 US term structure and international stock market volatility: The role of the expectations factor and the maturity premiumMatthew C. Li Journal of International Financial Markets, Institutions and Money, 2016, vol. 41, issue C, 1-15 Abstract: This paper empirically investigates the information content of the US term structure of interest rates (USTS) on three major stock markets. We separate the term structure into two components: expected future short rates – the expectations factor (EF) – and the time-varying maturity premium (MP) and find answers to three questions. (1) Does the slope of the USTS contain information about stock market volatility? (2) If yes, which stock market is the USTS most informative about? And (3) Do EF and MP equally explain stock market volatility? Estimation results indicate that the USTS does help to explain stock market volatility and it is the most informative about both the US and UK markets, followed by Japan. Finally, EF is found to be more informative than MP. Keywords: Term structure of interest rates; Spot yield spread; International stock market volatility; Expectations factor; Maturity premium (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:41:y:2016:i:c:p:1-15 DOI: 10.1016/j.intfin.2015.12.001 Access Statistics for this article Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely More articles in Journal of International Financial Markets, Institutions and Money from Elsevier |
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