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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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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
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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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Spillover impact of the US unconventional monetary policy and uncertainties on stock-bond correlations
Hadood, Abobaker Al. Al.; Gökmenoglu, Korhan K. - In: Panoeconomicus 70 (2023) 3, pp. 355-382
Persistent link: https://www.econbiz.de/10014318036
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A shot for the US economy
Gächter, Martin; Huber, Florian; Meier, Martin - In: Finance research letters 47 (2022) 1, pp. 1-7
Persistent link: https://www.econbiz.de/10013459810
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Rethinking potential output : embedding information about the financial cycle
Borio, Claudio E. V.; Disyatat, Piti; Juselius, Mikael - 2013
This paper argues that incorporating information about the financial cycle is important to improve measures of potential output and output gaps. Conceptually, identifying potential output with non-inflationary output is too restrictive. Potential output is seen as sustainable; yet experience...
Persistent link: https://www.econbiz.de/10009735518
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What are the effects of monetary policy on output? : Results from an agnostic identification procedure
Uhlig, Harald - In: Journal of monetary economics 52 (2005) 2, pp. 381-419
Persistent link: https://www.econbiz.de/10002757815
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What are the effects of monetary policy on output? : Results from an agnostic identification procedure
Uhlig, Harald - 1999
Persistent link: https://www.econbiz.de/10001363679
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How do oil price shocks affect the output volatility of the U.S. energy mining industry? : the roles of structural oil price shocks
Jiang, Yong; Zhou, Zhongbao; Liu, Qing; Lin, Ling; … - In: Energy economics 87 (2020), pp. 1-21
Persistent link: https://www.econbiz.de/10012512330
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Fiscal policy uncertainty and US output
Popiel, Michal Ksawery - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10012198646