Kind, 2006, "International Stock-Bond Correlations in a Simple Affine Asset Pricing Model", Journal of Banking and Finance 30, 2747--2765.d Addona,S.,and A.H.Kind,"International Stock-Bond Correlations in a Simple Affine Asset Pricing Model",Journal of Banking & Finance,2006,30(10),2747...
Stock-Bond Correlations 来自 ResearchGate 喜欢 0 阅读量: 164 作者:Ilmanen,Antti 摘要: The correlation between stock market and government bond returns was positive through most of the 1900s, but negative in the early 1930s, the late 1950s, and recently. If the trend is sustained, the shift...
stock-bond correlations estimated at various frequencies. For this purpose, the two-component DCC-MIDAS model of correlation (Colacito et al., 2011) is used and extended to incorporate a third correlation frequency component. Subsequently, macroeconomic and financial variables are studied as ...
We quantify the effects of policy uncertainty shocks on stock–bond correlations. • We adopt a novel approach to distinguishing between positive and negative shocks. • The advent of the Euro has not changed the sign of the effects. ...
The correlation between stock and bond returns is a cornerstone of asset allocation decisions. History reveals abrupt regime shifts in correlation after long periods of relative stability. We investigate the drivers of the correlation between stocks and bonds and find that inflation, real rates, and ...
This paper analyses the effects of dynamic correlations between stock and bond returns issued by the same firm on the speed of adjustment towards target leverage. The results show that the estimated correlations are time varying, show persistence and differ among firms. Analysis of the potential ...
correlationsstockbondlt;pgt;The purpose of this study is to look at the relationship between the stock and the bond market of Russia. By using multivariate conditional volatility models, such as, Bollerslev (1990) CCC model, Engle (2002) the DCC model, we first examine whether the correlation...
The article discusses the stock market's reaction to unemployment news, stock-bond return correlations, and the state of the economy. Research shows that on average a surprise increase in unemployment is a good news for stocks during economic expansions and bad news during economic contractions. ...
We argue that the relatively low level of stock-bond correlations is due to an increased cross-country interdependence of financial markets leading to more frequent portfolio reallocations between stocks and bonds in order to compensate for lower cross-country diversification benefits. 展开 ...
Stock-Bond Correlations As the stock market plunges, Treasury bonds tend to rally, and the daily returns become negatively correlated, or decoupled. In this article, the author examines the decoupling that accompanies stock market crashes. He begins by ... L Gulko - 《Journal of Investing》 ...