Current discussions about public and private pension plans often state that the stock market is less risky in the long run than in the short run. Pension plans with their rather long planning horizon are therefore asked to increase the allocation to the stock market. Such statements, however,...

Current discussions about public and private pension plans often state that the stock market is less risky in the long run than in the short run. Pension plans with their rather long planning horizon are therefore asked to increase the allocation to the stock market. Such statements, however,...

The paper estimates constant conditional correlation (CCC) GARCH models to test whether the dramatic changes in stock-bond market correlations can be explained by monetary policy variables such as OIS interest rate shocks or volatility regimes. We find that both specifications are empirically...