Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns
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Title: | Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns |
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Authors: | Nieto, Belén | Novales Cinca, Alfonso | Rubio Irigoyen, Gonzalo |
Research Group/s: | Finanzas de Mercado y Econometría Financiera |
Center, Department or Service: | Universidad de Alicante. Departamento de Economía Financiera y Contabilidad |
Keywords: | Corporate bonds | Volatility | Low-frequency component | High-frequency component | Macroeconomic indicators | Financial indicators |
Knowledge Area: | Economía Financiera y Contabilidad |
Issue Date: | 9-Jul-2015 |
Publisher: | World Scientific Publishing |
Citation: | Quarterly Journal of Finance. 2015, 5(4): 1550021 [41 pages]. doi:10.1142/S2010139215500214 |
Abstract: | In this paper, we address the issue of how macroeconomic conditions affect corporate bond volatility. We employ the GARCH-MIDAS 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. |
Sponsor: | The authors acknowledge financial support from the Ministry of Science and Innovation through grant ECO2011-29751 (B. Nieto), and the Ministry of Economics and Competitiveness through grants ECO2012-34268 (G. Rubio), and ECO2012-31941 (A. Novales). Financial support from Generalitat Valenciana grant PrometeoII/2013/015 is also acknowledged. |
URI: | http://hdl.handle.net/10045/53229 |
ISSN: | 2010-1392 (Print) | 2010-1406 (Online) |
DOI: | 10.1142/S2010139215500214 |
Language: | eng |
Type: | info:eu-repo/semantics/article |
Rights: | © 2015 World Scientific Publishing Co Pte Ltd |
Peer Review: | si |
Publisher version: | http://dx.doi.org/10.1142/S2010139215500214 |
Appears in Collections: | INV - Finanzas de Mercado y Econometría Financiera - Artículos de Revistas |
Files in This Item:
File | Description | Size | Format | |
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2015_Nieto_etal_QuartJofFin_preprint.pdf | Preprint (acceso abierto) | 1,7 MB | Adobe PDF | Open Preview |
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