Effects of Macroeconomic Uncertainty on the Stock and Bond Markets

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

MoreLess

Year of publication:	2015
Authors:	Asgharian, Hossein
Other Persons:	Christiansen, Charlotte (contributor) ; Hou, Ai Jun (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Rentenmarkt \| Bond market \| Risiko \| Risk \| Börsenkurs \| Share price \| Aktienmarkt \| Stock market \| Volatilität \| Volatility \| Konjunktur \| Business cycle

Extent:	1 Online-Ressource (14 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 23, 2015 erstellt
Other identifiers:	10.2139/ssrn.2583928 [DOI]
Classification:	C32 - Time-Series Models ; c58 ; E32 - Business Fluctuations; Cycles ; E44 - Financial Markets and the Macroeconomy ; G11 - Portfolio Choice ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013025703