Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
(2016) In Journal of Financial Econometrics 14(3). p.617-642- Abstract
- We investigate long-run stock–bond correlation using a model that combines the dynamic conditional correlation model with the mixed-data sampling approach and allows long-run correlation to be affected by macro-finance factors (historical and forecasts). We use macro-finance factors related to inflation and interest rates, illiquidity, state of the economy, and market uncertainty. Macro-finance factors, particularly their forecasts, are good at forecasting long-run stock–bond correlation. Supporting the flight-to-quality phenomenon, long-run correlation tends to be small and negative when the economy is weak.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/8167159
- author
- Asgharian, Hossein LU ; Christiansen, Charlotte and Hou, Ai Jun
- organization
- publishing date
- 2016
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- DCC-MIDAS model, Long-run correlation, Macro-finance factors, Stock–bond correlation
- in
- Journal of Financial Econometrics
- volume
- 14
- issue
- 3
- pages
- 617 - 642
- publisher
- Oxford University Press
- ISSN
- 1479-8409
- DOI
- 10.1093/jjfinec/nbv025
- language
- English
- LU publication?
- yes
- id
- 862d7c4d-b44b-464f-a255-2c98f663855a (old id 8167159)
- date added to LUP
- 2016-04-01 10:12:52
- date last changed
- 2019-11-13 10:57:56
@article{862d7c4d-b44b-464f-a255-2c98f663855a, abstract = {{We investigate long-run stock–bond correlation using a model that combines the dynamic conditional correlation model with the mixed-data sampling approach and allows long-run correlation to be affected by macro-finance factors (historical and forecasts). We use macro-finance factors related to inflation and interest rates, illiquidity, state of the economy, and market uncertainty. Macro-finance factors, particularly their forecasts, are good at forecasting long-run stock–bond correlation. Supporting the flight-to-quality phenomenon, long-run correlation tends to be small and negative when the economy is weak.}}, author = {{Asgharian, Hossein and Christiansen, Charlotte and Hou, Ai Jun}}, issn = {{1479-8409}}, keywords = {{DCC-MIDAS model; Long-run correlation; Macro-finance factors; Stock–bond correlation}}, language = {{eng}}, number = {{3}}, pages = {{617--642}}, publisher = {{Oxford University Press}}, series = {{Journal of Financial Econometrics}}, title = {{Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification}}, url = {{http://dx.doi.org/10.1093/jjfinec/nbv025}}, doi = {{10.1093/jjfinec/nbv025}}, volume = {{14}}, year = {{2016}}, }