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Hossein Asgharian. Foto.

Hossein Asgharian

Professor

Hossein Asgharian. Foto.

The Interplay of US and International Term Premiums: The Role of Uncertainty and Economic Conditions

Författare

  • Hossein Asgharian
  • Charlotte Christiansen
  • Ai Jun HOU
  • Caihong Xu

Summary, in English

We explore the determinants of term premiums and evaluate the influence of the US market on term premiums in seven developed countries. Our analysis shows that poor economic conditions and high uncertainty lead to increased term premiums. Further, our results highlight the importance of US economic conditions and uncertainty factors as well as the supply of US government bonds as key drivers of international term premium variations. In addition, we find a strong connectedness and volatility spillover between US and international term premiums, where the US plays a pivotal role.

Avdelning/ar

  • Nationalekonomiska institutionen

Publiceringsår

2024

Språk

Engelska

Dokumenttyp

Konferensbidrag

Ämne

  • Economics

Conference name

International Risk Management Conference 2024,

Conference date

2024-06-24 - 2024-06-25

Conference place

Milan, Italy

Aktiv

Published