Investors' and Central Bank's Uncertainty Embedded in Index Options
研究发现股票期权隐含波动率冲击会持续压低短期利率，而看跌与看涨期权价外隐含波动率之比冲击则持续推高利率，并构建了一个包含投资者和央行学习机制的均衡模型来解释这些动态。
Shocks to equity options' implied volatility are followed by persistently lower short-term rates. Shocks to puts' over calls' out-of-the-money implied volatilities (P/C) are followed by persistently higher rates. Stock and Treasury bond implied volatilities, which measure market and policy uncertainty, are countercyclical, while P/C, which measures downside risk, is procyclical. An equilibrium model in which investors and the central bank learn about composite regimes of economic and policy variables explains these dynamics, linking them to a learning-based, forward-looking Taylor rule. Survey data support our model's predictions on the effect of uncertainty on the level and fluctuations of implied volatilities.