Empirical Evidence on the Stock–Bond Correlation
研究了股票与债券收益相关性的驱动因素，发现通胀、实际利率和政府信用是重要解释变量，相关性上升会增加多资产组合风险和债券风险溢价。
The correlation between stock and bond returns is a cornerstone of asset allocation decisions. History reveals abrupt regime shifts in correlation after long periods of relative stability. We investigate the drivers of the correlation between stocks and bonds and find that inflation, real rates, and government creditworthiness are important explanatory variables. We examine the implications of a shift in the stock–bond correlation and find that increases are associated with higher multi-asset portfolio risk and higher bond risk premia.