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...

Objective - To explore the impacts of monetary and fiscal policies, the appropriateness of both policies and how the stock market is affected by their adoption and implementation in the United States (US). Hence, this study aims to determine the short and long run relationships between monetary...

We incorporate regime switching between monetary and fiscal policies in a general equilibrium model to explain three stylized facts: (1) the positive stock-bond return correlation from 1971 to 2000 and the negative one after 2000, (2) the negative correlation between consumption and inflation...