Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets

Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou ()
Additional contact information
Ai Jun Hou: Stockholm University, Postal: School of Business, Stockholm University, Sweden

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

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)
Pages: 14
Date: 2015-03-23
New Economics Papers: this item is included in nep-mac and nep-ore
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Citations: View citations in EconPapers (40)

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https://repec.econ.au.dk/repec/creates/rp/15/rp15_15.pdf (application/pdf)

Related works:
Journal Article: Effects of macroeconomic uncertainty on the stock and bond markets (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2015-15

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