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A volatility smile-based uncertainty index |
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| Authors: | Vicente José Valentim Machado Marins Jaqueline Terra Moura |
| Institution: | 1.Central Bank of Brazil, Rio de Janeiro, Brazil ; |
| Abstract: | Annals of Finance - We propose a new uncertainty index based on the discrepancy of the smile of FX options. We show that our index spikes near turbulent periods, forecasts economic activity and its... |
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