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Erscheinungsjahr: 
2025
Schriftenreihe/Nr.: 
CESifo Working Paper No. 11667
Verlag: 
CESifo GmbH, Munich
Zusammenfassung: 
We employ a cross-quantilogram approach to assess relationships between quantiles of stock returns and sovereign yields, in the U.S. and Germany, in the period 1990-2024. Specifically, we focus on the lowest 5% quantile of stock returns and the highest 5% quantile of bond returns, providing insights into tail dependencies, crucial during market downturns and periods of heightened volatility. We also measure causality in volatilities extending well-known approaches analyzing volatility transmission. We find significant cross-market relationships between U.S. and German stock and bond markets, influenced by economic crises, macroeconomic dynamics, and monetary policy interventions, and financial stress play a crucial role.
Schlagwörter: 
stock returns
sovereign bond returns
stock-bond relationship
cross-quantilogram
volatility transmission
US
Germany
monetary policy shocks
fiscal stance
JEL: 
C32
F21
F37
F42
Dokumentart: 
Working Paper
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