Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/145530
Authors: 
Conrad, Christian
Loch, Karin
Year of Publication: 
2016
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2016: Demographischer Wandel - Session: Financial Frictions F12-V3
Abstract: 
We explain the time-varying correlation between stock and bond returns by survey expectations on the future macroeconomic development. A modified DCC-MIDAS specification allows us to relate daily changes in the correlation to monthly expectations data. For a cross-section of countries, we show that the stock-bond correlation is mainly determined by expectations regarding the future course of monetary policy as well as stress in financial markets. From a European perspective, the asymmetry in the response of the stock-bond correlation to heightened stock market volatility in the UK, Germany and France on the one hand, and Italy on the other hand is of high policy relevance.
JEL: 
E44
C32
C58
Document Type: 
Conference Paper

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