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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.
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author
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
2015-06-26 14:01:50
date last changed
2017-05-28 03:22:34
@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},
  keyword      = {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},
  volume       = {13},
  year         = {2015},
}