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Understanding Global Volatility

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Abstract

In this note, we identify a global component of equity option-implied volatilities and address two questions: What are its fundamental drivers? And, given these drivers, are recent levels of volatility unexpectedly low?

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  • Juan M. Londono & Beth Anne Wilson, 2018. "Understanding Global Volatility," IFDP Notes 2018-01-19, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgin:2018-01-19
    DOI: 10.17016/2573-2129.40
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    File URL: https://www.federalreserve.gov/econres/notes/ifdp-notes/understanding-global-volatility-20180119.html
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    Cited by:

    1. Georgiadis, Georgios & Müller, Gernot J. & Schumann, Ben, 2021. "Global risk and the dollar," Working Paper Series 2628, European Central Bank.
    2. Martin Bodenstein & Pablo A. Cuba-Borda & Nils M. Gornemann & Ignacio Presno & Andrea Prestipino & Albert Queraltó & Andrea Raffo, 2023. "Global Flight to Safety, Business Cycles, and the Dollar," International Finance Discussion Papers 1381, Board of Governors of the Federal Reserve System (U.S.).
    3. Elie Bouri & Rangan Gupta & Chi keung marco Lau & David Roubaud, 2021. "Risk aversion and Bitcoin returns in extreme quantiles," Economics Bulletin, AccessEcon, vol. 41(3), pages 1374-1386.
    4. Elie Bouri & Rangan Gupta & Chi Keung Marco Lau & David Roubaud, 2019. "Risk Aversion and Bitcoin Returns in Normal, Bull, and Bear Markets," Working Papers 201927, University of Pretoria, Department of Economics.
    5. Jerome H. Powell, 2018. "Monetary Policy Influences on Global Financial Conditions and International Capital Flows : a speech at \"Challenges for Monetary Policy and the GFSN in an Evolving Global Economy\" Eighth H," Speech 1000, Board of Governors of the Federal Reserve System (U.S.).
    6. Ductor, Lorenzo & Leiva-León, Danilo, 2022. "Fluctuations in global output volatility," Journal of International Money and Finance, Elsevier, vol. 120(C).

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