Monetary Policy Drivers of Bond and Equity Risks

Abstract

The exposure of US Treasury bonds to the stock market has moved considerably over time. While it was slightly positive on average in the period 1960-2011, it was unusually high in the 1980s and negative in the 2000s, a period during which Treasury bonds enabled investors to hedge macroeconomic risks. This paper explores the effects of monetary policy… (More)

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Citation Velocity: 11

Averaging 11 citations per year over the last 3 years.

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