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Using Implied Volatility to Measure Uncertainty About Interest Rates

Version
v0
Resource Type
Dataset : survey data
Creator
  • Neely, Christopher J. (Federal Reserve Bank of St. Louis)
Other Title
  • Archival Version (Subtitle)
Publication Date
2006-01-31
Funding Reference
  • Federal Reserve Bank of St. Louis. Research Division
Language
English
Free Keywords
interest rates
Description
  • Abstract

    Option prices can be used to infer the level of uncertainty about future asset prices. The first two parts of this article explain such measures (implied volatility) and how they can differ from the market's true expectation of uncertainty. The third then estimates the implied volatility of three month eurodollar interest rates from 1985 to 2001 and evaluates its ability to predict realized volatility. Implied volatility shows that uncertainty about short-term interest rates has been falling for almost 20 years, as the levels of interest rates and inflation have fallen. And changes in implied volatility are usually coincident with major news about the stock market, the real economy, and monetary policy.
  • Table of Contents

    Datasets:

    • DS1: Dataset
Collection Mode
  • (1) The file submitted is the program file 0505cnp.txt. (2) These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.

Availability
Delivery
This version of the study is no longer available on the web. If you need to acquire this version of the data, you have to contact ICPSR User Support (help@icpsr.umich.edu).
Alternative Identifiers
  • 1316 (Type: ICPSR Study Number)
Relations
  • Is previous version of
    DOI: 10.3886/ICPSR01316.v1
Publications
  • Neely, Christopher J.. Using Implied Volatility to Measure Uncertainty About Interest Rates. Federal Reserve Bank of St. Louis Review.87, (3), 407-426.2005.

Update Metadata: 2015-08-05 | Issue Number: 6 | Registration Date: 2015-06-15

Neely, Christopher J. (2006): Using Implied Volatility to Measure Uncertainty About Interest Rates. Archival Version. Version: v0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/ICPSR01316