik; Wechselkurspolitik
    Scope: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  3. Variance risk premiums and the forward premium puzzle
    Author: Londono, Juan M.; Zhou, Hao
    Published: 2012
    Publisher:  Board of Governors of the Federal Reserve System, Washington, DC

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    Source: Union catalogues
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    Series: International finance discussion papers ; 1068
    Subjects: Währungsspekulation; Währungsrisiko; US-Dollar; Risikoprämie; Prognoseverfahren; Börsenkurs; Japan; Großbritannien; EU-Staaten
    Scope: Online-Ressource (47 S., 426,21 KB), graph. Darst.
  4. Generating options-implied probability densities to understand oil market events
    Author: Datta, Deepa Dhume; Londono, Juan M.; Ross, Landon J.
    Published: 2014
    Publisher:  Board of Governors of the Federal Reserve System, Washington, DC

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    Language: English
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    Series: International finance discussion papers ; 1122
    Subjects: Rohstoffderivat; Volatilität; Prognose; Ölpreis; Welt
    Scope: Online-Ressource (48 S.), graph. Darst.
  5. U.S. unconventional monetary policy and transmission to emerging market economies
    Author: Bowman, David; Londono, Juan M.; Spariza, Horacio
    Published: 2014
    Publisher:  Board of Governors of the Federal Reserve System, Washington, DC

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    Series: International finance discussion papers ; 1109
    Subjects: Geldpolitik; Quantitative Lockerung; USA; Öffentliche Anleihe; Zinsstruktur; Wechselkurs; Börsenkurs; Schwellenländer; Large-scale asset purchase program
    Scope: Online-Ressource (44 S.), graph. Darst.
  6. Direct and spillover effects of unconventional monetary and exchange rate policies
    Author: Gagnon, Joseph E.; Bayoumi, Tamim A.; Londono, Juan M.; Saborowski, Christian; Sapriza, Horacio
    Published: March 2017
    Publisher:  International Monetary Fund, [Washington, D.C.]

    This paper explores the effects of unconventional monetary and exchange rate policies. We find that official foreign asset purchases have large effects on current accounts that diminish as capital mobility rises and spill over to financially... more

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    This paper explores the effects of unconventional monetary and exchange rate policies. We find that official foreign asset purchases have large effects on current accounts that diminish as capital mobility rises and spill over to financially integrated countries. There is an additional effect through the stock of central bank assets. Domestic asset purchases have an effect on current accounts only when capital mobility is low. We also find that rising US bond yields drive foreign yields, stock prices and depreciations, but less so on days of policy announcements. We develop a theoretical model that is broadly consistent with our results

     
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    Volltext (kostenfrei)
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9781475586237
    Other identifier:
    Series: IMF working paper ; WP/17, 56
    Subjects: Spillover-Effekt; Geldpolitik; Wechselkurspolitik
    Scope: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  7. Unconventional monetary and exchange rate policies
    Author: Gagnon, Joseph E.; Bayoumi, Tamim A.; Londono, Juan M.; Saborowski, Christian; Sapriza, Horacio
    Published: February 2017
    Publisher:  Board of Governors of the Federal Reserve System, [Washington, DC]

    This paper explores the direct effects and spillovers of unconventional monetary and exchange rate policies. We find that official purchases of foreign assets have a large positive effect on a country's current account that diminishes considerably as... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    This paper explores the direct effects and spillovers of unconventional monetary and exchange rate policies. We find that official purchases of foreign assets have a large positive effect on a country's current account that diminishes considerably as capital mobility rises. There is an important additional effect through the lagged stock of official assets. Official purchases of domestic assets, or quantitative easing (QE), appear to have no significant effect on a country's current account when capital mobility is high, but there is a modest positive impact when capital mobility is low. The effects of purchases of foreign assets spill over to other countries in proportion to their degree of international financial integration. We also find that increases in US bond yields are associated with increases in foreign bond yields and in stock prices, as well as with depreciations of foreign currencies, but that all of these effects are smaller on days of US unconventional monetary policy announcements. We develop a theoretical model that is broadly consistent with our empirical results and that highlights the potential usefulness of domestic unconventional policies as responses to the effects of foreign policies of a similar type

