Juan M. Londono

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

26

DOWNLOADS
Rank 12,330

SSRN RANKINGS

Top 12,330

in Total Papers Downloads

5,095

SSRN CITATIONS
Rank 5,075

SSRN RANKINGS

Top 5,075

in Total Papers Citations

151

CROSSREF CITATIONS

115

Scholarly Papers (26)

Cumulative Prospect Theory, Option Returns, and the Variance Premium

Number of pages: 82 Posted: 21 Mar 2014 Last Revised: 17 Jun 2018
Tilburg University - Department of Finance, Tilburg University - Tilburg University School of Economics and Management, Frankfurt School of Finance & ManagementFrankfurt School of Finance & Management, Board of Governors of the Federal Reserve System and University of Mannheim - Business School
Downloads 664 (50,110)
Citation 18

Abstract:

Loading...

Cumulative prospect theory, variance risk premium, probability weighting

Cumulative Prospect Theory and the Variance Premium

Netspar Discussion Paper No. 12/2014-067
Number of pages: 45 Posted: 14 Feb 2015
Tilburg University - Department of Finance, Tilburg University - Tilburg University School of Economics and Management, Board of Governors of the Federal Reserve System and University of Mannheim - Business School
Downloads 127 (283,827)
Citation 4

Abstract:

Loading...

Cumulative prospect theory, distorted probabilities, loss aversion, variance risk premium

Cumulative Prospect Theory and the Variance Premium

Number of pages: 45 Posted: 02 Nov 2014 Last Revised: 12 Dec 2014
Tilburg University - Department of Finance, Tilburg University - Tilburg University School of Economics and Management, Board of Governors of the Federal Reserve System and University of Mannheim - Business School
Downloads 87 (367,993)
Citation 4

Abstract:

Loading...

Cumulative prospect theory, distorted probabilities, loss aversion, variance risk premium.

2.
Downloads 860 ( 35,844)
Citation 15

Variance Risk Premiums and the Forward Premium Puzzle

Number of pages: 67 Posted: 22 Aug 2012 Last Revised: 22 Jun 2016
Juan M. Londono and Hao Zhou
Board of Governors of the Federal Reserve System and SUSTech Business School
Downloads 680 (48,564)
Citation 2

Abstract:

Loading...

Currency return predictability, currency and stock variance risk premiums, forward premium puzzle, local consumption uncertainty, global inflation uncertainty.

Variance Risk Premiums and the Forward Premium Puzzle

Number of pages: 54 Posted: 07 Feb 2013
Juan M. Londono and Hao Zhou
Board of Governors of the Federal Reserve System and SUSTech Business School
Downloads 124 (290,789)
Citation 13

Abstract:

Loading...

forward premium puzzle, currency variance risk premium, stock variance, risk premium, unspanned currency uncertainty, forex return predictability

Variance Risk Premiums and the Forward Premium Puzzle

Number of pages: 50 Posted: 30 May 2017
Juan M. Londono and Hao Zhou
Board of Governors of the Federal Reserve System and SUSTech Business School
Downloads 56 (469,352)
Citation 1

Abstract:

Loading...

3.
Downloads 666 ( 50,758)
Citation 16

The Variance Risk Premium around the World

Number of pages: 60 Posted: 01 Nov 2014 Last Revised: 19 May 2015
Juan M. Londono
Board of Governors of the Federal Reserve System
Downloads 360 (106,571)
Citation 7

Abstract:

Loading...

variance risk premium, economic uncertainty, interdependence, international integration, return predictability

The Variance Risk Premium Around the World

Number of pages: 52 Posted: 23 Feb 2012
Juan M. Londono
Board of Governors of the Federal Reserve System
Downloads 167 (227,237)
Citation 12

Abstract:

Loading...

Variance risk premium, economic uncertainty, interdependence, international integration, co-movements, return predictability

The Variance Risk Premium Around the World

Number of pages: 57 Posted: 09 Mar 2011
Juan M. Londono
Board of Governors of the Federal Reserve System
Downloads 139 (264,743)
Citation 4

Abstract:

Loading...

variance risk premium, economic uncertainty, interdependence, international integration, comovements, return predictability.

4.
Downloads 448 ( 83,394)
Citation 3

What is Certain About Uncertainty?

Number of pages: 73 Posted: 07 Aug 2020
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve SystemBoard of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Fudan University - Fanhai International School of Finance (FISF), Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 367 (104,262)

Abstract:

Loading...

What is Certain About Uncertainty?

Journal of Economic Literature, Forthcoming
Number of pages: 45 Posted: 02 Aug 2021
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve SystemBoard of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Fudan University - Fanhai International School of Finance (FISF), Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 81 (384,585)
Citation 3

Abstract:

Loading...

global risk, uncertainty, volatility, crises, economic policy, monetary policy, downside risk, transmission.

