Realized Stock-Bond Correlation: Macroeconomic Announcement Effects
Journal
Journal of Futures Markets
ISSN
0270-7314
ISSN-Digital
1096-9934
Type
journal article
Date Issued
2007-05
Author(s)
Abstract
The authors investigate the effects of macroeconomic announcements on the realized correlation between bond and stock returns. It was found 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.
Language
English
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Wiley
Publisher place
New York, NY
Volume
27
Number
5
Start page
439
End page
469
Pages
31
Subject(s)
Division(s)
Eprints ID
217791