Uncertainty Due to Infectious Diseases and Stock–Bond Correlation

We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock–bond correlation. To this end, we use high-frequency 1-min data to compute daily realized measures of correlation jumps, then, employ a nonlinear Granger causality test with artificial neural networks so as investigate predictability type uncertainty on jumps. Our findings reveal that has significant predictive value changes relation.