Consumption Growth Persistence and the Stock–Bond Correlation
研究消费增长持续性（CGP）的时变特征如何驱动股票与债券收益的相关性，并发现资产价格波动是CGP变化的主要驱动因素。
Abstract We consider a model in which the correlation between shocks to consumption and to expected future consumption growth is nonzero and varies over time. We validate this assumption empirically using the model’s implication that time variation in consumption growth persistence (CGP) drives the correlation between stock and bond returns. Our model implies that the stock–bond correlation is also related to the predictive relation between bond yields and future stock returns. Finally, we provide suggestive evidence that asset price fluctuations are the primary driver of changes in CGP.