The determinants of stock and bond return comovements

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

Working Paper N° 119

Classification JEL: 
G11
G12
G14
E43
E44
Mots-clés: 
factor models
Stock-Bond Return Correlation
macroeconomic factors
new-Keynesian models
structural VAR
Liquidity
Flight-to-Safety
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