discrete regime shifts, and I find that the time-varying impact of inflation on confidence enables the model to match bond … growth and inflation. The impact of inflation on confidence has moved considerably over time and switched on average from … risks over different subperiods. The model can also account for stock and bond return predictability, and correlation …

We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We … such as interest rates, (expected) inflation, output growth and dividend payouts. We also view risk aversion, and … uncertainty about inflation and output as additional potential factors. Even the best-fitting economic factor model fits the …

We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We … such as interest rates, (expected) inflation, output growth and dividend payouts. We also view risk aversion, and … uncertainty about inflation and output as additional potential factors. Even the best-fitting economic factor model fits the …

-form expressions for the vector of expected bond returns and for the covariance matrix of bond returns based on a general class of well … heteroskedasticity in bond returns. An empirical application involving a data set with 15 fixed income securities with different …

particular, we look at interest rate risk, credit risk, inflation risk, price volatility, and liquidity risk as different risk … benchmark allocation - Barclays US Aggregate Bond Index. In the current low yield environment with flattening yield curves, we … find that the strategy favors allocation to the short end of the interest rate curve and inflation-protected securities and …