Macroeconomic Factors and the Correlation of Stock and Bond Returns

  • Published 2003

Abstract

This paper examines the correlation between stock and bond returns. It first documents that the major trends in stock-bond correlation for G7 countries follow a similar reverting pattern in the past forty years. Next, an asset pricing model is employed to show that the correlation of stock and bond returns can be explained by their common exposure to… (More)

Topics

5 Figures and Tables

Slides referencing similar topics