AUB ScholarWorks

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

Show simple item record

dc.contributor.author Gospodinov N.
dc.contributor.author Jamali I.
dc.contributor.editor
dc.date 2012
dc.date.accessioned 2017-09-07T07:51:26Z
dc.date.available 2017-09-07T07:51:26Z
dc.date.issued 2012
dc.identifier 10.1016/j.jempfin.2012.04.009
dc.identifier.isbn
dc.identifier.issn 09275398
dc.identifier.uri http://hdl.handle.net/10938/12161
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
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.relation.ispartofseries
dc.relation.uri
dc.source Scopus
dc.subject.other
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: ij08@aub.edu.lb
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.authorDivision
dc.contributor.authorEmail nikolay.gospodinov@concordia.ca; ij08@aub.edu.lb
dc.contributor.faculty Suliman S. Olayan School of Business
dc.contributor.authorInitials Gospodinov, N
dc.contributor.authorInitials Jamali, I
dc.contributor.authorOrcidID
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.authorResearcherID
dc.contributor.authorUniversity American University of Beirut
dc.description.cited Andersen TG, 2007, J INT ECON, V73, P251, DOI 10.1016-j.jinteco.2007.02.004; Andersen TG, 2003, AM ECON REV, V93, P38, DOI 10.1257-000282803321455151; Bandi F., 2006, J FINANCIAL ECONOMET, V4, P636, DOI 10.1093-jjfinec-nbl003; Basistha A, 2008, J BANK FINANC, V32, P2606, DOI 10.1016-j.jbankfin.2008.05.012; Bekaert G., 2010, 16397 NBER; Bernanke BS, 2005, J FINANC, V60, P1221, DOI 10.1111-j.1540-6261.2005.00760.x; Black F., 1976, P 1976 M AM STAT ASS, P177; Bollerslev T, 2009, REV FINANC STUD, V22, P4463, DOI 10.1093-rfs-hhp008; Bollerslev T., 2000, J EMPIR FINANC, V7, P37, DOI 10.1016-S0927-5398(00)00002-5; Bollerslev T, 2011, J ECONOMETRICS, V160, P235, DOI 10.1016-j.jeconom.2010.03.033; Bomfim AN, 2003, J BANK FINANC, V27, P133, DOI 10.1016-S0378-4266(01)00211-4; Boyd JH, 2005, J FINANC, V60, P649, DOI 10.1111-j.1540-6261.2005.00742.x; Carr P, 2009, REV FINANC STUD, V22, P1311, DOI 10.1093-rfs-hhn038; Carr P., 2006, J DERIV, V13, P13, DOI 10.3905-jod.2006.616865; Chen E. T. J., 2007, FINANC RES LETT, V4, P227, DOI 10.1016-j.frl.2007.07.002; Chernov M, 2007, J BUS ECON STAT, V25, P411, DOI 10.1198-073500106000000350; Christensen BJ, 1998, J FINANC ECON, V50, P125, DOI 10.1016-S0304-405X(98)00034-8; CHRISTIE AA, 1982, J FINANC ECON, V10, P407, DOI 10.1016-0304-405X(82)90018-6; Chulia H, 2010, J BANK FINANC, V34, P834, DOI 10.1016-j.jbankfin.2009.09.012; Cochrane JH, 2002, AM ECON REV, V92, P90, DOI 10.1257-000282802320189069; COOK T, 1989, J MONETARY ECON, V24, P331, DOI 10.1016-0304-3932(89)90025-1; D'Amico S, 2011, J BUS ECON STAT, V29, P126, DOI 10.1198-jbes.2009.08019; EDERINGTON LH, 1993, J FINANC, V48, P1161, DOI 10.2307-2329034; Fatum R, 2008, J BANK FINANC, V32, P1076, DOI 