Juan M. Londono

Government of the United States of America - Division of International Finance (IFDP)

Sr. Economic Project Manager

20th St. and Constitution Ave.

Washington, DC 20551

United States

SCHOLARLY PAPERS

21

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Top 6,674

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52

CROSSREF CITATIONS

107

Scholarly Papers (21)

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
Government of the United States of America - Division of International Finance (IFDP) and Tsinghua University - PBC School of Finance
Downloads 669 (38,946)
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
Government of the United States of America - Division of International Finance (IFDP) and Tsinghua University - PBC School of Finance
Downloads 116 (248,960)
Citation 5

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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
Government of the United States of America - Division of International Finance (IFDP) and Tsinghua University - PBC School of Finance
Downloads 27 (514,316)
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, Government of the United States of America - Division of International Finance (IFDP) and University of Mannheim - Business School
Downloads 534 (52,444)
Citation 7

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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, Government of the United States of America - Division of International Finance (IFDP) and University of Mannheim - Business School
Downloads 98 (280,403)
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, Government of the United States of America - Division of International Finance (IFDP) and University of Mannheim - Business School
Downloads 81 (316,806)
Citation 4

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

3.
Downloads 582 ( 47,615)
Citation 11

The Variance Risk Premium around the World

Number of pages: 60 Posted: 01 Nov 2014 Last Revised: 19 May 2015
Juan M. Londono
Government of the United States of America - Division of International Finance (IFDP)
Downloads 284 (110,488)
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
Government of the United States of America - Division of International Finance (IFDP)
Downloads 161 (191,170)
Citation 10

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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
Government of the United States of America - Division of International Finance (IFDP)
Downloads 137 (218,934)
Citation 1

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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 Government of the United States of America - Division of International Finance (IFDP)
Downloads 190 (165,147)

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

5.

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), Government of the United States of America - Division of International Finance (IFDP), International Monetary Fund (IMF) and Board of Governors of the Federal Reserve System
Downloads 163 (188,933)

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

6.

U.S. Equity Tail Risk and Currency Risk Premia

Number of pages: 61 Posted: 17 Jun 2019 Last Revised: 20 Nov 2019
Zhenzhen Fan, Juan M. Londono and Xiao Xiao
Nankai University - School of Finance, Government of the United States of America - Division of International Finance (IFDP) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 154 (198,381)

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Equity tail risk; Global tail risk; Currency returns; Carry trade; Currency momentum

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, Government of the United States of America - Division of International Finance (IFDP), Board of Governors of the Federal Reserve System - Division of International Finance, Federal Reserve Board, Board of Governors of the Federal Reserve System, Federal Reserve Board - Trade and Financial Studies, 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 138 (216,971)

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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, Government of the United States of America - Division of International Finance (IFDP) and Board of Governors of the Federal Reserve System
Downloads 137 (218,325)
Citation 36

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

9.
Downloads 126 (232,982)

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
Government of the United States of America - Division of International Finance (IFDP)
Downloads 68 (350,742)

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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
Government of the United States of America - Division of International Finance (IFDP)
Downloads 40 (449,125)

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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
Government of the United States of America - Division of International Finance (IFDP)
Downloads 18 (572,962)

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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: 08 Dec 2019
Juan M. Londono and Nancy R. Xu
Government of the United States of America - Division of International Finance (IFDP) and Boston College, Carroll School of Management
Downloads 106 (264,002)

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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, Government of the United States of America - Division of International Finance (IFDP) and Board of Governors of the Federal Reserve System
Downloads 105 (265,761)

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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: 50 Posted: 28 Dec 2017
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Government of the United States of America - Division of International Finance (IFDP) and Board of Governors of the Federal Reserve System
Downloads 68 (346,606)
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, Government of the United States of America - Division of International Finance (IFDP) and Board of Governors of the Federal Reserve System
Downloads 61 (366,616)

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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), Government of the United States of America - Division of International Finance (IFDP), International Monetary Fund (IMF) and Board of Governors of the Federal Reserve System
Downloads 58 (375,724)
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
Government of the United States of America - Division of International Finance (IFDP) and Board of Governors of the Federal Reserve System
Downloads 45 (420,234)

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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
Juan M. Londono and Nancy R. Xu
Government of the United States of America - Division of International Finance (IFDP) and Boston College, Carroll School of Management
Downloads 35 (460,859)

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

17.

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
Government of the United States of America - Division of International Finance (IFDP)
Downloads 31 (479,383)

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

18.

US Equity Tail Risk and Currency Risk Premia

FRB International Finance Discussion Paper No. 1253
Number of pages: 51 Posted: 22 Oct 2019
Zhenzhen Fan, Juan M. Londono and Xiao Xiao
Nankai University - School of Finance, Government of the United States of America - Division of International Finance (IFDP) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 28 (494,583)

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Equity tail risk; Global tail risk; Currency returns; Carry trade; Currency momentum

19.

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 Government of the United States of America - Division of International Finance (IFDP)
Downloads 28 (494,583)
Citation 39

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

20.

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
Government of the United States of America - Division of International Finance (IFDP) and Board of Governors of the Federal Reserve System
Downloads 17 (559,075)

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

21.

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
Government of the United States of America - Division of International Finance (IFDP), Board of Governors of the Federal Reserve and Government of the United States of America - Division of International Finance (IFDP)

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