5.

Equity Tail Risk and Currency Risk Premiums

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 69 Posted: 17 Jun 2019 Last Revised: 11 May 2021
Zhenzhen Fan, Juan M. Londono and Xiao Xiao
University of Manitoba - Department of Accounting and Finance, Board of Governors of the Federal Reserve System and University of Amsterdam - Amsterdam Business School
Downloads 386 (98,654)
Citation 1

Abstract:

Loading...

Global tail risk; Option-implied equity tail risk; Currency returns; Carry trade; Currency momentum

The Global Determinants of International Equity Risk Premiums

Number of pages: 61 Posted: 20 Apr 2019 Last Revised: 15 Jul 2021
Juan M. Londono and Nancy R. Xu
Board of Governors of the Federal Reserve System and Boston College, Carroll School of Managementaffiliation not provided to SSRN
Downloads 187 (205,845)
Citation 1

Abstract:

Loading...

Downside variance risk premium, Upside variance risk premium, International stock markets, Asymmetric state variables, Stock return predictability

The Global Determinants of International Equity Risk Premiums

Number of pages: 67 Posted: 14 Jun 2021
Juan M. Londono and Nancy R. Xu
Board of Governors of the Federal Reserve System and Boston College, Carroll School of Managementaffiliation not provided to SSRN
Downloads 89 (362,783)

Abstract:

Loading...

7.

Understanding Industry Betas

Number of pages: 45 Posted: 22 Feb 2013
Lieven Baele and Juan M. Londono
Tilburg University - Department of Finance and Board of Governors of the Federal Reserve System
Downloads 220 (177,440)
Citation 1

Abstract:

Loading...

industry betas, component models, kernel, DCC-MIDAS, dispersion in betas, stock return predictability, minimum variance strategies

8.

Unconventional Monetary and Exchange Rate Policies

Number of pages: 51 Posted: 24 Feb 2017 Last Revised: 23 Aug 2021
Peterson Institute, International Monetary Fund (IMF), Board of Governors of the Federal Reserve System, International Monetary Fund (IMF) and Board of Governors of the Federal Reserve System
Downloads 201 (193,044)

Abstract:

Loading...

9.

Taxonomy of Global Risk, Uncertainty, and Volatility Measures

Number of pages: 49 Posted: 26 Nov 2017
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Fudan University - Fanhai International School of Finance (FISF)
Downloads 188 (204,960)
Citation 2

Abstract:

Loading...

10.

U.S. Unconventional Monetary Policy and Transmission to Emerging Market Economies

Number of pages: 49 Posted: 29 Jun 2014
David Bowman, Juan M. Londono and Horacio Sapriza
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 156 (240,432)
Citation 49

Abstract:

Loading...

unconventional monetary policy, emerging markets, large-scale asset purchase program, quantitative easing, Federal Reserve

11.
Downloads 140 (262,414)
Citation 1

Bad Bad Contagion

Institute of Global Finance Working Paper No. Vol. 3, No. 1, Paper 4
Number of pages: 56 Posted: 23 Dec 2016 Last Revised: 18 Sep 2019
Juan M. Londono
Board of Governors of the Federal Reserve System
Downloads 76 (399,242)
Citation 1

Abstract:

Loading...

International stock markets, Bad contagion, Downside contagion, Interconnectedness, International integration, Financial stability, SRISK

Bad Bad Contagion

Number of pages: 45 Posted: 08 Sep 2016
Juan M. Londono
Board of Governors of the Federal Reserve System
Downloads 44 (522,016)

Abstract:

Loading...

International stock markets, Bad contagion, Downside contagion, Inter-connectedness, International integration, Financial stability, SRISK

Bad Bad Contagion

Number of pages: 45 Posted: 28 Sep 2019
Juan M. Londono
Board of Governors of the Federal Reserve System
Downloads 20 (671,788)

Abstract:

Loading...

International stock markets, interconnectedness, integration, transmission, spillovers

12.

Sentiment in Central Banks' Financial Stability Reports

Number of pages: 46 Posted: 28 Dec 2017 Last Revised: 31 Mar 2020
Board of Governors of the Federal Reserve System, University of Michigan at Ann Arbor, Board of Governors of the Federal Reserve System and Cornell University - Cornell University
Downloads 131 (276,216)
Citation 8

Abstract:

Loading...

Financial stability, Central bank communications, Text analysis, Dictionary, Sentiment index

13.

Sentiment in Central Banks' Financial Stability Reports

Number of pages: 52 Posted: 26 Mar 2017
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 125 (286,124)
Citation 4

Abstract:

Loading...

Financial stability, Central bank communications, Text analysis, Dictionary, Sentiment index

14.

