Juan M. Londono

Federal Reserve Board of Governors

Economic

20th St. and Constitution Ave.

Washington, DC 20551

United States

SCHOLARLY PAPERS

17

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3,313

SSRN CITATIONS
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Top 7,128

in Total Papers Citations

41

CROSSREF CITATIONS

98

Scholarly Papers (17)

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
Federal Reserve Board of Governors and Tsinghua University - PBC School of Finance
Downloads 664 (38,039)
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
Federal Reserve Board of Governors and Tsinghua University - PBC School of Finance
Downloads 114 (244,984)
Citation 3

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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
Federal Reserve Board of Governors and Tsinghua University - PBC School of Finance
Downloads 24 (518,443)
Citation 2

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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 - Center and Faculty of Economics and Business Administration, Frankfurt School of Finance & Management gemeinnützige GmbH, Federal Reserve Board of Governors and University of Mannheim - Business School
Downloads 511 (53,690)
Citation 4

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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 - Center and Faculty of Economics and Business Administration, Federal Reserve Board of Governors and University of Mannheim - Business School
Downloads 94 (280,197)
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 - Center and Faculty of Economics and Business Administration, Federal Reserve Board of Governors and University of Mannheim - Business School
Downloads 79 (312,692)
Citation 3

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

3.
Downloads 562 ( 48,165)
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
Federal Reserve Board of Governors
Downloads 268 (114,013)
Citation 6

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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
Federal Reserve Board of Governors
Downloads 159 (187,823)
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
Federal Reserve Board of Governors
Downloads 135 (215,155)
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 Federal Reserve Board of Governors
Downloads 185 (164,313)

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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), Federal Reserve Board of Governors, International Monetary Fund (IMF) and Board of Governors of the Federal Reserve System
Downloads 159 (187,586)

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

6.

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, Federal Reserve Board of Governors, 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 136 (213,367)

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

7.

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, Federal Reserve Board of Governors and Board of Governors of the Federal Reserve System
Downloads 134 (215,826)
Citation 32

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

8.
Downloads 115 (242,345)

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
Federal Reserve Board of Governors
Downloads 63 (355,360)

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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
Federal Reserve Board of Governors
Downloads 39 (441,046)

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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
Federal Reserve Board of Governors
Downloads 13 (590,684)

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International stock markets, interconnectedness, integration, transmission, spillovers

9.

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, Federal Reserve Board of Governors and Board of Governors of the Federal Reserve System
Downloads 95 (276,256)

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

10.

Variance Risk Premium Components and International Stock Return Predictability

Number of pages: 64 Posted: 20 Apr 2019 Last Revised: 15 Aug 2019
Juan M. Londono and Nancy R. Xu
Federal Reserve Board of Governors and Boston College, Carroll School of Management
Downloads 92 (281,937)

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

11.

US Equity Tail Risk and Currency Risk Premia

Number of pages: 53 Posted: 17 Jun 2019
Zhenzhen Fan, Juan M. Londono and Xiao Xiao
School of Finance, Nankai University, Federal Reserve Board of Governors and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 83 (300,784)

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

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, Federal Reserve Board of Governors and Board of Governors of the Federal Reserve System
Downloads 63 (350,708)
Citation 4

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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, Federal Reserve Board of Governors and Board of Governors of the Federal Reserve System
Downloads 59 (362,414)

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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), Federal Reserve Board of Governors, International Monetary Fund (IMF) and Board of Governors of the Federal Reserve System
Downloads 56 (371,778)
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
Federal Reserve Board of Governors and Board of Governors of the Federal Reserve System
Downloads 44 (412,357)

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

16.

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 Federal Reserve Board of Governors
Downloads 28 (486,177)
Citation 39

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

17.

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
Federal Reserve Board of Governors and Board of Governors of the Federal Reserve System
Downloads 16 (549,564)

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