Stock-Bond Correlations

By A. Ilmanen. 2003

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Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification (2016, unknown): “The forecasting ability of the inflation is consistent with Ilmanen (2003) who finds that changes in discount rates dominate the cash flow expectations during periods of high inflation, thereby inducing a positive stock-bond correlation.”
Realized Bond-Stock Correlation: Macroeconomic Announcement Effects (2007, unknown): “Ilmanen (2003) shows that the bond-stock correlation has recently gone from positive to negative and that it is influenced by the inflation level and the state of the economy (the business cycle).”
Why does the correlation between stock and bond returns vary over time? (2008, methodology): “Ilmanen (2003) uses US data to examine the impact of inflation on the correlation between stock and bond returns and finds that during periods of high inflation, changes in the discount rates dominate the changes in cash flow expectations, thereby inducing a positive stock–bond return correlation.”