What Can We Learn from Prior Periods of Low Volatility?

Fernando Duarte, Juan Navarro-Staicos and Carlo Rosa

No 20141006, Liberty Street Economics from Federal Reserve Bank of New York

Abstract: Volatility, a measure of how much financial markets are fluctuating, has been near its record low in many asset classes. Over the last few decades, there have been only two other periods of similarly low volatility: in May 2013, and prior to the financial crisis in 2007. Is there anything we can learn from the recent period of low volatility versus what occurred slightly more than one year ago and seven years ago? Probably; the current volatility environment appears quite similar to the one in May 2013, but it?s substantially different from what happened prior to the financial crisis.

Keywords: treasuries; vix; S&P 500; volatility; stocks; bonds; treasury (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2014-10-06
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