RT Report
T1 Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns
A1 Nieto, Belén
A1 Novales Cinca, Alfonso Santiago
A1 Rubio, Gonzalo
AB 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.
SN 2341-2356
YR 2014
FD 2014
LK https://hdl.handle.net/20.500.14352/41599
UL https://hdl.handle.net/20.500.14352/41599
LA eng
NO 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. We thank Rafael de Rezende, and seminar participants at University of Navarra, University Complutense, and the XXI Finance Forum at IE Business School for helpful comments on the paper. We assume full responsibility for any remaining errors.
NO Ministerio de Ciencia e Innovacion
NO Ministry of Economics and Competitiveness
NO Generalitat Valenciana
DS Docta Complutense
RD 6 abr 2025