Risk and Policy Uncertainty on Stock–Bond Return Correlations: Evidence from the US Markets
This paper investigates dynamic correlations of stock–bond returns for different stock indices and bond maturities. Evidence in the US shows that stock–bond relations are time-varying and display a negative trend. The stock–bond correlations are negatively correlated with implied volatilities in sto...
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| Format: | Article |
| Language: | English |
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MDPI AG
2020-06-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/8/2/58 |