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(Journal Article) |
Social Science Electronic Publishing 13 (7): 10-16 (2015)
Effects of macroeconomic uncertainty on the stock and bond markets ☆
JH Ai
,
C Christiansen
,
H Asgharian
ABSTRACT
In this paper we show that the long-run stock and bond volatility and the long-run stock–bond correlation depend on macroeconomic uncertainty. We use the mixed data sampling (MIDAS) econometric approach. The findings are in accordance with the flight-to-quality phenomenon when macroeconomic uncertainty is high.