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What Can We Learn from Prior Periods of Low Volatility?

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Abstract

Volatility, a measure of how much financial markets are fluctuating, has been near its record low in many asset classes. Over the last few decades, there have been only two other periods of similarly low volatility: in May 2013, and prior to the financial crisis in 2007. Is there anything we can learn from the recent period of low volatility versus what occurred slightly more than one year ago and seven years ago? Probably; the current volatility environment appears quite similar to the one in May 2013, but it?s substantially different from what happened prior to the financial crisis.

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  • Fernando M. Duarte & Juan Navarro-Staicos & Carlo Rosa, 2014. "What Can We Learn from Prior Periods of Low Volatility?," Liberty Street Economics 20141006, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednls:86985
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    Keywords

    treasuries; vix; S&P 500; volatility; stocks; bonds; treasury;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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