10.1016-j.jbankfin.2007.09.014; Fleming F., 1995, J FUTURES MARKETS, V15, P265; Gospodinov N., 2011, RESPONSE STOCK UNPUB; Gospodinov N, 2006, J FORECASTING, V25, P381, DOI 10.1002-for.993; Goto S., 2002, FEDS EFFECT EX UNPUB; Gurkaynak R., 2005, USING FEDERAL UNPUB; Gurkaynak R. S., 2005, INT J CENT BANK, V1, P55; Gurkaynak RS, 2007, J BUS ECON STAT, V25, P201, DOI 10.1198-073500106000000387; Hamilton JD, 2009, J MONEY CREDIT BANK, V41, P567, DOI 10.1111-j.1538-4616.2009.00223.x; Hull J. C., 2006, OPTIONS FUTURES OTHE; Jansen DW, 2010, J EMPIR FINANC, V17, P981, DOI 10.1016-j.jempfin.2010.08.002; Krueger JT, 1996, J FUTURES MARKETS, V16, P865, DOI 10.1002-(SICI)1096-9934(199612)16:8865::AID-FUT23.0.CO;2-K; Kurov A, 2010, J BANK FINANC, V34, P139, DOI 10.1016-j.jbankfin.2009.07.010; Kuttner KN, 2001, J MONETARY ECON, V47, P523, DOI 10.1016-S0304-3932(01)00055-1; Lunde A., 2009, FINANCIAL MARKETS PO, V23, P383; Mishkin F., 2007, MONETARY POLICY STRA; NEWEY WK, 1987, ECONOMETRICA, V55, P703, DOI 10.2307-1913610; Patelis AD, 1997, J FINANC, V52, P1951, DOI 10.2307-2329470; Poole W, 2000, J FINANC SERV RES, V18, P255, DOI 10.1023-A:1026555225089; Poon SH, 2003, J ECON LIT, V41, P478, DOI 10.1257-002205103765762743; Rigobon R, 2004, J MONETARY ECON, V51, P1553, DOI 10.1016-j.jmoneco.2004.02.004; Rosenberg JV, 2002, J FINANC ECON, V64, P341, DOI 10.1016-S0304-405X(02)00128-9; Sahlstrom P., 2004, INT REV FINANC ANAL, V13, P1, DOI DOI 10.1016-J.IRFA.2004.01.001; Thorbecke W, 1997, J FINANC, V52, P635, DOI 10.2307-2329493; THORNTON DL, 1998, FEDERAL RESERVE BANK, V0080; Whaley RE, 2000, J PORTFOLIO MANAGE, V26, P12, DOI 10.3905-jpm.2000.319728; Zebedee A., 2008, FINANCIAL MARKETS PO, V22, P3, DOI 10.1007-s11408-007-0068-0
dc.description.citedCount 1
dc.description.citedTotWOSCount 4
dc.description.citedWOSCount 4
dc.format.extentCount 14
dc.identifier.articleNo
dc.identifier.coden JEFIE
dc.identifier.pubmedID
dc.identifier.scopusID 84861877847
dc.identifier.url
dc.publisher.address PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS
dc.relation.ispartofConference
dc.relation.ispartofConferenceCode
dc.relation.ispartofConferenceDate
dc.relation.ispartofConferenceHosting
dc.relation.ispartofConferenceLoc
dc.relation.ispartofConferenceSponsor
dc.relation.ispartofConferenceTitle
dc.relation.ispartofFundingAgency
dc.relation.ispartOfISOAbbr J. Empir. Financ.
dc.relation.ispartOfIssue 4
dc.relation.ispartOfPart
dc.relation.ispartofPubTitle Journal of Empirical Finance
dc.relation.ispartofPubTitleAbbr J. Empir. Financ.
dc.relation.ispartOfSpecialIssue
dc.relation.ispartOfSuppl
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.otherChemCAS
dc.subject.otherIndex
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


Files in this item

Files Size Format View

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record

Search AUB ScholarWorks


Browse

My Account