Why does the correlation between stock and bond returns vary over time?

209 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

The effect of economic policy uncertainty on the long-term correlation between U.S. stock and bond markets (2017, background): “(Andersson et al., 2008) investigate the influence of inflation and expected stock market uncertainty on the time-varying stock-bond correlation, and they find that expected inflation is positively related to time-varying co-movement, while expected stock market uncertainty, as measured by implied…”
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011, background): “…2006), ii) macroeconomic prices such as GDP, inflation and output gap (see for example Lee, 2006) and iii) stock and bond returns (see for example Andersson et al., 2008). concluded that stock markets (both from oil-importing and oil-exporting countries) tend not to react to oil price shocks…”