Realized Bond-Stock Correlation: Macroeconomic Announcement Effects

31 Pages Posted: 10 Mar 2006

See all articles by Charlotte Christiansen

Charlotte Christiansen

Aarhus University - CREATES

Angelo Ranaldo

University of St. Gallen; Swiss Finance Institute

Date Written: 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.

Keywords: Bond-stock correlation, Macroeconomic announcements, Realized correlation, Realized volatility

JEL Classification: G12, G13, G14

Suggested Citation

Christiansen, Charlotte and Ranaldo, Angelo, Realized Bond-Stock Correlation: Macroeconomic Announcement Effects (October 26, 2005). Available at SSRN: https://ssrn.com/abstract=746364 or http://dx.doi.org/10.2139/ssrn.746364

Charlotte Christiansen (Contact Author)

Aarhus University - CREATES ( email )

Fuglesangs Alle 4
Aarhus V, DK 8210
Denmark

Angelo Ranaldo

University of St. Gallen ( email )

Swiss Institute of Banking and Finance s/bf-HSG
Unterer Graben 21
St. Gallen, 9000
Switzerland
+41712247010 (Phone)

HOME PAGE: http://www.sbf.unisg.ch/Lehrstuehle/Lehrstuhl_Ranaldo/Homepage_Ranaldo.aspx

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland
+41796637711 (Phone)

HOME PAGE: http://https://www.unisg.ch/en/universitaet/schools/finance/ueber-die-sof/lehrstuhl_ranaldo

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