     
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    Source: Union catalogues
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    Series: International finance discussion papers ; number1194 (February 2017)
    FRB International Finance Discussion Paper ; No. 1194
    Subjects: Leistungsbilanz; Quantitative Lockerung; Wechselkurspolitik; Zinsstruktur; Öffentliche Anleihe; USA
    Scope: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  8. Sentiment in central banks' financial stability reports
    Author: Correa, Ricardo; Garud, Keshav; Londono, Juan M.; Mislang, Nathan
    Published: April 4, 2017
    Publisher:  Board of Governors of the Federal Reserve System, [Washington, DC]

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    Series: International finance discussion papers ; number1203 (March 2017)
    Subjects: Finanzkrise; Politische Kommunikation; Zentralbank; Text; Welt
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen
    Notes:
  9. Financial stability governance and central bank communications
    Author: Londono, Juan M.; Claessens, Stijn; Correa, Ricardo
    Published: 2021
    Publisher:  Board of Governors of the Federal Reserve System, [Washington, DC]

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    Series: International finance discussion papers ; number 1328 (September 2021)
    Subjects: Financial Stability Governance; Natural Language Processing; Central Bank Communications; Financial Cycle
    Scope: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  10. Taxonomy of global risk, uncertainty, and volatility measures
    Author: Datta, Deepa Dhume; Londono, Juan M.; Sun, Bo; Beltran, Daniel; Ferreira, Thiago; Iacoviello, Matteo; Jahan-Parvar, Mohammad R.; Li, Canlin; Giudice Rodriguez, Marius del; Rogers, John H.
    Published: 2017
    Publisher:  Board of Governors of the Federal Reserve System, [Washington, DC]

    A large number of measures for monitoring risk and uncertainty surrounding macroeconomic and financial outcomes have been proposed in the literature, and these measures are frequently used by market participants, policy makers, and researchers in... more

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    A large number of measures for monitoring risk and uncertainty surrounding macroeconomic and financial outcomes have been proposed in the literature, and these measures are frequently used by market participants, policy makers, and researchers in their analyses. However, risk and uncertainty measures differ across multiple dimensions, including the method of calculation, the underlying outcome (that is, the asset price or macroeconomic variable), and the horizon at which they are calculated. Therefore, in this paper, we review the literature on global risk, uncertainty, and volatility measures drawing on internal and external academic research as well as ongoing monitoring conducted by the Federal Reserve Board's economics divisions to catalog measures by method of data collection, computation, and subject. We first explore a set of non asset-marketbased measures of risk and uncertainty, including news-based and survey-based uncertainty measures of monetary policy and macroeconomic outcomes. We then turn to asset-market-based measures of risk uncertainty for equity prices, interest rates, currencies, oil prices, and inflation

     
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    Series: International finance discussion papers ; number1216 (November 2017)
    FRB International Finance Discussion Paper ; No. 1216
    Subjects: Risk; uncertainty; volatility; monetary policy; geopolitical risk; equities; interest rates; exchange rates; commodities; inflation; variance risk premium
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  11. The global transmission of real economic uncertainty
    Author: Londono, Juan M.; Ma, Sai; Wilson, Beth Anne
    Published: 2021
    Publisher:  Board of Governors of the Federal Reserve System, [Washington, DC]

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    Edition: This version: April 23, 2021
    Series: International finance discussion papers ; number 1317 (April 2021)
    Subjects: Economic e ects of uncertainty; International transmission; Spillovers
    Scope: 1 Online-Ressource (circa Seiten), Illustrationen
  12. What is certain about uncertainty?
    Author: Cascaldi-Garcia, Danilo; Sarisoy, Cisil; Londono, Juan M.; Rogers, John H.; Datta, Deepa Dhume; Ferreira, Thiago; Grishchenko, Olesya; Jahan-Parvar, Mohammad R.; Loria, Francesca; Ma, Sai; Giudice Rodriguez, Marius del; Zer, Ilknur
    Published: 2020
    Publisher:  Board of Governors of the Federal Reserve System, [Washington, DC]

