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