The Determinants of Stock and Bond Return Comovements
使用动态因子模型研究股票与债券收益联动的经济来源及其随时间的变化，发现宏观经济基本面解释力弱，而流动性代理变量作用更大。
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 semistruc-tural 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 criti-cal in explaining stock return volatility. However, the factor model primarily fails in fitting covariances. Stock and bond returns in the United States display an average correlation of about 19 % during the post-1968 period. Shiller and Beltratti (1992) un-derestimate the empirical correlation using a present value with constant dis-count rates, whereas Bekaert, Engstrom, and Grenadier (2005) overestimate it in a consumption-based asset pricing model with stochastic risk aversion. Yet,