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    Series: International finance discussion papers ; number 1294 (July 2020)
    Subjects: global risk; uncertainty; volatility; crises; economic policy; monetary policy; geopolitical risk; trade policy; downside risk
    Scope: 1 Online-Ressource (circa 73 Seiten), Illustrationen
  13. Variance risk premium components and international stock return predictability
    Author: Londono, Juan M.; Xu, Nancy R.
    Published: 2019
    Publisher:  Board of Governors of the Federal Reserve System, [Washington, DC]

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    Series: International finance discussion papers ; number1247 (April 2019)
    FRB International Finance Discussion Paper ; No. 1247
    Subjects: Variance risk premium; downside variance risk premium; international stockmarkets; asymmetric state variables; stock return predictability
    Scope: 1 Online-Ressource (circa 75 Seiten), Illustrationen
  14. The price of macroeconomic uncertainty
    evidence from daily options
    Author: Londono, Juan M.; Samadi, Mehrdad
    Published: [2023]
    Publisher:  Board of Governors of the Federal Reserve System, [Washington, DC]

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    Edition: This version: June 2023
    Series: International finance discussion papers ; number 1376 (June 2023)
    Subjects: Variance Risk; Uncertainty; Risk Premium; Macroeconomic Releases; FOMC; Inflation; Tail Risk
    Scope: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  15. The variance risk premium around the world
    Author: Londono, Juan M.
    Published: 2011
    Publisher:  Board of Governors of the Federal Reserve System, Washington, DC

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    Series: International finance discussion papers ; 1035
    Subjects: Währungsspekulation; Währungsrisiko; US-Dollar; Risikoprämie; Prognoseverfahren; Börsenkurs; Japan; Großbritannien; EU-Staaten
    Scope: Online-Ressource (45 S., 746,26 KB), graph. Darst.
  16. Bank interventions and options-based systemic risk
    evidence from the global and euro-area crisis
    Author: Londono, Juan M.; Tian, Mary
    Published: 2014
    Publisher:  Board of Governors of the Federal Reserve System, Washington, DC

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    Series: International finance discussion papers ; 1117
    Subjects: Systemrisiko; Bankenregulierung; Bankrisiko; Börsenkurs; Risikoprämie; Bank; USA; Eurozone; European Banking Union
    Scope: Online-Ressource (30 S.), graph. Darst.
  17. Bad bad contagion
    Author: Londono, Juan M.
    Published: September 2016
    Publisher:  Board of Governors of the Federal Reserve System, [Washington, DC]

    Bad contagion, the downside component of contagion in international stock markets, has negative implications for financial stability. I propose a measure for the occurrence and severity of global contagion that combines the factor-model approach in... more

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    Bad contagion, the downside component of contagion in international stock markets, has negative implications for financial stability. I propose a measure for the occurrence and severity of global contagion that combines the factor-model approach in Bekaert et al. (2005) with the model-free or co-exceedance approach in Bae et al. (2003). Contagion is measured as the proportion of international stock markets that simultaneously experience unexpected returns beyond a certain threshold. I decompose contagion into its downside or bad component (the co-exceedance of low returns) and its upside or good component (the co-exceedance of high returns). I find that episodes of bad contagion are followed by a significant drop in country-level stock index prices and by a deterioration of financial stability indicators, especially for more open economies

     
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    Series: International finance discussion papers ; number1178 (September 2016)
    Subjects: Internationaler Finanzmarkt; Ansteckungseffekt; Finanzmarktregulierung; Finanzkrise; Kapitalmarktrendite; Schätzung; CAPM; Welt
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  18. The global determinants of international equity risk premiums
    Author: Londono, Juan M.; Xu, Nancy R.
    Published: 2021
    Publisher:  Board of Governors of the Federal Reserve System, [Washington, DC]

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    Series: International finance discussion papers ; number 1318 (May 2021)
    Subjects: Downside variance risk premium; Upside variance risk premium; International stock markets; Asymmetric state variables; Stock return predictability
    Scope: 1 Online-Ressource (circa 67 Seiten), Illustrationen