| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w28306 |
| 来源ID | Working Paper 28306 |
| Event-day Options | |
| Jonathan H. Wright | |
| 发表日期 | 2021-01-04 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | This paper considers new options on Treasury and stock futures than expire each Wednesday and Friday. I examine the volatilities implied by these options as of the night before expiration, and compare the volatilies just before FOMC days and employment report days with the volatilities on other Tuesdays or Thursdays, respectively. This can be used to measure the risk neutral uncertainty associated with FOMC announcements and employment reports. I can also compare the average physical and risk neutral uncertainty: the difference between them is the average variance risk premium. Average variance risk premia are large and significantly positive, especially for FOMC days. Lastly, I construct options-implied densities on the eve of FOMC and employment report days. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w28306 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/585979 |
| 推荐引用方式 GB/T 7714 | Jonathan H. Wright. Event-day Options. 2021. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w28306.pdf（232KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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