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Risk and policy uncertainty on stock-bond return correlations : evidence from the US markets

Chiang, Thomas C. - In: Risks : open access journal 8 (2020) 2/58, pp. 1-16

policy uncertainties. Correlation coefficients between stock and bond returns are positively related to total policy …

Persistent link: https://www.econbiz.de/10012292914

Stock-bond return correlation, bond risk premium fundamentals, and fiscal-monetary policy regime

Li, Erica X. N.; Zha, Tao; Zhang, Ji; Zhou, Hao - 2020

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 from 1971 to 2000 and the positive one after 2000, and (3) the … coexistence of positive bond risk premiums and the negative stock-bond return correlation. We show that two distinctive shocks …

Persistent link: https://www.econbiz.de/10012294741

Determinants of stock-bond market comovement in the Eurozone under model uncertainty

Skintzi, Vasiliki D. - In: International review of financial analysis 61 (2019), pp. 20-28

Persistent link: https://www.econbiz.de/10012206690

Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model

Hartwig, Benny - 2020

indicate that conclusions may critically hinge on a selectedordering of variables. The dynamic correlation Cholesky …

Persistent link: https://www.econbiz.de/10012250452

FED's unconventional monetary policy and correlation dynamics among conventional and alternative investments

Tsakalos, Ioannis; Roumpis, Efthymios - In: Recent advances and applications in alternative investments, (pp. 37-56). 2020

Persistent link: https://www.econbiz.de/10012265117

Money and output : Friedman and Schwartz revisited

Belongia, Michael T.; Ireland, Peter N. - 2015

Persistent link: https://www.econbiz.de/10011428709

Henriksen, Espen - 2013

Cyclical fluctuations in nominal variables|aggregate price levels and nominal interest rates are documented to be substantially more synchronized across countries than cyclical fluctuations in real output. A transparent mechanism that can account for this striking feature of the nominal...

Persistent link: https://www.econbiz.de/10013075189

Henriksen, Espen - 2009

Cyclical fluctuations in nominal variables--aggregate price levels and nominal interest rates--are documented to be substantially more synchronized across countries than cyclical fluctuations in real output. A transparent mechanism that can account for this striking feature of the nominal...

Persistent link: https://www.econbiz.de/10013158041

What drives cross-market correlations during the United States Q.E.?

Pick Schen Yip; Brooks, Robert; Do, Hung Xuan; Xuan Vinh Vo - In: International review of financial analysis 83 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013460973

Central Bank Communication and Asset Correlation

Hoang, Duc Hong - 2021

-FX correlations. I find that a negative tone in central banks’ communication results to a lower stock-bond correlation, which supports … the flight to quality phenomenon in both US and Euro area. In contrast, results for stock-FX correlation are mixed. Fed …

Persistent link: https://www.econbiz.de/10013249487