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Effects of macroeconomic uncertainty on the stock and bond markets

Asgharian, Hossein LU ; Christiansen, Charlotte and Hou, Ai Jun (2015) In Finance Research Letters 13. p.10-16
Abstract
In this paper we show that the long-run stock and bond volatility and the long-run stock-bond correlation depend on macroeconomic uncertainty. We use the mixed data sampling (MIDAS) econometric approach. The findings are in accordance with the flight-to-quality phenomenon when macroeconomic uncertainty is high. (C) 2015 Elsevier Inc. All rights reserved.
Please use this url to cite or link to this publication:
author
; and
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
DCC-MIDAS model, GARCH-MIDAS model, Macroeconomic uncertainty index, Stock-bond correlation, Stock volatility, Bond volatility
in
Finance Research Letters
volume
13
pages
10 - 16
publisher
Elsevier
external identifiers
  • wos:000355027800002
  • scopus:84928762274
ISSN
1544-6123
DOI
10.1016/j.frl.2015.03.008
language
English
LU publication?
yes
id
49536c7d-db10-4f09-bdd1-550e9325e3ef (old id 7422122)
date added to LUP
2016-04-01 10:59:15
date last changed
2022-04-28 03:25:27
@article{49536c7d-db10-4f09-bdd1-550e9325e3ef,
  abstract     = {{In this paper we show that the long-run stock and bond volatility and the long-run stock-bond correlation depend on macroeconomic uncertainty. We use the mixed data sampling (MIDAS) econometric approach. The findings are in accordance with the flight-to-quality phenomenon when macroeconomic uncertainty is high. (C) 2015 Elsevier Inc. All rights reserved.}},
  author       = {{Asgharian, Hossein and Christiansen, Charlotte and Hou, Ai Jun}},
  issn         = {{1544-6123}},
  keywords     = {{DCC-MIDAS model; GARCH-MIDAS model; Macroeconomic uncertainty index; Stock-bond correlation; Stock volatility; Bond volatility}},
  language     = {{eng}},
  pages        = {{10--16}},
  publisher    = {{Elsevier}},
  series       = {{Finance Research Letters}},
  title        = {{Effects of macroeconomic uncertainty on the stock and bond markets}},
  url          = {{http://dx.doi.org/10.1016/j.frl.2015.03.008}},
  doi          = {{10.1016/j.frl.2015.03.008}},
  volume       = {{13}},
  year         = {{2015}},
}