Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification

Arbeitspapier

We investigate the long-run stock-bond correlation using a novel model that combines the dynamic conditional correlation model with the mixed-data sampling approach. The long-run correlation is affected by both macro-finance variables (historical and forecasts) and the lagged realized correlation itself. Macro-finance variables and the lagged realized correlation are simultaneously significant in forecasting the long-run stock-bond correlation. The behavior of the long-run stock-bond correlation is very different when estimated taking the macro-finance variables into account. Supporting the flight-to-quality phenomenon for the total stock-bond correlation, the long-run correlation tends to be small/negative when the economy is weak.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 2014:37

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Financial Econometrics ; Business Fluctuations; Cycles ; Financial Markets and the Macroeconomy ; Portfolio Choice; Investment Decisions ; Asset Pricing; Trading Volume; Bond Interest Rates
• Thema: DCC-MIDAS model ; Long-run correlation ; Macro-finance variables ; Stock-bond correlation

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Asgharian, Hossein ; Christiansen, Charlotte ; Hou, Ai Jun
• Ereignis: Veröffentlichung
• (wer): Lund University, School of Economics and Management, Department of Economics
• (wo): Lund
• (wann): 2014

Weitere Informationen

• Handle: http://hdl.handle.net/10419/260133
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