This paper investigates dynamic correlations of stock-bond returns for different stock indices and bond maturities. Evidence in the US shows that stock-bond relations are time-varying and display a negative trend. The stock-bond correlations are negatively correlated with implied volatilities in...

In this study, I analyze the impact of the aggregate, income, corporate, and social security tax revenues on both the U.S. output and the stock market return in a structural vector autoregression (SVAR) framework between 1960:Q1 and 2015:Q4. Unlike some of the other studies, I use not only...

We find that consumption risk is lower in states that implement counter-cyclical fiscal policies. Moreover, firms whose investor base are concentrated in counter-cyclical states have lower stock returns, along with firms that relocate their headquarters to a counter-cyclical state. Therefore,...