Realized Bond-Stock Correlation: Macroeconomic Announcement Effects

Charlotte Christiansen and Angelo Ranaldo

No 2006-02, Working Papers from Swiss National Bank

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)
JEL-codes: G12 G13 G14 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2006
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Citations: View citations in EconPapers (9)

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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 (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:snb:snbwpa:2006-02

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