Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns

This paper analyzes the relationship between the volatility of corporate bond returns and standard financial and macroeconomic indicators reflecting the state of the economy. We employ the GARCHMIDAS multiplicative two-component model of volatility that distinguishes the short-term dynamics from the...

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Detalhes bibliográficos
Autores: Nieto, Belén, Novales Cinca, Alfonso Santiago, Rubio, Gonzalo
Formato: informe técnico
Fecha de publicación:2014
País:España
Recursos:Universidad Complutense de Madrid (UCM)
Repositorio:Docta Complutense
Idioma:inglés
OAI Identifier:oai:docta.ucm.es:20.500.14352/41599
Acesso em linha:https://hdl.handle.net/20.500.14352/41599
Access Level:acceso abierto
Palavra-chave:G12
C22
E44
Corporate bonds
Volatility
Low-frequency component
High-frequency component
Macroeconomic indicators
Financial indicators.
Econometría (Economía)
Finanzas
Macroeconomía
5302 Econometría
5307.14 Teoría Macroeconómica
id ES_cbcfab90584d856d2a6a1f5ed8e13cb6
oai_identifier_str oai:docta.ucm.es:20.500.14352/41599
network_acronym_str ES
network_name_str España
repository_id_str
spelling Macroeconomic and Financial Determinants of the Volatility of Corporate Bond ReturnsNieto, BelénNovales Cinca, Alfonso SantiagoRubio, GonzaloG12C22E44Corporate bondsVolatilityLow-frequency componentHigh-frequency componentMacroeconomic indicatorsFinancial indicators.Econometría (Economía)FinanzasMacroeconomía5302 Econometría5307.14 Teoría MacroeconómicaThis paper analyzes the relationship between the volatility of corporate bond returns and standard financial and macroeconomic indicators reflecting the state of the economy. We employ the GARCHMIDAS multiplicative two-component model of volatility that distinguishes the short-term dynamics from the long-run component of volatility. Both the in-sample and out-of-sample analysis show that recognizing the existence of a stochastic low-frequency component captured by macroeconomic and financial indicators may improve the fit of the model to actual bond return data, relative to the constant long-run component embedded in a typical GARCH model.Universidad Complutense de Madrid20142014-01-0120142014-01-01technical reporthttp://purl.org/coar/resource_type/c_18ghinfo:eu-repo/semantics/reportapplication/pdfhttps://hdl.handle.net/20.500.14352/41599reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2Atribución-NoComercial-CompartirIgual 3.0 Españahttps://creativecommons.org/licenses/by-nc-sa/3.0/es/info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/415992026-06-02T12:44:21Z
dc.title.none.fl_str_mv Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns
title Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns
spellingShingle Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns
Nieto, Belén
G12
C22
E44
Corporate bonds
Volatility
Low-frequency component
High-frequency component
Macroeconomic indicators
Financial indicators.
Econometría (Economía)
Finanzas
Macroeconomía
5302 Econometría
5307.14 Teoría Macroeconómica
title_short Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns
title_full Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns
title_fullStr Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns
title_full_unstemmed Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns
title_sort Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns
dc.creator.none.fl_str_mv Nieto, Belén
Novales Cinca, Alfonso Santiago
Rubio, Gonzalo
author Nieto, Belén
author_facet Nieto, Belén
Novales Cinca, Alfonso Santiago
Rubio, Gonzalo
author_role author
author2 Novales Cinca, Alfonso Santiago
Rubio, Gonzalo
author2_role author
author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv G12
C22
E44
Corporate bonds
Volatility
Low-frequency component
High-frequency component
Macroeconomic indicators
Financial indicators.
Econometría (Economía)
Finanzas
Macroeconomía
5302 Econometría
5307.14 Teoría Macroeconómica
topic G12
C22
E44
Corporate bonds
Volatility
Low-frequency component
High-frequency component
Macroeconomic indicators
Financial indicators.
Econometría (Economía)
Finanzas
Macroeconomía
5302 Econometría
5307.14 Teoría Macroeconómica
description This paper analyzes the relationship between the volatility of corporate bond returns and standard financial and macroeconomic indicators reflecting the state of the economy. We employ the GARCHMIDAS multiplicative two-component model of volatility that distinguishes the short-term dynamics from the long-run component of volatility. Both the in-sample and out-of-sample analysis show that recognizing the existence of a stochastic low-frequency component captured by macroeconomic and financial indicators may improve the fit of the model to actual bond return data, relative to the constant long-run component embedded in a typical GARCH model.
publishDate 2014
dc.date.none.fl_str_mv 2014
2014-01-01
2014
2014-01-01
dc.type.none.fl_str_mv technical report
http://purl.org/coar/resource_type/c_18gh
dc.type.openaire.fl_str_mv info:eu-repo/semantics/report
format report
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14352/41599
url https://hdl.handle.net/20.500.14352/41599
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
Atribución-NoComercial-CompartirIgual 3.0 España
https://creativecommons.org/licenses/by-nc-sa/3.0/es/
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
Atribución-NoComercial-CompartirIgual 3.0 España
https://creativecommons.org/licenses/by-nc-sa/3.0/es/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Docta Complutense
instname:Universidad Complutense de Madrid (UCM)
instname_str Universidad Complutense de Madrid (UCM)
reponame_str Docta Complutense
collection Docta Complutense
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,812429

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