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"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,...
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neoclassical growth model. Investment rates and total factor productivity start out low and rise over time. These model dynamics … distribution, which support the aggregate and micro-level implications of our theory"--National Bureau of Economic Research web …
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