This paper examines the behaviour of stock and bond markets across four major international countries. The results … the stock and bond return correlation within each country declines. Moreover, results show that the stock and bond return … correlations exhibit commonality across countries. Results also demonstrate that stock returns lead movement in bond returns, while …

-linear models for stock and bond returns in the G7 countries. Besides Markov switching, threshold autoregressive (TAR), and smooth …-linear dynamics, especially of the Markov switching type. Although occasionally also stock and bond return forecasts for other G7 …