The information content of currency option-implied volatilities: implications for ex-ante forecasts of global equity correlations
利用货币期权隐含波动率数据，研究发现其结合历史相关性可更准确预测全球股票市场未来相关性，对投资组合分散化和波动率预测有参考价值。
We use existing currency models, global capital flows, international parity, the Taylor rule, and some simplifying assumptions to derive and empirically test a link between the information contained in currency option-implied volatilities and future global equity correlations. Using data from January 1999 to May 2020, we test our hypothesis and find that exchange rate option-implied volatilities — coupled with one-period ex-post correlations — more accurately predict subsequent world equity market correlations than other models. Our findings have implications for portfolio diversification, forecasts of overall equity portfolio volatility, and portfolio optimization.