The Determinants of Stock and Bond Return Comovements
The Determinants of Stock and Bond Return Comovements
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DOI：
10.1093/rfs/hhq014
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发表时间：
2010-06-01
影响因子：
8.2
通讯作者：
Inghelbrecht, Koen
中科院分区：
文献类型：
--
作者：
Baele, Lieven;Bekaert, Geert;Inghelbrecht, Koen
本文利用动态因子模型研究了股票债券收益变动的经济来源及其时间变化。我们对利率、通货膨胀、产出缺口和现金流增长等状态变量使用半结构制度转换模型来识别经济因素。我们还将风险厌恶、通胀和产出的不确定性，以及流动性指标视为额外的潜在因素。我们发现，宏观经济基本面因素对股票和债券收益率相关性的解释作用不大，但其他因素，特别是流动性指标，起到了更重要的作用。宏观因素在拟合债券收益波动方面仍然很重要，而“方差溢价”在解释股票收益波动方面起着关键作用。然而，因子模型基本上不能拟合协方差。
We study the economic sources of stock-bond return comovements and their time variation using a dynamic factor model. We identify the economic factors employing a semistructural regime-switching model for state variables such as interest rates, inflation, the output gap, and cash flow growth. We also view risk aversion, uncertainty about inflation and output, and liquidity proxies as additional potential factors. We find that macroeconomic fundamentals contribute little to explaining stock and bond return correlations but that other factors, especially liquidity proxies, play a more important role. The macro factors are still important in fitting bond return volatility, whereas the "variance premium" is critical in explaining stock return volatility. However, the factor model primarily fails in fitting covariances.