Template-type: ReDIF-Paper 1.0
Author-Name: Charlotte Christiansen
Author-Name-First: Charlotte
Author-Name-Last: Christiansen
Author-Person: pch215
Author-Name: Angelo Ranaldo
Author-Name-First: Angelo
Author-Name-Last: Ranaldo
Author-Person: pra161
Title: Realized Bond-Stock Correlation: Macroeconomic Announcement Effects
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.
Length: 34 pages
Creation-Date: 2006
Contact-Email: forschung@snb.ch
File-URL: https://www.snb.ch/en/publications/research/working-papers/2006/working_paper_2006_02
File-Format: text/html
Number: 2006-02
Classification-JEL: G12, G13, G14
Keywords: Bond-stock correlation, Macroeconomic announcements, Realized correlation, Realized volatility
Handle: RePEc:snb:snbwpa:2006-02