the time-varying correlation of US stock and bond returns. Key ingredients are time-varying first and second moments of … consumption growth, inflation, and dividend growth in conjunction with Epstein-Zin and Weil recursive preferences. Historically in … the US, inflation has signalled low future consumption growth. The representative agent therefore dislikes positive …

depend on the type and nature of the surprise and change over time. Decomposing bond yields into expected short-term interest … rates and the term premium reveals that both signalling and portfolio rebalancing effects explain the responses of bond … important to Swiss government bond yields than Swiss stock prices …

Pricing bonds is generally one of the earliest applications of time value of money in a finance curriculum. A bond … security. This paper works through the pedagogy of bond pricing and extends the traditional bond pricing formula in a manner … about bond pricing and the time value of money …

This study proposes two rational models to reconcile the enigma regarding the inconsistent bond pricing that results … among bonds with the same ratings. First, we apply a nonlinear utility function to the expected utility theory and observe … different expected utilities for senior bonds and subordinated bonds with the same bond rating. Second, we implement the …

same direction during periods of high inflation expectations, while epochs of negative stock-bond return correlation seem …This paper examines the impact of inflation and economic growth expectations and perceived stock market uncertainty on … the time-varying correlation between stock and bond returns. The results indicate that stock and bond prices move in the …