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Quantiles of the Realized Stock-Bond Correlation

Nektarios Aslanidis and Charlotte Christiansen

Working Papers from Universitat Rovira i Virgili, Department of Economics

Abstract: Abstract: We scrutinize the realized stock-bond correlation based upon high frequency returns. We use quantile regressions to pin down the systematic variation of the extreme tails over their economic determinants. The correlation dependence behaves differently when the correlation is large negative and large positive. The important explanatory variables at the extreme low quantile are the short rate, the yield spread, and the volatility index. At the extreme high quantile the bond market liquidity is also important. The empirical fi…ndings are only partially robust to using less precise measures of the stock-bond correlation. The results are not caused by the recent …financial crisis. Keywords: Extreme returns; Financial crisis; Realized stock-bond correlation; Quantile regressions; VIX. JEL Classifi…cations: C22; G01; G11; G12

Keywords: Cartera de valors -- Gestió; Actius financers; 336 - Finances. Banca. Moneda. Borsa (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-fmk and nep-rmg
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