Higher volatility is here to stay
While the level of volatility between equities, fixed income and foreign exchange (FX) is historically quite uncorrelated, in more recent years, notably since the Lehman Brothers collapse, that has changed. What makes the last few years so peculiar is that equity, fixed income and FX volatilities are moving together, suggesting that a common set of factors are influencing them.
- {{x.value}}
{{ twilioFailed ? 'SMS Code Failed to Send…' : 'Enter your SMS code' }}
Please type the 5 digit verification code sent to {{user.DayPhone}}
We cannot send you a code via SMS to {{user.DayPhone}}
Verify your mobile number
{{ content.trialHeading.replace('{0}', user.FirstName) }}
Please enter your mobile number and press send to receive a text message with a verification code.
{{ content.upgradeHeading.replace('{0}', user.FirstName) }}
The email address you entered is registered with InvestSMART
Please login to continue
We have sent you an email with the details of your registration.
Already a member? Log in
Looks you are already a member. Please enter your password to proceed
{{ upgradeCTAText }}
Updating information
Please wait ...
Your membership to InvestSMART Group recently failed to renew.
Please make sure your payment details are up to date to continue your membership.
Having trouble renewing?
Please contact Member Services on support@investsmart.com.au or 1300 880 160
You've recently updated your payment details.
It may take a few minutes to update your subscription details, during this time you will not be able to view locked content.
If you are still having trouble viewing content after 10 minutes, try logging out of your account and logging back in.
Still having trouble viewing content?
Please contact Member Services on support@investsmart.com.au or 1300 880 160
Please click on the ACTIVATE button to activate your Eureka Report 15-day free trial
Please click on the ACTIVATE button to activate your Intelligent Investor 15-day free trial
Please click on the ACTIVATE button to finalise your membership
Unsuccessful registration
Registration for this event is available only to Eureka Report members. View our membership page for more information.
Registration for this event is available only to Intelligent Investor members. View our membership page for more information.
- You are already registered for this event.
- This event is already full.
- Please select a quantity for at least one ticket.
- {{ i }}
Forgotten password
Please enter your email address below to request a new password
- Indepth analysis of ASX listed shares
- BUY, Hold and Sell Recommendations
- Ideas Lab
- Special Reports
- Alan Kohler’s Weekend Briefing
- Interviews with CEO’s & top influencers
- Money Cafe and Talking Finance
- Super Advice and Q&A with Ask Alan
Below summary of article written by Chris Walker
While the level of volatility between equities, fixed income and foreign exchange (FX) is historically quite uncorrelated, in more recent years, notably since the Lehman Brothers collapse, that has changed. What makes the last few years so peculiar is that equity, fixed income and FX volatilities are moving together, suggesting that a common set of factors are influencing them.
In our opinion, the factors causing this recent tendency for the volatility of these three asset classes to move in greater concert are
- The current position in the business cycle
- Market uncertainty and risk aversion
- Central banks’ unconventional policies
In light of these fundamentals and US monetary policy in particular, our analysis suggests that fixed income volatility currently appears in line with expectations, while equity and currency volatilities have overshot expected levels.
Overall, as US monetary policy normalises, realised equity, fixed income and currency volatilities should on average be higher at the end of 2015 than in 2014.
To read the full article, please click here
