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英文文献：Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets-宏观经济不确定性对股票和债券市场的影响
英文文献作者：Hossein Asgharian,Charlotte Christiansen,Ai Jun Hou
英文文献摘要：
In this paper we show that the long-run stock and bond volatility and the long-run stock-bond correlation depend on macroeconomic uncertainty. We use the mixed data sampling (MIDAS) econometric approach. The findings are in accordance with the flight-to-quality phenomenon when macroeconomic uncertainty is high.
本文证明了股票和债券的长期波动性以及股票和债券的长期相关性取决于宏观经济的不确定性。我们使用混合数据抽样(MIDAS)计量方法。研究结果与宏观经济不确定性高时的“逃向质量”现象一致。
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