to the fact that both bond and equity yields commove strongly and positively with expected inflation. While inflation … commoves with nominal bond yields for well-known reasons, the positive correlation between expected inflation and equity yields … has long puzzled economists. We show that the effect is consistent with modern asset pricing theory incorporating …

Stock and Treasury bond comovement, volatilities, and their relations to their price valuations and fundamentals change …, thereby affecting the direction of stock/bond comovement. The learning dynamics generate strong non-linearities between …

characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to … safety episodes for 23 countries. On average, FTS days comprise less than 5% of the sample, and bond returns exceed equity … in FTS episodes. Liquidity deteriorates on FTS days both in the bond and equity markets. Both economic growth and …

We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We … stock and bond return correlations, but that other factors, especially liquidity proxies, play a more important role. The … macro factors are still important in fitting bond return volatility; whereas the "variance premium" is critical in …

, including the level of policy rates at the time of the release, and risk conditions: government bond yields increase in response …