The Determinants of Stock and Bond Return Comovements
By Lieven Baele, Geert Bekaert, Koen Inghelbrecht. 2010
625 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/e739bdbf16d8363400e76941b7fb662e11dfdfc3
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Geert Bekaert
- Eric Ghysels
- Luis M. Viceira
- Peter F. Christoffersen
- Riccardo Colacito
- Andrew J. Patton
- Lieven Baele
- Evézen Kocenda
In Finance
- Geert Bekaert
- Eric Ghysels
- Luis M. Viceira
- Peter F. Christoffersen
- Robert F. Engle
- Andrew J. Patton
- Kris Jacobs
- Riccardo Colacito
Citations in the corpus
- Non-monetary news in central bank communication (2018, background): “Indeed, Baele et al. (2010) find that while macro fundamentals contribute little to explaining the stock-bond correlations, other factors, especially liquidity proxies, play a more important role. Connolly et al. (2005) relate that fact to the “flight-to-safety” phenomenon.”
- Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012, positive): “1 Bekaert, Hodrick, and Zhang (2009) convincingly argue that the evidence from this literature is mixed at best and state (p.”
- Aggregate Idiosyncratic Volatility (2012, methodology): “We take this measure from Baele, Bekaert, and Inghelbrecht (2010), who show that it is an important determinant of stock market volatility.”
- Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds (2013, positive): “The covariance of nominal bond returns with stock returns, for example, is extremely unstable over time and even switches sign (Li 2002, Guidolin and Timmermann 2006, Christiansen and Ranaldo 2007, David and Veronesi 2009, Baele, Bekaert, and Inghelbrecht 2010, Viceira 2010).”
- Determinants of stock market comovements among US and emerging economies during the US financial crisis (2013, background): “On the other hand, a group of studies (Baele et al., 2010; Bracker and Koch, 1999; Brunnermeier et al., 2008; Connolly et al., 2007; Johnson and Soenen, 2002; Norden andWeber, 2009) tried to investigate determinants of stock market comovements. First, Bracker and Koch (1999) find that bilateral impo”
- Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification (2016, positive): “Baele et al. (2010) show that liquidity related variables hold predictive power for the stock-bond comovement, whereas macroeconomic var ables hardly do.”