This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns … spillovers mostly run from stocks to bonds and exhibit a time-varying pattern over all three stages of the crisis in most … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other …

We develop a model in which investors can participate in stock, bond and housing markets. Investors' market entry …-value relations between dividends, rents and the bond rate. Amongst other things, we show that endogenous stock and housing market …