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...

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...

This paper analyzes the impact of unemployment news on stock markets throughout the business cycle. We show dependence of the reaction to the economic environment by studying the reaction in multiple economic environments that are defined based on both the level and momentum of economic...