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The determinants of stock and bond return comovements
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The determinants of stock and bond return comovements
The determinants of stock and bond return comovements
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October 2007
Baele, L.
/
Bekaert, G.
/
Inghelbrecht, K.
Working Paper N° 119
JEL classification:
G11
G12
G14
E43
E44
Keywords:
factor models
Stock-Bond Return Correlation
macroeconomic factors
new-Keynesian models
structural VAR
Liquidity
Flight-to-Safety
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