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

Asgharian, Hossein LU ; Christiansen, Charlotte LU ; HOU, Ai Jun LU and Xu, Caihong (2024) International Risk Management Conference 2024,
Abstract
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.
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author
; ; and
organization
publishing date
type
Contribution to conference
publication status
published
subject
conference name
International Risk Management Conference 2024,
conference location
Milan, Italy
conference dates
2024-06-24 - 2024-06-25
DOI
10.2139/ssrn.4955359
language
English
LU publication?
yes
id
d5541f7c-a87d-497d-98f3-35224d0dd67a
date added to LUP
2025-03-19 08:01:15
date last changed
2025-04-04 14:03:26
@misc{d5541f7c-a87d-497d-98f3-35224d0dd67a,
  abstract     = {{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.}},
  author       = {{Asgharian, Hossein and Christiansen, Charlotte and HOU, Ai Jun and Xu, Caihong}},
  language     = {{eng}},
  title        = {{The Interplay of US and International Term Premiums: The Role of Uncertainty and Economic Conditions}},
  url          = {{http://dx.doi.org/10.2139/ssrn.4955359}},
  doi          = {{10.2139/ssrn.4955359}},
  year         = {{2024}},
}