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Realized Bond-Stock Correlation: Macroeconomic Announcement EffectsCharlotte ChristiansenUniversity of Aarhus - School of Economics and Management - CREATES Angelo RanaldoUniversity of St. Gallen October 26, 2005 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.
Number of Pages in PDF File: 31 Keywords: Bond-stock correlation, Macroeconomic announcements, Realized correlation, Realized volatility JEL Classification: G12, G13, G14 working papers seriesDate posted: March 10, 2006Suggested CitationContact Information
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