2 edition of Investor and central bank uncertainty and fear measures embedded in index options found in the catalog.
Investor and central bank uncertainty and fear measures embedded in index options
|Statement||Alexander David, Pietro Veronesi|
|Series||NBER working paper series -- working paper 16764, Working paper series (National Bureau of Economic Research : Online) -- working paper no. 16764.|
|Contributions||Veronesi, Pietro, National Bureau of Economic Research|
|The Physical Object|
|LC Control Number||2011655983|
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CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): We provide a Investor and central bank uncertainty and fear measures embedded in index options book Bayesian equilibrium learning model that captures the interaction of the uncertainty about fundamentals of investors and the central bank.
In our model central bank policy is able to affect fundamental state transitions and investors can learn about future fundamental states from observing ?doi= Get this from a library. Investor and central bank uncertainty and fear measures embedded in index options.
[Alexander David; Pietro Veronesi; National Bureau of Economic Research.] -- Investors' option-implied fear measures -- implied volatility (ATMIV) and put-call implied volatility ratios (P/C) -- lead key macroeconomic variables such as industrial capacity utilization and Get this from a library.
Investor and Central Bank Uncertainty and Fear Measures Embedded in Index Options. [Alexander David; Pietro Veronesi] -- Investors' option-implied fear measures - implied volatility (ATMIV) and put-call implied volatility ratios (P/C) - lead key macroeconomic variables such as industrial capacity utilization and short The stock's and Treasury-bond's ATMIV indices, which measure market and policy uncertainty, are Investor and central bank uncertainty and fear measures embedded in index options book while the P/C index, which measures downside risk, is pro-cyclical.
An equilibrium model where investors and the central bank learn about composite regimes on economic and policy variables explains these options' dynamics, linking Investor and central bank uncertainty and fear measures embedded in index options, Technical report, National Bureau of Economic Research.
(P/C) — lead industrial capacity utilization, which the central bank reacts to so the fear measures can be used to predict interest rates.
The model endogenously generates several of the time series In May-JuneAlexander David presented his paper with Pietro Veronesi of the University of Chicago ``Investor and Central Bank Uncertainty and Fear Measures Embedded in Index Options'' at the Society of Financial Studies Cavalcade Conference held at the University of Michigan and the Western Finance Association Meetings in Santa Fe, New :// The European Central Bank (ECB) is the central bank of the 19 European Union countries which have adopted the euro.
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An investor may fear that a bear market is near and may be unwilling to lose more than political uncertainty may also lead to a decline in the economies’ activity and uncertainties around central bank’s monetary policy decisions may hamper market liquidity. Implied volatility in the US and Europe has subdued and reached new historical lows.
In mid-August, volatility spiked somewhat due to rising 1. Introduction. In recent years, a new asset class has captured the attention of the financial media, academia and investors.
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Total Citations: Total number of cites to papers in the SSRN eLibrary whose links have been resolved to date.
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On Monday, 9 March equity markets had experienced the sharpest one-day sell concerns over global growth and broader energy market woes, fear of a China “hard landing,” and uncertainty around global central bank policy, particularly the Fed.
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I test these hypotheses in Latin America, a region where the degree of economic volatility has been two to three times higher than developed countries (Maddison ).The region’s volatility in large part has reflected its inflation crisis history; about half of its countries have experienced an inflation crisis, making it a fitting environment to examine how crises affect Manulife Financial Corp Q1 Earnings Call May 9,p.m.
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