Publication: Realized bond-stock correlation: Macroeconomic announcement effects
Realized bond-stock correlation: Macroeconomic announcement effects
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Ranaldo, A., & Christiansen, C. (2007). Realized bond-stock correlation: Macroeconomic announcement effects. Journal of Futures Markets, 27(5), 439–469. https://doi.org/10.1002/fut.20258
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The authors investigate the effects of macroeconomic announcements on the realized correlation between bond and stock returns. It was found 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
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- Ranaldo, Angelo
- Christiansen, Charlotte
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Ranaldo, A., & Christiansen, C. (2007). Realized bond-stock correlation: Macroeconomic announcement effects. Journal of Futures Markets, 27(5), 439–469. https://doi.org/10.1002/fut.20258