Article ID Journal Published Year Pages File Type
10475246 Journal of Empirical Finance 2012 14 Pages PDF
Abstract
► We study the effect of Fed funds rate surprises on realized and implied volatility. ► Surprise changes in the target rate significantly increase volatility. ► Larger than expected decreases in the Federal funds target rate tend to lower the volatility risk premium.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium
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