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How important is uncertainty about macroeconomic fundamentals for financial markets? The literature has tried to answer this question indirectly by measuring the response of asset prices, including those of derivatives, to macroeconomic announcements. Evidence that new information about the economy matters for financial markets implies that uncertainty in these markets should be associated with uncertainty about the state of the economy. Consistent with this reasoning, Ederington and Lee (1996) and Beber and Brandt (2006) document that the uncertainty implicit in options written on U.S.

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