Economic Policy Uncertainty Shocks and Stock-Bond Correlations : Evidence from the US Market

This paper examines the effects of economic policy uncertainty shocks on stock-bond correlations for the US market. We devise a general framework which distinguishes a positive shock from a negative one and nests either as its special case. The results show that innovations in the policy uncertainty index impact negatively and asymmetrically on the subsequent stock-bond correlations which are characterized by a structural break and positive-type asymmetry

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Year of publication:	2015
Authors:	Li, Xiaoming
Other Persons:	Zhang, Bing (contributor) ; Gao, Ruzhao (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	USA \| United States \| Schock \| Shock \| Wirtschaftspolitik \| Economic policy \| Risiko \| Risk \| Korrelation \| Correlation \| Konjunktur \| Business cycle \| Aktienmarkt \| Stock market \| Volatilität \| Volatility \| Rentenmarkt \| Bond market

Extent:	1 Online-Ressource (13 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Forthcoming in Economics Letters Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 18, 2015 erstellt
Classification:	G1 - General Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013024205