Board of Governors of the Federal Reserve System

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• The Fed - Machines vs. Machines: High Frequency Trading and Hard Information

  volatile, this information asymmetry problem becomes more severe, and

  URL: https://www.federalreserve.gov/econres/feds/machines-vs-machines-high-frequency-trading-and-hard-information.htm
  



• The Fed - Rare Disaster Probability and Options-Pricing

  Volatility DOI: https://doi.org/10.17016/FEDS.2019.073r1 PDF: Full Paper

  URL: https://www.federalreserve.gov/econres/feds/rare-disaster-probability-and-options-pricing.htm
  



• The Fed - Does Mortgage Hedging Amplify Movements in Long-term Interest Rates?

  volatility of the ten-year swap rate implied by swaptions increases when

  URL: https://www.federalreserve.gov/econres/feds/does-mortgage-hedging-amplify-movements-in-long-term-interest-rates.htm
  



• The Fed - International Stock Price Spillovers and Market Liberalization: Evidence From Korea, Japan, and the United States

  volatility spillovers" from Japan and the U.S. on the mean and variance

  URL: https://www.federalreserve.gov/econres/ifdp/international-stock-price-spillovers-and-market-liberalization-evidence-from-korea-japan-and-the-united-states.htm
  



• The Fed - Financial Frictions and Macroeconomic Fluctuations in Emerging Economies

  volatility and the countercyclicality of country risk premium as well

  URL: https://www.federalreserve.gov/econres/ifdp/financial-frictions-and-macroeconomic-fluctuations-in-emerging-economies.htm
  



• The Fed - Monetary Policy: Monetary Policy Report (Branch)

  volatility for the S&P 500 index

  URL: https://www.federalreserve.gov/monetarypolicy/2024-03-mpr-abbreviations.htm
  



• The Fed - Monetary Policy: Monetary Policy Report (Branch)

  volatility for the S&P 500 index

  URL: https://www.federalreserve.gov/monetarypolicy/2019-07-mpr-abbreviations.htm
  



• The Fed - Monetary Policy: Monetary Policy Report (Branch)

  volatility for the S&P 500 index

  URL: https://www.federalreserve.gov/monetarypolicy/2022-06-mpr-abbreviations.htm
  



• The Fed - Jumps in Bond Yields at Known Times

  volatility has a hump-shaped pattern on employment report days (but not

  URL: https://www.federalreserve.gov/econres/feds/jumps-in-bond-yields-at-known-times.htm
  



• The Fed - Optimal Taxation with Endogenous Default under Incomplete Markets

  volatile, borrowing costs are higher, indebtness and welfare are both

  URL: https://www.federalreserve.gov/econres/ifdp/optimal-taxation-with-endogenous-default-under-incomplete-markets.htm
  

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