Treasury yield implied volatility and real activity
We show that at-the-money implied volatility of options on futures of five-year Treasury notes (Treasury “yield implied volatility”) predicts both the growth rate and volatility of gross domestic product, as well as of other macroeconomic variables, like industrial production, consumption, and emplo...
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| Veröffentlicht in: | Journal of financial economics 2021-05, Vol.140 (2), p.412-435 |
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| container_end_page | 435 |
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| container_issue | 2 |
| container_start_page | 412 |
| container_title | Journal of financial economics |
| container_volume | 140 |
| creator | Cremers, Martijn Fleckenstein, Matthias Gandhi, Priyank |
| description | We show that at-the-money implied volatility of options on futures of five-year Treasury notes (Treasury “yield implied volatility”) predicts both the growth rate and volatility of gross domestic product, as well as of other macroeconomic variables, like industrial production, consumption, and employment. This predictability is robust to controlling for the term spread, credit spread, stock returns, stock market implied volatility, and several other variables that prior literature showed to predict macroeconomic activity. Our results indicate that Treasury yield implied volatility is a useful forward-looking state variable to characterize risks and opportunities in the macro economy. |
| doi_str_mv | 10.1016/j.jfineco.2020.12.009 |
| format | Article |
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This predictability is robust to controlling for the term spread, credit spread, stock returns, stock market implied volatility, and several other variables that prior literature showed to predict macroeconomic activity. 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| fulltext | fulltext |
| identifier | ISSN: 0304-405X |
| ispartof | Journal of financial economics, 2021-05, Vol.140 (2), p.412-435 |
| issn | 0304-405X 1879-2774 |
| language | eng |
| recordid | cdi_proquest_journals_2518420961 |
| source | Elsevier ScienceDirect Journals |
| subjects | Business schools Employment Forecasting GDP Gross Domestic Product Growth rate Implied volatility Industrial production Macroeconomic activity Macroeconomic uncertainty Macroeconomics Money Options (Finance) Securities markets Stock markets Treasury futures and options Treasury notes Treasury securities Volatility |
| title | Treasury yield implied volatility and real activity |
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