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US Stock-Bond Correlation : What are the Macroeconomic Drivers?
Shen, Junying; Weisberger, Noah - 2021
US stock-bond correlation, which plays an important role in institutional portfolio construction, has been persistently … negative for the last 20y. This negative correlation allows stocks and bonds to serve as a hedge for each other, enabling CIOs … to increase stock allocations while still satisfying a portfolio risk budget. However, stock-bond correlation is not …
Persistent link: https://www.econbiz.de/10013225483
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Economic policy uncertainty shocks and stock-bond correlations : evidence from the US market
Li, Xiaoming; Zhang, Bing; Gao, Ruzhao - In: Economics letters 132 (2015), pp. 91-96
Persistent link: https://www.econbiz.de/10011431392
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Flight-to-quality between global stock and bond markets in the COVID era
Papadamou, Stephanos; Fassas, Athanasios P.; … - In: Finance research letters 38 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012490959
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Macroeconomic news and stock-bond comovement
Duffee, Greg - In: Review of finance : journal of the European Finance … 27 (2023) 5, pp. 1859-1882
Persistent link: https://www.econbiz.de/10014391611
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COVID-19 and the forward-looking stock-bond return relationship
Cai, Xiaojing; Cong, Yingnan; Sakemoto, Ryuta - In: Applied economics letters 30 (2023) 3, pp. 297-301
Persistent link: https://www.econbiz.de/10013553396
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The effect of economic policy uncertainty on the long-term correlation between U.S. stock and bond markets
Fang, Libing; Yu, Honghai; Li, Lei - In: Economic modelling 66 (2017), pp. 139-145
Persistent link: https://www.econbiz.de/10011813695
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You sneeze, and the markets are paranoid : the fear, uncertainty and distress sentiments impact of the COVID-19 pandemic on the stock-bond correlation
Banerjee, Ameet Kumar - In: The journal of risk finance : JRF 23 (2022) 5, pp. 652-668
Persistent link: https://www.econbiz.de/10013454956
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Forecasting financial markets and understanding the role of monetary policy
Willner, Marco - 2010
Persistent link: https://www.econbiz.de/10008990760
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Oil price shocks and stock market returns : new evidence from the United States and China
Broadstock, David C.; Filis, George - In: Journal of international financial markets, … 33 (2014), pp. 417-433
Persistent link: https://www.econbiz.de/10011299813
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Economic Policy Uncertainty Shocks and Stock-Bond Correlations : Evidence from the US Market
Li, Xiaoming - 2015
This paper examines the effects of economic policy uncertainty shocks on stock-bond correlations for the US market. We devise a general framework which distinguishes a positive shock from a negative one and nests either as its special case. The results show that innovations in the policy...
Persistent link: https://www.econbiz.de/10013024205