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The 'Fed Model' and the Changing Correlation of Stock and Bond Returns : An Equilibrium Approach

Hasseltoft, Henrik - 2009

the time-varying correlation of US stock and bond returns. Key ingredients are time-varying first and second moments of … macroeconomic volatility. This generates a positive correlation between dividend yields and nominal yields and between stock and …

Persistent link: https://www.econbiz.de/10014209829

Impact of US unconventional monetary policy on dynamic stock-bond correlations : portfolio rebalancing and signalling channel effects

Gökmenoglu, Korhan K.; Hadood, Abobaker Al. Al. - In: Finance research letters 33 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012430850

Correlation structure between fiat currencies and blockchain assets

Abakah, Emmanuel Joel Aikins; Ullah, G. M. Wali; … - In: Finance research letters 62 (2024) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10014530800

The time-varying relation between stock returns and monetary variables

McMillan, David G. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17

shifting the pattern of behaviour. We show a change in the correlation between each of the three variables with stock returns …. Notably, a predominantly negative correlation with bond yields and inflation becomes positive, while the opposite is true for …

Persistent link: https://www.econbiz.de/10012813273

Optimal policy with general signal extraction

Hauk, Esther; Lanteri, Andrea; Marcet, Albert - 2016

We study optimal policy when the planner has partial information in a general setup where observed signals are endogenous to policy. In this context, signal extraction and policy have to be determined jointly. We derive a general non-standard first order condition of optimality from first...

Persistent link: https://www.econbiz.de/10011617351