The role of central bank communication in the long-term stock-bond correlations: Evidence from China

被引：0

作者：

Wang, Yanning ^{[1
]}

Wang, Xichen ^{[1
]}

机构：

[1] Shandong Univ, Sch Econ, Shanda Nan Rd 27, Jinan 250100, Shandong, Peoples R China

来源：

FINANCE RESEARCH LETTERS | 2024年 / 67卷

关键词：

Central bank communication; Stock-bond correlation; Textual analysis; DCC-MIDAS-X; MACROECONOMIC DETERMINANTS; US STOCK; MARKETS; VOLATILITIES; COMOVEMENT; MODEL;

D O I：

10.1016/j.frl.2024.105893

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we extend the traditional DCC-MIDAS-X model by incorporating the central bank communication sentiment indicator to examine its effect on the long-term correlations between stock and bond returns. Our results show that positive central bank communication can reduce stock-bond correlation. The effect changes over time depending on the state of the economy, which is significant during upturns but not noticeable during recessions.

引用

页数：9

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