We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity market … risk is a nonlinear function of market volatility …

depends on the importance of real interest rate risk relative to other sources of risk. We extend the analysis to consider …

depends on the importance of real interest rate risk relative to other sources of risk. We extend the analysis to consider …

the time-varying correlation of US stock and bond returns. Key ingredients are time-varying first and second moments of … inflation shocks and demands a positive risk premium for holding assets that are poor inflation hedges, such as equity and … nominal bonds. As a result, risk premiums on equity and nominal bonds comove positively through their exposure to …