This study is provided by ICPSR. ICPSR provides leadership and training in data access, curation, and methods of analysis for a diverse and expanding social science research community.
Principal Investigator(s): Neely, Christopher J., Federal Reserve Bank of St. Louis
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.
These data are flagged as replication datasets 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.
These data are freely available.
Neely, Christopher J. Using Implied Volatility to Measure Uncertainty About Interest Rates. ICPSR01316-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2006-01-31. http://doi.org/10.3886/ICPSR01316.v1
Persistent URL: http://doi.org/10.3886/ICPSR01316.v1
This study was funded by:
- Federal Reserve Bank of St. Louis. Research Division
Scope of Study
Subject Terms: interest rates
Data Collection Notes:
(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.
Original ICPSR Release: 2006-01-31
- Citations exports are provided above.
Export Study-level metadata (does not include variable-level metadata)
If you're looking for collection-level metadata rather than an individual metadata record, please visit our Metadata Records page.