원문정보
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초록
영어
Stock and bond prices move together with greater country-specific risk. Bonds hedge global growth expectation risk with low country-specific risk, resulting in a negative stockbond correlation. However, as country-specific risk increases, bonds do not effectively hedge stocks because higher local growth expectation tends to lower inflation, leading to higher stock and bond prices. Consequently, countries with greater country-specific risk exhibit a higher stock-bond correlation. Investments in countries with a positive stockbond relationship outperform those with a negative relationship by 7–11%. The superior performance is not driven by investments in a fixed set of countries.
목차
ABSTRACT
I. Introduction
II. The model
III. The model
1. Consumption and inflation dynamics
2. Bond yields and currency returns
3. Parameter assumptions
4. SB correlation/beta and country-specific volatility
5. Drivers of stock-bond return dynamics
IV. Data
V. Determinants of stock-bond joint dynamics
1. The relationship between growth and inflation
2. Stock and bond market response to growth and inflation shocks
3. Country-specific volatility and the SB correlation
VI. The cross-section of country stock returns
1. Main empirical result
2. Default risk
3. Cross-sectional regressions
VII. Globalization and SB correlation
VIII. Conclusion
References
Figure
Table
A. Data appendix
B. Technical appendix
C. Additional cross-sectional regressions
I. Introduction
II. The model
III. The model
1. Consumption and inflation dynamics
2. Bond yields and currency returns
3. Parameter assumptions
4. SB correlation/beta and country-specific volatility
5. Drivers of stock-bond return dynamics
IV. Data
V. Determinants of stock-bond joint dynamics
1. The relationship between growth and inflation
2. Stock and bond market response to growth and inflation shocks
3. Country-specific volatility and the SB correlation
VI. The cross-section of country stock returns
1. Main empirical result
2. Default risk
3. Cross-sectional regressions
VII. Globalization and SB correlation
VIII. Conclusion
References
Figure
Table
A. Data appendix
B. Technical appendix
C. Additional cross-sectional regressions
저자정보
참고문헌
자료제공 : 네이버학술정보