Juan M. Londono

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

  • Board of Governors of the Federal Reserve System

SCHOLARLY PAPERS

28

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154

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112

Scholarly Papers (28)

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1.

Cumulative Prospect Theory, Option Returns, and the Variance Premium

Downloads 980 (35,789)
Citation 17

Cumulative Prospect Theory, Option Returns, and the Variance Premium

Number of pages: 82 Posted: 21 Mar 2014 Last Revised: 17 Jun 2018
Lieven Baele, Joost Driessen, Sebastian Ebert, Juan M. Londono and Oliver G. Spalt
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 744 (51,427)
Citation 14

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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
Lieven Baele, Joost Driessen, Juan M. Londono and Oliver G. Spalt
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 139 (312,099)
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
Lieven Baele, Joost Driessen, Juan M. Londono and Oliver G. Spalt
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 97 (405,600)
Citation 4

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

2.

Variance Risk Premiums and the Forward Premium Puzzle

Downloads 901 (40,166)
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 694 (56,283)
Citation 2

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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 SUSTech Business School
Downloads 130 (328,856)
Citation 13

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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 SUSTech Business School
Downloads 77 (468,426)
Citation 1

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3.

What is Certain About Uncertainty?

Downloads 814 (46,210)
Citation 3

What is Certain About Uncertainty?

International Finance Discussion Paper No. 1294
Number of pages: 45 Posted: 07 Aug 2020 Last Revised: 08 Mar 2022
Danilo Cascaldi-Garcia, Cisil Sarisoy, Juan M. Londono, Bo Sun, John H. Rogers, Deepa Datta, Thiago R.T. Ferreira, Olesya V. Grishchenko, Mohammad R. Jahan-Parvar, Francesca Loria, Sai Ma, Marius Rodriguez and Ilknur Zer
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, 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
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global risks, Uncertainty, Volatility, Crises, Economic policy, Monetary policy, Geopolitical risk, Trade policy, Downside risk

What is Certain About Uncertainty?

Journal of Economic Literature, Forthcoming
Number of pages: 45 Posted: 02 Aug 2021
Danilo Cascaldi-Garcia, Cisil Sarisoy, Juan M. Londono, John H. Rogers, Bo Sun, Deepa Datta, Thiago R.T. Ferreira, Olesya V. Grishchenko, Mohammad R. Jahan-Parvar, Francesca Loria, Sai Ma, Marius Rodriguez and Ilknur Zer
Board of Governors of the Federal Reserve System, Board 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 237 (195,398)
Citation 3

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

4.

The Variance Risk Premium around the World

Downloads 735 (53,004)
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 413 (107,309)
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 176 (256,231)
Citation 12

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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 146 (301,774)
Citation 4

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

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 City University London - Bayes Business School
Downloads 464 (94,601)
Citation 1

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

6.

The Global Determinants of International Equity Risk Premiums

Downloads 323 (142,442)

The Global Determinants of International Equity Risk Premiums

Number of pages: 67 Posted: 20 Apr 2019 Last Revised: 13 Jul 2022
Juan M. Londono and Nancy R. Xu
Board of Governors of the Federal Reserve System and Boston College, Carroll School of Management
Downloads 206 (222,418)
Citation 1

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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

International Finance Discussion Paper No. 1318
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 Management
Downloads 117 (355,705)

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7.

Taxonomy of Global Risk, Uncertainty, and Volatility Measures

International Finance Discussion Paper No. 1216
Number of pages: 49 Posted: 26 Nov 2017
Deepa Datta, Juan M. Londono, Bo Sun, Daniel O. Beltran, Thiago R.T. Ferreira, Matteo Iacoviello, Mohammad R. Jahan-Parvar, Canlin Li, Marius Rodriguez and John H. Rogers
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 260 (178,235)
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8.

Unconventional Monetary and Exchange Rate Policies

International Finance Discussion Paper No. 1194
Number of pages: 51 Posted: 24 Feb 2017 Last Revised: 23 Aug 2021
Joseph Gagnon, Tamim Bayoumi, Juan M. Londono, Christian Saborowski and Horacio Sapriza
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 235 (196,839)

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9.

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 233 (198,471)
Citation 1

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

10.

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 System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 170 (263,936)
Citation 49

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

11.

Bad Bad Contagion

Downloads 163 (273,628)
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 85 (441,569)
Citation 1

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

Bad Bad Contagion

International Finance Discussion Paper No. 1178
Number of pages: 45 Posted: 08 Sep 2016 Last Revised: 09 Sep 2016
Juan M. Londono
Board of Governors of the Federal Reserve System
Downloads 49 (590,238)

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International stock markets, Bad contagion, Downside contagion, interconnectedness, 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 29 (717,767)

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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
Ricardo Correa, Keshav Garud, Juan M. Londono and Nathan Mislang
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 154 (286,779)
Citation 8

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

13.

Sentiment in Central Banks' Financial Stability Reports

International Finance Discussion Paper No. 1203
Number of pages: 52 Posted: 26 Mar 2017 Last Revised: 07 Apr 2017
Ricardo Correa, Keshav Garud, Juan M. Londono and Nathan Mislang
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 147 (297,873)
Citation 4

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

14.

Financial Stability Governance and Central Bank Communications

Downloads 122 (343,550)

Financial Stability Governance and Central Bank Communications

International Journal of Central Banking, Forthcoming
Number of pages: 52 Posted: 21 Nov 2022
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 72 (486,933)

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Financial Stability Governance, Natural Language Processing, Central Bank Communications

Financial Stability Governance and Central Bank Communications

International Finance Discussion Paper No. 1328
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 50 (584,878)

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Financial Stability Governance, Natural Language Processing, Central Bank Communications, financial cycles

15.

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 87 (431,344)
Citation 2

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

16.

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 City University London - Bayes Business School
Downloads 84 (440,523)

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17.

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 80 (453,297)
Citation 2

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Options-implied PDFs, futures, options, oil

18.

King U.S. Dollar, Global Risks, and Currency Option Premiums

Number of pages: 51 Posted: 06 May 2022
Gurdip Bakshi, Gurdip Bakshi and Juan M. Londono
Temple University - Fox School of Business and ManagementFox School of Business and Board of Governors of the Federal Reserve System
Downloads 73 (477,442)

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dominant currency, currency put risk premium, currency volatility risk premium, carry trade

19.

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
Joseph Gagnon, Tamim Bayoumi, Juan M. Londono, Christian Saborowski and Horacio Sapriza
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 69 (492,172)
Citation 3

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

20.

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 53 (559,554)

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

21.

The Global Transmission of Real Economic Uncertainty

International Finance Discussion Paper No. 1317
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 51 (568,967)

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22.

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 42 (615,710)

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

23.

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 35 (656,838)
Citation 39

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

24.

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 29 (697,331)

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

25.

Global Real Economic Uncertainty and COVID-19

FEDS Notes No. 2022-02-18-1
Posted: 24 Feb 2022
Ranie Lin, Juan M. Londono and Sai Ma
Rice University, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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26.

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

International Finance Discussion Paper No. 1109
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

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Unconventional monetary policy, emerging markets, large-scale asset purchase programs, quantitative easing, Federal Reserve

27.

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

FEDS Notes No. 2020-09-18-3 https://doi.org/10.17016/2380-7172.2741
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

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28.

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

FEDS 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 System and Board of Governors of the Federal Reserve System

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