Finance Research Group Working Papers, Department of Business Studies, Aarhus School of Business, University of Aarhus
Realized Bond-Stock Correlation: Macroeconomic Announcement Effects
() and Angelo Ranaldo
Abstract: We investigate the effects of macroeconomic announcements
on the realized correlation between bond and stock returns. Our results
deliver insights into the dominating drivers of bond-stock comovements. We
find 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
Keywords: Bond-stock correlation; Macroeconomic announcements; Realized correlation; Realized volatility; (follow links to similar papers)
31 pages, September 23, 2005
Published in: C. Christiansen and A. Ranaldo (2007), "Realized Stock-Bond Correlation: Macroeconomic Announcement Effects", Journal of Futures Markets, 27(5), 439-469.
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