{'fraction_non_alphanumeric': 0.015348288075560802, 'fraction_numerical': 0.0, 'mean_word_length': 5.424242424242424, 'pattern_counts': {'":': 0, '<': 0, '<?xml version=': 0, '>': 0, 'https://': 0, 'lorem ipsum': 0, 'www.': 0, 'xml': 0}, 'pii_count': 0, 'substrings_counts': 0, 'word_list_counts': {'cursed_substrings.json': 0, 'profanity_word_list.json': 0, 'sexual_word_list.json': 0, 'zh_pornsignals.json': 0}}
The Reaction of Stock-Bond Correlations to Risk Aversion and Real Time Macroeconomic Announcements

Using a high-frequency dataset, we analyze the effects of risk-aversion and real-time macroeconomic variables on both conditional variances and stock-bond correlations in the Eurozone. We use a generalized DCCX model for correlations and a GARCHX model for variances in order to separate the effects on the dependence structure from those on the volatility. We find that correlations fall as risk aversion rises even when controlling for macroeconomic announcements. Interestingly, the additional effects of the financial crisis are only small. While most macroeconomic news result in falling conditional correlations, the publication of news concerning future interest rates or inflation figures moves bond and stock prices in the same direction.