We document an inverse relation between stock-bond correlations and correlations of growth and inflation. We find that rising inflation uncertainty lowers stock prices but can either lower or raise nominal bond prices depending on whether inflation is counter- or procyclical. We show that the...

In this paper we estimate and interpret the factors that jointly determine bond returns of different maturities in the US, Germany and Japan. We analyze both currency-hedged as well as unhedged bond returns. For currency-hedged bond returns, we find that five factors explain 96.5% of the...

We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We identify the economic factors employing structural and non-structural vector autoregressive models for economic state variables such as interest rates, (expected) inflation,...

Although the federal funds rate started rising from mid-2004 US long term rates continued to fall. A likely contributory factor to this conundrum was the contemporaneous increase in US bond demand. Using ARDL-based models, which accommodate structural breaks, this paper estimates the impact of...

Using market prices of inflation-linked bonds and nominal bonds issued by the French Treasury, both the real and nominal zero coupon curves are estimated from January 1, 2013 to December 31, 2015. Several methods are applied to extract zero coupon bond prices: bootstrapping, a piecewise constant...

I show that investor confidence (size of ambiguity) about future consumption growth is driven by past consumption growth and inflation. The impact of inflation on confidence has moved considerably over time and switched on average from negative to positive in 1997. Motivated by this evidence, I...

We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We identify the economic factors employing structural and non-structural vector autoregressive models for economic state variables such as interest rates, (expected) inflation,...

The traditional approach to bond portfolio immunization usually assumes that the possible future changes of the term structure of interest rates lie within a suitable parametric class of functions. The quantities of interest are the sensitivities of the portfolio value with respect to these...

Empirically testing a bond portfolio hedging model is usually carried out when proposing a new model or to compare several existing models using real data. However, there are many methodological choices to be made during such exercise, which are usually made either implicitly or without...

Economic assets can be classified into two broad categories: those earning an inherent return and those earning a fiat money return. This article shows that both are valued according to the same general principle based on GDP (a constant equal to expected long term real per capita GDP growth)...