BIBFRAME Work

Title

Investor and central bank uncertainty and fear measures embedded in index options

Type

• Monograph
• Text

Contribution

• National Bureau of Economic Research (contributor)
• Veronesi, Pietro (contributor)
• David, Alexander, 1965- (author )

Language

• English

Classification

LCC: HB1 (Assigner: dlc) (Status: used by assigner)

Content

• text

Supplementary content

• bibliography

Summary

"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 term interest rates by up to eight quarters. We show that this interaction between fear indices, real activity, and policy variables arises in an equilibrium model where investors learn about the trend-growth regimes of economic data, and the central bank uses a learning-based Taylor rule. The model endogenously generates several time series properties of option prices including the counter (pro) cyclicality of ATMIV (P/C), the V-shape (inverse V-shape) relation between ATMIV (P/C) and monetary policy variables, the positive relation between the level and absolute changes in ATMIV, and an economically significant amount of time variation in the volatility premium"--National Bureau of Economic Research web site.

Authorized Access Point

David, Alexander, 1965-. Investor and central bank uncertainty and fear measures embedded in index options

Admin Metadata

• Date: 2026-09-11T20:14:49.272284+00:00
• Agent: cbc
• Status: c
• Derived from: 16771579

Admin Metadata

• Date: 2026-09-11
• Cataloger id: Unknown
• Description level: http://id.loc.gov/ontologies/bibframe-2-6-0/
• Description language: eng
• Description authentication: pcc