volatility. Bekaert, Hodrick, and Zhang (2012) showed the high correlation across countries, documenting how most of the time … volatility per se but the dramatic increase in correlation between and within stock markets. A phenomenon interpreted by the … the increase in correlation during period of crisis. They found that markets tend to behave as one in time of crisis. I …

Global asset allocation provides risk diversification. But international market correlation increases sharply during … global crises and diversification benefit disappears when it is most needed. We model these correlation breaks and derive the … asset allocation implications. The model can quickly detect crises and suggests adapting allocation for changing correlation …

impact on stock return correlations than shocks to futures. We confirm the model predictions by studying the correlation of U …

) stock-bond correlation forecasts falling 10-year interest rates over the coming weeks, and it also forecasts a falling 1 …-year interest rates over the next year. The reverse is true when the stock-bond correlation is higher (more positive … markets and/or policymakers' under-reaction to the changing economic conditions implied by the stock-bond correlation; and (2 …

volatilities and the stock-bond correlation. I show that the stock-bond correlation increases in interest rate volatility and … decreases in cash-flow volatility. These results qualitatively explain the historical variation in the stock-bond correlation …

We investigate the sources of time-variation in the stock-oil correlation over the period 1983-2019. We first derive a …. We find that about 79% of the time-varying correlation is related to the comovement of cash flow news between the two …