Yang, Jian; Zhou, Yinggang; Wang, Zijun - In: Journal of Banking & Finance 33 (2009) 4, pp. 670-680
Using monthly stock and bond return data in the past 150 years (1855-2001) for both the US and the UK, this study documents time-varying stock-bond correlation over macroeconomic conditions (the business cycle, the inflation environment and monetary policy stance). There are different patterns...