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 …

The correlation between stock markets and interest rates has been discussed in numerous studies in the past, with … which allow for time-variability and regime changes in correlation. All estimated models allowing for timevarying … correlation complement each other in identifying time-varying patterns found in the (co-)movement between the variables …

We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 …