Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/258011
Year of Publication: 
2020
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 8 [Issue:] 2 [Article No.:] 58 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-16
Publisher: 
MDPI, Basel
Abstract: 
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 stock and bond markets. Tests show that stock-bond relations are positively correlated with economic policy uncertainty, however, are negatively correlated with the monetary policy and fiscal policy uncertainties. Correlation coefficients between stock and bond returns are positively related to total policy uncertainty for returns of the Dow-Jones Industrial Average (DJIA) and the S&P 500 Value stock index (VALUE), but negatively correlated with returns of S&P500 (Total market), the NASDAQ Composite Index (NASDAQ), and the RUSSELL 2000 (RUSSELL).
Subjects: 
stock-bond correlation
VIX
economic policy uncertainty
monetary policy uncertainty
fiscal policy uncertainty
JEL: 
C12
C13
G10
G11
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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