| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15260 |
| 来源ID | Working Paper 15260 |
| The Determinants of Stock and Bond Return Comovements | |
| Lieven Baele; Geert Bekaert; Koen Inghelbrecht | |
| 发表日期 | 2009-08-13 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We identify the economic factors employing a semi-structural regime-switching model for state variables such as interest rates, inflation, the output gap, and cash flow growth. We also view risk aversion, uncertainty about inflation and output, and liquidity proxies as additional potential factors. We find that macro-economic fundamentals contribute little to explaining stock and bond return correlations, but that other factors, especially liquidity proxies, play a more important role. The macro factors are still important in fitting bond return volatility; whereas the "variance premium" is critical in explaining stock return volatility. However, the factor model primarily fails in fitting covariances. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w15260 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572935 |
| 推荐引用方式 GB/T 7714 | Lieven Baele,Geert Bekaert,Koen Inghelbrecht. The Determinants of Stock and Bond Return Comovements. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15260.pdf（432KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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