The term structure of interest rates as predictor of stock market volatility
(2024)
Journal Article
Megaritis, A., Kontonikas, A., Vlastakis, N., & Triantafyllou, A. (online). The term structure of interest rates as predictor of stock market volatility. International journal of finance & economics : IJFE, https://doi.org/10.1002/ijfe.3029
We examine the forecasting power of the volatility of the slope of the US Treasury yield curve on US stock market volatility. Consistent with theoretical asset pricing models, we find that the volatility of the slope of the term structure of interest... Read More about The term structure of interest rates as predictor of stock market volatility.