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The determinants of stock and bond return comovements

Author: Lieven Baele; Geert Bekaert; Koen Inghelbrecht; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, ©2009.
Series: Working paper series (National Bureau of Economic Research), no. 15260.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Lieven Baele; Geert Bekaert; Koen Inghelbrecht; National Bureau of Economic Research.
OCLC Number: 430930582
Notes: "August 2009."
Description: 1 online resource (57 pages) : illustrations, digital.
Series Title: Working paper series (National Bureau of Economic Research), no. 15260.
Responsibility: Lieven Baele, Geert Bekaert, Koen Inghelbrecht.

Abstract:

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.

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