Generating Options-Implied Probability Densities to Understand Oil Market Events

Number of pages: 50 Posted: 31 May 2017
Deepa Datta, Juan M. Londono and Landon Ross
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 73 (404,042)
Citation 2

Abstract:

Loading...

Options-implied PDFs, futures, options, oil

15.

Variance Risk Premium Components and International Stock Return Predictability

Number of pages: 75 Posted: 22 Oct 2019 Last Revised: 29 Apr 2020
Juan M. Londono and Nancy R. Xu
Board of Governors of the Federal Reserve System and Boston College, Carroll School of Managementaffiliation not provided to SSRN
Downloads 60 (447,271)
Citation 2

Abstract:

Loading...

Variance risk premium, downside variance risk premium, international stock markets, asymmetric state variables, stock return predictability

16.

Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies

Number of pages: 53 Posted: 12 May 2017
Peterson Institute, International Monetary Fund (IMF), Board of Governors of the Federal Reserve System, International Monetary Fund (IMF) and Board of Governors of the Federal Reserve System
Downloads 59 (450,969)
Citation 3

Abstract:

Loading...

Foreign exchange intervention, current account balance, unconventional monetary policy, quantitative easing, General, General

17.

Us Equity Tail Risk and Currency Risk Premia

Number of pages: 51 Posted: 22 Oct 2019 Last Revised: 29 Apr 2020
Zhenzhen Fan, Juan M. Londono and Xiao Xiao
University of Manitoba - Department of Accounting and Finance, Board of Governors of the Federal Reserve System and University of Amsterdam - Amsterdam Business School
Downloads 56 (462,179)

Abstract:

Loading...

18.

Bank Interventions and Downside Correlation Risk Premium: Evidence from the Global and Euro-Area Crisis

Number of pages: 43 Posted: 29 Nov 2014 Last Revised: 23 Aug 2015
Juan M. Londono and Mary H. Tian
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 47 (498,751)

Abstract:

Loading...

Downside Correlation Risk Premium, Bank Interventions, Variance Risk Premium, European Banking Union

19.

Intending to Shop in Single versus Multi-Channels: A Theory of Planned Behaviour-Based Explanation

Number of pages: 39 Posted: 10 Oct 2015 Last Revised: 02 Mar 2016
Juan M. Londono
Board of Governors of the Federal Reserve System
Downloads 36 (550,979)

Abstract:

Loading...

Theory of Planned Behaviour, Multi-channel, Single Channel. Palabras Clave: Teoría del Comportamiento Pleaneado, Multi-Canal, Uni-Canal.

20.

On the Informational Role of Term Structure in the U.S. Monetary Policy Rule

Banco de Espana Working Paper No. 0919
Number of pages: 48 Posted: 18 Sep 2009
Jesus Vazquez, Ramón María-Dolores and Juan M. Londono
Universidad del Pais Vasco - Euskal Herriko Unibertsitatea, affiliation not provided to SSRN and Board of Governors of the Federal Reserve System
Downloads 29 (589,893)
Citation 39

Abstract:

Loading...

NKM model, term structure, monetary policy rule, indirect inference, real-time and revised data

21.

The Global Transmission of Real Economic Uncertainty

Number of pages: 41 Posted: 14 Jun 2021
Juan M. Londono, Sai Ma and Beth Anne Wilson
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 24 (622,356)

Abstract:

Loading...

22.

Bank Interventions and Options-Based Systemic Risk: Evidence from the Global and Euro-Area Crisis

Number of pages: 32 Posted: 31 May 2017
Juan M. Londono and Mary H. Tian
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 21 (643,320)

Abstract:

Loading...

Systemic Risk, Downside Correlation Risk Premium, Bank Interventions, Variance Risk Premium, European Banking Union

23.

Financial Stability Governance and Central Bank Communications

Number of pages: 57 Posted: 13 Sep 2021
Juan M. Londono, Stijn Claessens and Ricardo Correa
Board of Governors of the Federal Reserve System, Bank for International Settlements (BIS) and Board of Governors of the Federal Reserve System
Downloads 15 (694,602)

Abstract:

Loading...

Financial Stability Governance, Natural Language Processing, Central Bank Communications, Financial Cycle

24.

U.S. Unconventional Monetary Policy and Transmission to Emerging Market Economies

Posted: 09 Jul 2021 Last Revised: 23 Aug 2021
David Bowman, Juan M. Londono and Horacio Sapriza
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and affiliation not provided to SSRN

Abstract:

Loading...

25.

Central Banks' Financial Stability Communications during the COVID-19 Pandemic

Posted: 24 Sep 2020
Jerry Yang, Ricardo Correa and Juan M. Londono
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Abstract:

Loading...

26.

Quantifying the Impact of Foreign Economic Uncertainty on the U.S. Economy

Posted: 22 Oct 2019
Juan M. Londono, Sai Ma and Beth Anne Wilson
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Abstract:

Loading...