between the stock's earnings and bond yields. The novelty of our econometric methodology consists in using a vector error … that the stock's earnings yield followed the bond yield in both the short- and long-run, but not the other way around …

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 demand on US bond yields in the conundrum period. This impact is … shown to have been everywhere significantly negative. The fact that our model fully explains the bond yield conundrum gives …

prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966 … pandemic period. We find that the unit root hypothesis cannot be rejected for stock prices while for bond yields the results … differ depending on the maturity date and the specification of the error term. In general, bond yields appear to be more …

This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the …

prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966 … pandemic period. We find that the unit root hypothesis cannot be rejected for stock prices while for bond yields the results … differ depending on the maturity date and the specification of the error term. In general, bond yields appear to be more …