The determinants of stock–bond return correlations
研究了2007至2021年间影响美国股票与债券收益相关性的期权隐含市场风险，发现股市尾部风险和债市不确定性是主要驱动因素，且影响在金融危机前后有所不同。
Abstract I study the options‐implied market risks that affect US stock–bond correlations from 2007 to 2021. I discover that US stock and bond market uncertainty, stock market tail risk, and global credit‐default risk are dominant contributors to changing stock–bond correlations during the global financial crisis (GFC) period. However, these market risks collectively contribute much less to time‐varying correlations in the post‐GFC period. Furthermore, stock–bond correlations rise in times of rising US and global bond market risks. Rising stock market uncertainty raises stock–bond correlations in the GFC period but lowers them in the post‐GFC period. My results disentangle the risks of stock and bond markets and show that equity tail risk, bond market risk, and stock market uncertainty are dominant factors in changing stock–bond diversification benefits in periods of market turmoil.