The determinants of stock and bond return comovements

Oktober 2007
Baele, L. / Bekaert, G. / Inghelbrecht, K.

Working Paper N° 119

JEL Klassifikation : 
G11
G12
G14
E43
E44
Schlagwörter: 
factor models
Stock-Bond Return Correlation
macroeconomic factors
new-Keynesian models
structural VAR
Liquidity
Flight-to-Safety
Download Press release