The Determinants of Stock and Bond Return Comovements

• 成果类型: Article
• 署名作者: Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen
• 署名单位: Tilburg University; Columbia University; National Bureau of Economic Research; Ghent University; HOGENT University College of Applied Sciences & Arts
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhq014
• 发表日期: 2010
• 页码: 2374
• 关键词: time-series; MARKET VOLATILITY; term structure; bad-news; long-run; liquidity; MODEL; RISK; heteroskedasticity; consumption

摘要

We study the economic sources of stock-bond return comovements and their time variation using a dynamic factor model. We identify the economic factors employing a semistructural regime-switching model for state variables such as interest rates, inflation, the output gap, and cash flow growth. We also view risk aversion, uncertainty about inflation and output, and liquidity proxies as additional potential factors. We find that macroeconomic fundamentals contribute little to explaining stock and bond return correlations but that other factors, especially liquidity proxies, play a more important role. The macro factors are still important in fitting bond return volatility, whereas the variance premium is critical in explaining stock return volatility. However, the factor model primarily fails in fitting covariances.