公司债券收益波动的宏观经济和金融决定因素

IF 0.9 Q3 BUSINESS, FINANCE Quarterly Journal of Finance Pub Date : 2015-12-03 DOI:10.1142/S2010139215500214
Belén Nieto, A. Novales, Gonzalo Rubio
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引用次数: 13

摘要

在本文中,我们讨论了宏观经济条件如何影响公司债券波动的问题。我们采用GARCH-MIDAS波动性相乘双组分模型,该模型将波动性的短期动态与长期组分区分开来。样本内和样本外分析都表明,相对于典型GARCH模型中嵌入的恒定长期成分,识别宏观经济和金融指标捕获的随机低频成分的存在可能会改善模型对实际债券回报数据的拟合。
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Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns
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.
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来源期刊
Quarterly Journal of Finance
Quarterly Journal of Finance BUSINESS, FINANCE-
CiteScore
1.10
自引率
0.00%
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0
期刊介绍: The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.
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