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The effects of Federal funds rate surprises on SandP 500 volatility and volatility risk premium

Show simple item record Gospodinov N. Jamali I.
dc.contributor.editor 2012 2017-09-07T07:51:26Z 2017-09-07T07:51:26Z 2012
dc.identifier 10.1016/j.jempfin.2012.04.009
dc.identifier.issn 09275398
dc.description.abstract In this paper, we examine the effects of expected and surprise components in Federal funds target rate changes on realized and implied volatility. We find that surprise changes in the target rate significantly increase volatility. Consistent with the efficient market hypothesis, our analysis suggests that the expected component of a target rate change as well as the target rate change itself, do not significantly affect volatility. We also show that larger than expected decreases in the Federal funds target rate tend to lower the volatility risk premium. © 2012 Elsevier B.V.
dc.format.extent Pages: (497-510)
dc.language English
dc.publisher AMSTERDAM
dc.relation.ispartof Publication Name: Journal of Empirical Finance; Publication Year: 2012; Volume: 19; no. 4; Pages: (497-510);
dc.source Scopus
dc.title The effects of Federal funds rate surprises on SandP 500 volatility and volatility risk premium
dc.type Article
dc.contributor.affiliation Gospodinov, N., Department of Economics, Concordia University, 1455 De Maisonneuve Blvd. West, Montreal, QC H3G 1M8, Canada
dc.contributor.affiliation Jamali, I., Department of Finance, Accounting and Managerial Economics, Olayan School of Business, American University of Beirut, Beirut, Lebanon
dc.contributor.authorAddress Jamali, I.; Department of Finance, Accounting and Managerial Economics, Olayan School of Business, American University of Beirut, P.O. Box 11-0236, Riad El-Solh Street, Beirut 1107 2020, Lebanon; email:
dc.contributor.authorCorporate University: American University of Beirut; Faculty: Suliman S. Olayan School of Business; Department: School of Business;
dc.contributor.authorDepartment School of Business
dc.contributor.faculty Suliman S. Olayan School of Business
dc.contributor.authorInitials Gospodinov, N
dc.contributor.authorInitials Jamali, I
dc.contributor.authorReprintAddress Jamali, I (reprint author), Amer Univ Beirut, Dept Finance Accounting and Managerial Econ, Olayan Sch Business, POB 11-0236,Riad El Solh St, Beirut 11072020, Lebanon.
dc.contributor.authorUniversity American University of Beirut
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dc.description.citedCount 1
dc.description.citedTotWOSCount 4
dc.description.citedWOSCount 4
dc.format.extentCount 14
dc.identifier.coden JEFIE
dc.identifier.scopusID 84861877847
dc.publisher.address PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS
dc.relation.ispartOfISOAbbr J. Empir. Financ.
dc.relation.ispartOfIssue 4
dc.relation.ispartofPubTitle Journal of Empirical Finance
dc.relation.ispartofPubTitleAbbr J. Empir. Financ.
dc.relation.ispartOfVolume 19
dc.source.ID WOS:000307690500006
dc.type.publication Journal
dc.subject.otherAuthKeyword Federal funds futures
dc.subject.otherAuthKeyword Implied volatility
dc.subject.otherAuthKeyword Monetary policy surprises
dc.subject.otherAuthKeyword Realized volatility
dc.subject.otherAuthKeyword Volatility risk premium
dc.subject.otherKeywordPlus STOCK MARKETS REACTION
dc.subject.otherKeywordPlus TIME PRICE DISCOVERY
dc.subject.otherKeywordPlus MONETARY-POLICY
dc.subject.otherKeywordPlus FORECASTING VOLATILITY
dc.subject.otherKeywordPlus FOREIGN-EXCHANGE
dc.subject.otherKeywordPlus RESERVE POLICY
dc.subject.otherKeywordPlus NEWS
dc.subject.otherKeywordPlus RETURNS
dc.subject.otherKeywordPlus IDENTIFICATION
dc.subject.otherWOS Business, Finance
dc.subject.otherWOS Economics

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