This paper examines the ability of bond and stock markets to predict subsequent GDP growth over a range of horizons for … of horizons. Considering different regimes, we observe that the bond market exhibits greater predictive power for a …

We find that 30-minute changes in bond yields around scheduled Federal Open Market Committee (FOMC) announcements are … predicts a contractionary policy news shock (positive change in bond yields), a negative GDP growth revision predicts an … expansionary policy news shock (negative change in bond yields). Failing to account for this predictability biases the estimates of …

investment growth but less so for consumption growth. We extend the analysis to include commodity, housing and the corporate bond …

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 … important drivers of stock-bond correlations during the countercyclical period 1965-2000 while output shocks dominated during …