It is well known that economic policy uncertainty prompts the volatility of the high-yield bond market.However,the correlation between economic policy uncertainty and volatility of high-yield bonds is still not clear....It is well known that economic policy uncertainty prompts the volatility of the high-yield bond market.However,the correlation between economic policy uncertainty and volatility of high-yield bonds is still not clear.In this paper,we employ GARCH-MIDAS models to investigate their correlation with US economic policy uncertainty index and S&P high-yield bond index.The empirical studies show that mixed volatility models can effectively capture the realized volatility of high-yield bonds,and economic policy uncertainty and macroeconomic factors have significant effects on the long-term component of high-yield bonds volatility.展开更多
基金This work was supported by National Natural Science Foundation of China(Nos.71461005,71561008)National Social Science Foundation of China(No.17BGL234)Innovation Project of Guangxi Graduate Education(No.YC-SW2017143).
文摘It is well known that economic policy uncertainty prompts the volatility of the high-yield bond market.However,the correlation between economic policy uncertainty and volatility of high-yield bonds is still not clear.In this paper,we employ GARCH-MIDAS models to investigate their correlation with US economic policy uncertainty index and S&P high-yield bond index.The empirical studies show that mixed volatility models can effectively capture the realized volatility of high-yield bonds,and economic policy uncertainty and macroeconomic factors have significant effects on the long-term component of high-yield bonds volatility.
