The rise and fall of US dollar interest rate volatility: evidence from swaptions
AbstractInterest rate volatility, as implied by swaptions prices, rose in all major economic areas between 2001 and early 2004. The increase was particularly sharp for US rates and was more sizeable for short-term rates and swaptions with short expiration. Since the spring of 2004, US dollar volatilities have declined to the values recorded for euro rates and their term structure has flattened. The rise and fall of US dollar implied volatility reflected changes both in expectations of realised volatility and in the compensation for volatility risk.
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Bibliographic InfoArticle provided by Bank for International Settlements in its journal BIS Quarterly Review.
Volume (Year): (2005)
Issue (Month): (September)
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
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