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A volatility smile-based uncertainty index
Annals of Finance Pub Date : 2021-03-12 , DOI: 10.1007/s10436-021-00384-6
José Valentim Machado Vicente , Jaqueline Terra Moura Marins

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 innovations hold a significant and negative equity premium. Unlike other uncertainty indexes, our index is supported by equilibrium models, which relate the difference of options prices across moneyness to uncertainty. Moreover, our index is based on investment decisions, can be easily and continuously updated and is comparable across countries.



中文翻译:

基于波动率微笑的不确定性指数

我们基于外汇期权微笑的差异提出了一种新的不确定性指数。我们表明,我们的指数在动荡的时期内飙升,预测了经济活动及其创新将带来显着的负股票溢价。与其他不确定性指数不同,我们的指数受到均衡模型的支持,该模型将期权价格跨货币性的差异与不确定性联系起来。此外,我们的指数基于投资决策,可以轻松,不断地更新,并且在不同国家之间具有可比性。

更新日期:2021-03-13
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