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Realized Stock-Bond Correlation: Macroeconomic Announcement Effects

Charlotte Christiansen & Angelo Ranaldo

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Kurzfassung 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.
   
Typ Artikel (wissenschaftliche Zeitschrift)
   
Schlagwörter (Tags)
   
Sprache Englisch
Art des Artikels Journal Artikel
Erscheinungsdatum 5-2007
Zeitschrift Journal of Futures Markets
Verlag Wiley
ISSN 0270-7314
DOI 10.1002/fut.20258
Jahrgang bzw. Volume 27
Nummer bzw. Issue 5
Seite(n) 439-469
Review Double-Blind Review
   
Zitation Christiansen, Charlotte ; Ranaldo, Angelo: Realized Stock-Bond Correlation: Macroeconomic Announcement Effects. In: Journal of Futures Markets 27 (2007), Nr. 5, S. 439-469, DOI:10.1002/fut.20258.