Investors rely on the stock-bond correlation for a variety of tasks, such as forming optimal portfolios, designing … hedging strategies, and assessing risk. Most investors estimate the stock-bond correlation simply by extrapolating the … historical correlation of monthly returns and assume that this correlation best characterizes the correlation of future, annual …

This paper investigates the role of oil as a determinant of the US stock-bond correlation. The analysis uses monthly …, alongside a range of macroeconomic variables on the nature of stock-bond dynamic correlation. The outcome indicates that oil … supply and demand shocks along with economic policy uncertainty explain the stock-bond correlation amid recessionary …

) stock-bond correlation forecasts falling 10-year interest rates over the coming weeks, and it also forecasts a falling 1 …-year interest rates over the next year. The reverse is true when the stock-bond correlation is higher (more positive … markets and/or policymakers' under-reaction to the changing economic conditions implied by the stock-bond correlation; and (2 …

volatilities and the stock-bond correlation. I show that the stock-bond correlation increases in interest rate volatility and … decreases in cash-flow volatility. These results qualitatively explain the historical variation in the stock-bond correlation …

The correlation between stock and bond returns is a cornerstone of asset allocation decisions. The correlation can move … and magnitude of the stock-bond correlation. Our historical analyses across countries suggest that our findings are robust …. We apply these insights to analyze the implications of a shift in stock-bond correlation regime for the risk of multi …

We investigate long-run stock-bond correlation using a model that combines the dynamic conditional correlation model … with the mixed-data sampling approach and allows long-run correlation to be affected by macro-finance factors (historical …-bond correlation. Supporting the flight-to-quality phenomenon, long-run correlation tends to be small and negative when the economy is …

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