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Trends in stock-bond correlations

Ohmi, Harumi; Okimoto, Tatsuyoshi

Description

Previous studies document the existence of long-run trends in comovements in the stock and bond markets. Following these findings, this article examines possible trends in stock-bond return correlations. To this end, we introduce a trend component into a smooth transition regression (STR) model including the multiple transition variables of Aslanidis and Christiansen (2012). The results indicate the existence of significant decreasing trends in stock-bond correlations for many advanced safer...[Show more]

CollectionsANU Research Publications
Date published: 2015
Type: Journal article
URI: http://hdl.handle.net/1885/103351
Source: Applied Economics
DOI: 10.1080/00036846.2015.1083088

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