Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/337223 
Authors: 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Derivatives and Quantitative Studies: Seonmul yeon'gu (JDQS) [ISSN:] 2713-6647 [Volume:] 29 [Issue:] 1 [Year:] 2021 [Pages:] 2-28
Publisher: 
Emerald, Leeds
Abstract: 
This paper aims to investigate the impact of uncertainty on the predictive power of term spread and its components for future stock market returns and economic activity in Korea and the USA. This paper finds that the stock market's expected excess return and growth of economic activity are positively related to the risk-neutral expectation, one of the term spread's components, particularly during high uncertainty periods. These findings are consistent with the importance of the monetary policy by the central bank in a high uncertainty environment created by unexpected shocks. The results are robust to alternate definitions of high uncertainty periods.
Subjects: 
Term structure of interest rate
Monetary and interest rate policies
Economic policy uncertainty
Stock market
Economic activity
JEL: 
E37
E44
G12
G14
G17
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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