The impact of term spread volatility on economic activity

Megaritis, A, Bakas, D ORCID: https://orcid.org/0000-0003-4771-4505, Bermpei, T and Triantafyllou, A, 2025. The impact of term spread volatility on economic activity. Economics Letters, 247: 112190. ISSN 0165-1765

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Abstract

We examine the impact of the volatility of the US Treasury yield curve slope (term spread volatility) on US economic activity within a VAR framework. Our findings show that a positive shock to term spread volatility leads to a persistent decline in US industrial production. Moreover, our econometric results are the first to demonstrate that term spread volatility absorbs the macroeconomic predictive information contained in the level of the term spread. Finally, the negative effect of term spread volatility remains robust in alternative VAR models, as well when including popular uncertainty proxies such as the VIX and the EPU indexes.

Item Type:	Journal article
Publication Title:	Economics Letters
Creators:	Megaritis, A., Bakas, D., Bermpei, T. and Triantafyllou, A.
Publisher:	Elsevier BV
Date:	February 2025
Volume:	247
ISSN:	0165-1765
Identifiers:	Number Type 10.1016/j.econlet.2025.112190 DOI 2348019 Other
Rights:	©2025 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).
Divisions:	Schools > Nottingham Business School
Record created by:	Laura Borcherds
Date Added:	21 Jan 2025 10:10
Last Modified:	21 Jan 2025 10:10
URI:	https://irep.ntu.ac.uk/id/eprint/52878

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