"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,...

"In a market-clearing economy, declines in demand from one sector do not cause large declines in aggregatge output because other sectors expand. The key price mediating the response is the interest rate. A decline in the rate stimulates all categories of spending. But in a low-inflation economy,...