kernel-based methods discussed in Giraitis et al. (2018), but relying on the estimation approach put forward in Morf et al …-varying compensation for expected and unexpected inflation shocks embedded in the sovereign bond yields of Germany, France, Japan and the … United States. Our empirical results suggest that the current environment of very low nominal sovereign bond yields, is a …

This paper documents a strong association between stock-bond (SB) correlations and monetary policy regimes for a sample … of 10 developed markets. Negative stock-bond correlations are associated with periods of accommodating monetary policy …, but only in times of low inflation. Irrespective of the inflation and/or growth regime, stock-bond correlations are always …

using inflation-induced equity market volatility (EMV) to better account for bond price determinants. The regression model …, a GED-GARCH (1,1) procedure, is adopted to deal with the volatility clustering and fat tail features in bond return … estimation. The testing results indicate that the inflation rate has a negative effect on bond returns across different …

the ECB from 2009 onwards have spilled over into asset price volatility developments of a group of six Central and Eastern … conditional correlation multivariate GARCH model, and by resorting to three different proxies to describe the functioning and … significant role in dampening volatility spikes in the financial markets of the countries at stake. This probably reflects how …