Juan M. Londono

Federal Reserve Board of Governors

Economic

20th St. and Constitution Ave.

Washington, DC 20551

United States

SCHOLARLY PAPERS

16

DOWNLOADS
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Top 15,292

in Total Papers Downloads

3,065

CITATIONS
Rank 36,110

SSRN RANKINGS

Top 36,110

in Total Papers Citations

5

Scholarly Papers (16)

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 661 (37,135)

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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 112 (241,104)

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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 22 (514,659)

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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 Tilburg University - Department of Finance
Downloads 484 (55,753)

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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 Tilburg University - Department of Finance
Downloads 86 (288,199)
Citation 1

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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 Tilburg University - Department of Finance
Downloads 78 (305,992)
Citation 1

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

3.
Downloads 543 ( 48,699)
Citation 3

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 254 (117,118)

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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 156 (185,368)
Citation 3

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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 133 (211,455)
Citation 3

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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 181 (162,715)

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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 157 (184,128)

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

6.

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 132 (212,091)

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

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, 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 131 (213,364)

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

8.
Downloads 97 (264,726)

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: 27 Apr 2017
Juan M. Londono
Federal Reserve Board of Governors
Downloads 59 (356,709)

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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 38 (432,063)

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

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 88 (283,663)

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

10.

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 54 (367,083)

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

11.

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 54 (367,083)
Citation 1

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Options-implied PDFs, futures, options, oil

12.

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 54 (367,083)

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

13.

Variance Risk Premium Components and International Stock Return Predictability

Number of pages: 74 Posted: 20 Apr 2019
Juan M. Londono and Nancy R. Xu
Federal Reserve Board of Governors and Boston College, Carroll School of Management
Downloads 49 (382,970)

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

14.

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 43 (403,841)

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

15.

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 25 (481,983)

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

16.

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 14 (544,008)

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