Stock–Bond Correlation and Duration Risk Allocation
利用高频数据估计的周度股票-债券相关性，发现该相关性越低（越负），未来几周十年期利率和未来一年一年期利率越可能下降，反之亦然，因此长期负债型投资者应在相关性较低时增加久期风险敞口。
Using weekly stock-bond correlations estimated with highfrequency data, the authors find that a lower (more negative) stock-bond correlation forecasts falling 10-year interest rates over the coming weeks. It also forecasts falling oneyear interest rates over the next year. The reverse is true when the stock-bond correlation is higher (more positive). Therefore investors, in particular those with long-term, bond-like liabilities, should take greater duration risk when the recent stock-bond correlations are lower. The authors propose two possible explanations of such predictive power: (1) the markets and/or policymakers’ underreaction to the changing economic conditions the stock-bond correlation implies; and (2) the markets’ initial underreaction to the long-term bonds’ safe-haven status. <b>TOPICS:</b>In markets, VAR and use of alternative risk measures of trading risk