Does fiscal policy matter for stock-bond return correlation?

• 成果类型: Article
• 署名作者: Li, Erica X. N.; Zha, Tao; Zhang, Ji; Zhou, Hao
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Emory University; National Bureau of Economic Research; Tsinghua University; Southern University of Science & Technology
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2022.03.003
• 发表日期: 2022
• 页码: 20-34
• 关键词: Stock-bond return correlation; Consumption-inflation correlation; Fiscal regime; Technology shock; Investment shock

摘要

Switching between monetary and fiscal regimes is incorporated in a general-equilibrium model to explain three stylized facts: (1) a positive correlation of stock and bond returns in 1971-2001 and a negative correlation after 2001, (2) a negative correlation of consumption and inflation in 1971-2001 and a positive correlation after 2001, and (3) the coexistence of a positive bond risk premium and a negative correlation of stock and bond returns. While the technology shock drives the positive stock-bond and negative consumption-inflation correlations in the monetary regime, the investment shock drives the negative stock-bond and positive consumption-inflation correlations in the fiscal regime. (C) 2022 Elsevier B.V. All rights reserved.