Dynamics of bond and stock returns

• 成果类型: Article
• 署名作者: Kozak, Serhiy
• 署名单位: University System of Maryland; University of Maryland College Park
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2021.12.004
• 发表日期: 2022
• 页码: 188-209
• 关键词: Bond-stock correlation; risk premia; general equilibrium

摘要

A production-based equilibrium model jointly prices bond and stock returns and produces time-varying correlation between stock and real treasury returns that changes in both magnitude and sign. The term premium is time-varying and changes sign. The model incorporates time-varying risk aversion and two physical technologies with different cash-flow risks. Bonds hedge risk-aversion shocks and command negative term premium through this channel. Cash-flow shocks produce co-movement of bond and stock returns and positive term premium. Relative strength of these two mechanisms varies over time. The correlation is a powerful predictor of relative bond-stock and long-short equity returns in the data. (C) 2021 Elsevier B.V. All rights reserved.