Correlated Asset Returns under Distinct Inflation Regimes
研究发现，股票与债券的相关性在低通胀时期较弱或略负，但在高通胀时期显著增强，且这一转变主要由中长期债券的久期效应驱动，对依赖国债对冲风险的投资者构成挑战。
Nominal Treasuries do not provide the same diversification benefit in all inflation environments. Long-run US data with empirically estimated inflation thresholds indicate that stock–bond correlations are weak or mildly negative in low-inflation regimes, but become significantly stronger in high-inflation regimes—precisely when investors most rely on Treasuries for protection. The regime shift is strongest at intermediate and long maturities, indicating that the breakdown of diversification is primarily a duration phenomenon rather than a feature of short-term bills. The threshold estimates are data-driven rather than imposed ad hoc, and the regime patterns are supported by both long-run historical evidence and the recent inflation surge. For portfolio managers, the implications are direct: Balanced portfolios should not be treated as regime-invariant, duration exposure should be managed conditionally, and inflation-sensitive hedges become more valuable once inflation rises above the estimated threshold.