Macroeconomic news effects on conditional volatilities in the bond and stock markets

Autor:	Bala Arshanapalli, Lorne N. Switzer, Frank J. Fabozzi, Edmond L. d’Ouville
Rok vydání:	2006
Předmět:	Economics and Econometrics Financial economics Bond Risk premium Economics Volatility smile Forward volatility Bond market Volatility risk Monetary economics Volatility (finance) Volatility risk premium Finance
Zdroj:	Applied Financial Economics. 16:377-384
ISSN:	1466-4305 0960-3107
Popis:	This paper investigates the sources of time-varying risk for the US stock and bond markets. The model captures the change in the risk premium due to each market's own volatility risk and the covariance risk. We test for the effects of macroeconomic news on time-varying volatility as well as time-varying covariance, and whether such news induces time-varying risk premia in either of the markets. We find that stocks and bonds have higher volatility on the day of macroeconomic announcements. This higher volatility is transitory but because it can be anticipated, it induces increases in the risk premium in both markets.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::547e447295a5a5df08a5852c21629dea https://doi.org/10.1080/09603100500511068 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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