Juan M. Londono

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

22

DOWNLOADS
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Top 13,560

in Total Papers Downloads

3,873

SSRN CITATIONS
Rank 6,106

SSRN RANKINGS

Top 6,106

in Total Papers Citations

88

CROSSREF CITATIONS

106

Scholarly Papers (22)

1.
Downloads 823 ( 31,670)
Citation 11

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 Tsinghua University - PBC School of Finance
Downloads 674 (40,941)
Citation 3

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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

FRB International Finance Discussion Paper No. 1068
Number of pages: 54 Posted: 07 Feb 2013
Juan M. Londono and Hao Zhou
Board of Governors of the Federal Reserve System and Tsinghua University - PBC School of Finance
Downloads 118 (258,178)
Citation 11

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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

FRB International Finance Discussion Paper No. 1068
Number of pages: 50 Posted: 30 May 2017
Juan M. Londono and Hao Zhou
Board of Governors of the Federal Reserve System and Tsinghua University - PBC School of Finance
Downloads 31 (514,892)
Citation 1

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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 & Management gemeinnützige GmbH, Board of Governors of the Federal Reserve System and University of Mannheim - Business School
Downloads 565 (51,700)
Citation 10

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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 113 (266,331)
Citation 4

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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 82 (329,868)
Citation 4

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

3.
Downloads 599 ( 48,571)
Citation 12

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 299 (110,352)
Citation 7

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

The Variance Risk Premium Around the World

FRB International Finance Discussion Paper No. 1035
Number of pages: 52 Posted: 23 Feb 2012
Juan M. Londono
Board of Governors of the Federal Reserve System
Downloads 163 (198,919)
Citation 11

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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 137 (229,858)
Citation 2

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

4.

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 204 (162,809)
Citation 1

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

5.

Equity Tail Risk and Currency Risk Premia

Number of pages: 59 Posted: 17 Jun 2019 Last Revised: 04 Aug 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 Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 197 (168,181)

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

6.

Unconventional Monetary and Exchange Rate Policies

FRB International Finance Discussion Paper No. 1194
Number of pages: 51 Posted: 24 Feb 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 169 (192,715)

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Current account balance, Unconventional monetary policy, Foreign exchange intervention, Quantitative easing

7.

Taxonomy of Global Risk, Uncertainty, and Volatility Measures

FRB International Finance Discussion Paper No. 1216
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 - Division of International Finance, Federal Reserve Board, 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 - Trade and Financial Studies Section
Downloads 148 (215,487)
Citation 1

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Risk, Uncertainty, Volatility, Monetary policy, Geopolitical risk, Equities, Interest rates, Exchange rates, Commodities, Inflation, Variance risk premium

8.

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

FRB International Finance Discussion Paper No. 1109
Number of pages: 49 Posted: 29 Jun 2014
David Bowman, Juan M. Londono and Horacio Sapriza
Board of Governors of the Federal Reserve, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 140 (225,342)
Citation 44

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

9.
Downloads 128 (241,811)

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 68 (367,697)

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

Bad Bad Contagion

FRB International Finance Discussion Paper No. 1178
Number of pages: 45 Posted: 08 Sep 2016
Juan M. Londono
Board of Governors of the Federal Reserve System
Downloads 42 (461,386)

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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 18 (599,649)

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International stock markets, interconnectedness, integration, transmission, spillovers

10.

Variance Risk Premium Components and International Stock Return Predictability

Number of pages: 60 Posted: 20 Apr 2019 Last Revised: 23 Mar 2020
Juan M. Londono and Nancy R. Xu
Board of Governors of the Federal Reserve System and Boston College, Carroll School of Management
Downloads 127 (243,177)

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

11.

Sentiment in Central Banks' Financial Stability Reports

FRB International Finance Discussion Paper No. 1203
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 110 (270,121)

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

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, Board of Governors of the Federal Reserve System and Cornell University - Cornell University
Downloads 101 (286,478)
Citation 5

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

13.

Generating Options-Implied Probability Densities to Understand Oil Market Events

FRB International Finance Discussion Paper No. 1122
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 66 (369,070)

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Options-implied PDFs, futures, options, oil

14.

Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies

IMF Working Paper No. 17/56
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 58 (393,797)
Citation 2

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

15.

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

FRB International Finance Discussion Paper No. 1117
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 45 (440,192)

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

16.

Variance Risk Premium Components and International Stock Return Predictability

FRB International Finance Discussion Paper No. 1247
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 Management
Downloads 43 (448,180)

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

17.

What is Certain About Uncertainty?

FRB International Finance Discussion Paper No. 1294
Number of pages: 73 Posted: 23 Jul 2020
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, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System - Trade and Financial Studies Section, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 40 (492,186)

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18.

Us Equity Tail Risk and Currency Risk Premia

FRB International Finance Discussion Paper No. 1253
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 Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 36 (478,131)

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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 33 (492,186)

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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 28 (517,885)
Citation 39

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

21.

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

FRB International Finance Discussion Paper No. 1117
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 18 (579,135)

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

22.

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

FED Notes No. 2019-10-08
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 and Government of the United States of America - Division of International Finance (IFDP)

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