Realized Bond-Stock Correlation: Macroeconomic Announcement Effects

Charlotte Christiansen and Angelo Ranaldo

No F-2005-05, Finance Research Group Working Papers from University of Aarhus, Aarhus School of Business, Department of Business Studies

Abstract: We investigate the effects of macroeconomic announcements on the realized correlation between bond and stock returns. Our results deliver insights into the dominating drivers of bond-stock comovements. We find that it is not so much the surprise component of the announcement, but the mere fact that an announcement occurs that influences the realized bond-stock correlation. The impact of macroeconomic announcements varies across the business cycle. Announcement effects are highly dependent on the sign of the realized bond-stock correlation which has recently gone from positive to negative. Macroeconomic announcement effects on realized bond and stock volatilities are also investigated

Keywords: Bond-stock correlation; Macroeconomic announcements; Realized correlation; Realized volatility (search for similar items in EconPapers)
Pages: 31 pages
Date: 2005-09-23
Note: Published in: C. Christiansen and A. Ranaldo (2007), "Realized Stock-Bond Correlation: Macroeconomic Announcement Effects", Journal of Futures Markets, 27(5), 439-469.
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Citations: View citations in EconPapers (6)

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Related works:
Journal Article: Realized bond—stock correlation: Macroeconomic announcement effects (2007)
Working Paper: Realized Bond-Stock Correlation: Macroeconomic Announcement Effects (2006)
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