Hossein Asgharian
Professor
Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
Författare
Summary, in English
We investigate long-run stock–bond correlation using a model that combines the dynamic conditional correlation model with the mixed-data sampling approach and allows long-run correlation to be affected by macro-finance factors (historical and forecasts). We use macro-finance factors related to inflation and interest rates, illiquidity, state of the economy, and market uncertainty. Macro-finance factors, particularly their forecasts, are good at forecasting long-run stock–bond correlation. Supporting the flight-to-quality phenomenon, long-run correlation tends to be small and negative when the economy is weak.
Avdelning/ar
- Nationalekonomiska institutionen
Publiceringsår
2016
Språk
Engelska
Sidor
617-642
Publikation/Tidskrift/Serie
Journal of Financial Econometrics
Volym
14
Issue
3
Dokumenttyp
Artikel i tidskrift
Förlag
Oxford University Press
Ämne
- Economics
Nyckelord
- DCC-MIDAS model
- Long-run correlation
- Macro-finance factors
- Stock–bond correlation
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 1479-8409