Effects of macroeconomic uncertainty on the stock and bond markets

Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou

Finance Research Letters, 2015, vol. 13, issue C, 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.

Keywords: DCC–MIDAS model; GARCH–MIDAS model; Macroeconomic uncertainty index; Stock-bond correlation; Stock volatility; Bond volatility (search for similar items in EconPapers)
JEL-codes: C32 C58 E32 E44 G11 G12 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (31)

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Related works:
Working Paper: Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:13:y:2015:i:c:p:10-16

DOI: 10.1016/j.frl.2015.03.008

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