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- W1556555832 abstract "Option prices can be used to infer the level of uncertainty about future asset prices. The first two parts of this article explain such measures (implied volatility) and how they can differ from the market’s true expectation of uncertainty. The third then estimates the implied volatility of threemonth eurodollar interest rates from 1985 to 2001 and evaluates its ability to predict realized volatility. Implied volatility shows that uncertainty about short-term interest rates has been falling for almost 20 years, as the levels of interest rates and inflation have fallen. And changes in implied volatility are usually coincident with major news about the stock market, the real economy, and monetary policy." @default.
- W1556555832 created "2016-06-24" @default.
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- W1556555832 date "2005-01-01" @default.
- W1556555832 modified "2023-09-26" @default.
- W1556555832 title "Using Implied Volatility to Measure Uncertainty About Interest Rates" @default.
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- W1556555832 doi "https://doi.org/10.20955/r.87.407-426" @default.
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