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Economic-state Variation in Uncertainty-Yield Dynamics

Connolly, Robert A. - 2020

over weaker-economic times since at least 1990. We document this economic-state variation in uncertainty-yield dynamics for … weekly and monthly change horizons, for nominal yields and real-yield proxies, for multiple economic-state identification …

Persistent link: https://www.econbiz.de/10012851743

Economic policy uncertainty shocks and stock-bond correlations : evidence from the US market

Li, Xiaoming; Zhang, Bing; Gao, Ruzhao - In: Economics letters 132 (2015), pp. 91-96

Persistent link: https://www.econbiz.de/10011431392

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

Bond return predictability : economic value and links to the macroeconomy

Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540

Persistent link: https://www.econbiz.de/10012000665

Impact of financial market uncertainty and macroeconomic factors on stock-bond correlation in emerging markets

Dimic, Nebojsa; Kiviaho, Jarno; Piljak, Vanja; Äijö, Janne - In: Research in international business and finance 36 (2016), pp. 41-51

Persistent link: https://www.econbiz.de/10011594241

Effects of macroeconomic uncertainty on the stock and bond markets

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - In: Finance research letters 13 (2015), pp. 10-16

Persistent link: https://www.econbiz.de/10011552317

Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy

Nitschka, Thomas - In: Journal of international money and finance 83 (2018), pp. 44-54

Persistent link: https://www.econbiz.de/10012000302

Regime Shifts in a Long-run Risks Model of U.S. Stock and Treasury Bond Markets

Li, Kai; Xu, Chenjie - 2022

-bond correlations and bond risk premium, but also quantitatively reproduce various other salient empirical features in stock and bond … markets, including time-varying equity and bond return premia, regime shifts in real and nominal yield curves, the violation …

Persistent link: https://www.econbiz.de/10013405156

Effects of macroeconomic uncertainty upon the stock and bond markets

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - 2015

Persistent link: https://www.econbiz.de/10011517001

Effects of Macroeconomic Uncertainty on the Stock and Bond Markets

Asgharian, Hossein - 2015

In this paper we show that the long-run stock and bond volatility and the long-run stock-bond correlation depend on …

Persistent link: https://www.econbiz.de/10013025703