Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/314706 
Year of Publication: 
2025
Series/Report no.: 
CESifo Working Paper No. 11667
Publisher: 
CESifo GmbH, Munich
Abstract: 
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.
Subjects: 
stock returns
sovereign bond returns
stock-bond relationship
cross-quantilogram
volatility transmission
US
Germany
monetary policy shocks
fiscal stance
JEL: 
C32
F21
F37
F42
Document Type: 
Working Paper
Appears in Collections:

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.