Treasury yield implied volatility and real activity

• 成果类型: Article
• 署名作者: Cremers, Martijn; Fleckenstein, Matthias; Gandhi, Priyank
• 署名单位: University of Notre Dame; University of Delaware; Rutgers University System; Rutgers University New Brunswick
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.12.009
• 发表日期: 2021
• 关键词: Treasury futures and options; implied volatility; Macroeconomic activity; Macroeconomic uncertainty; forecasting

摘要

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. (C) 2020 Elsevier B.V. All rights reserved.