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The nominal facts and the October 1979 policy change

Gavin, William T.; Kydland, Finn E. - In: Review / Federal Reserve Bank of St. Louis 82 (2000) 6, pp. 39-61

Persistent link: https://www.econbiz.de/10001538412

Testing for common cyclical features in VAR models with cointegration

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2001

Persistent link: https://www.econbiz.de/10001590410

Testing for common cyclical features in VAR models with cointegration

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2001

We consider VAR models for variables exhibiting cointegration and comon cyclical features. While the presence of cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short-run dynamics. We distinguish between strong and...

Persistent link: https://www.econbiz.de/10001590471

Nominal facts and the October 1979 policy change

Gavin, William T.; Kydland, Finn E. - 2000

Persistent link: https://www.econbiz.de/10001591336

Economic Policy Uncertainty Shocks and Stock-Bond Correlations : Evidence from the US Market

Li, Xiaoming - 2015

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...

Persistent link: https://www.econbiz.de/10013024205

US Stock-Bond Correlation : What are the Macroeconomic Drivers?

Shen, Junying; Weisberger, Noah - 2021

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 …

Persistent link: https://www.econbiz.de/10013225483