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Hossein Asgharian. Photo.

Hossein Asgharian

Professor

Hossein Asgharian. Photo.

Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification

Author

  • Hossein Asgharian
  • Charlotte Christiansen
  • Ai Jun Hou

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.

Department/s

  • Department of Economics

Publishing year

2016

Language

English

Pages

617-642

Publication/Series

Journal of Financial Econometrics

Volume

14

Issue

3

Document type

Journal article

Publisher

Oxford University Press

Topic

  • Economics

Keywords

  • DCC-MIDAS model
  • Long-run correlation
  • Macro-finance factors
  • Stock–bond correlation

Status

Published

ISBN/ISSN/Other

  • ISSN: 1479-8409