Effects of macroeconomic uncertainty on the stock and bond markets
Research output: Contribution to journal › Article
In this paper we show that the long-run stock and bond volatility and the long-run stock-bond correlation depend on macroeconomic uncertainty. We use the mixed data sampling (MIDAS) econometric approach. The findings are in accordance with the flight-to-quality phenomenon when macroeconomic uncertainty is high. (C) 2015 Elsevier Inc. All rights reserved.
|Research areas and keywords||
Subject classification (UKÄ) – MANDATORY
|Journal||Finance Research Letters|
|State||Published - 2015|