Determinants of stock-bond market comovement in the Eurozone under model uncertainty

Autor:	Vasiliki D. Skintzi
Rok vydání:	2019
Předmět:	Economics and Econometrics 050208 finance Investment strategy media_common.quotation_subject Bond 05 social sciences Bayesian inference Interest rate 0502 economics and business Financial crisis Economics Econometrics Bond market Stock market 050207 economics Finance Stock (geology) media_common
Zdroj:	International Review of Financial Analysis. 61:20-28
ISSN:	1057-5219
DOI:	10.1016/j.irfa.2018.12.005
Popis:	This paper examines the dynamic relationship between stock and bond returns in eleven Eurozone countries during the last seventeen years. The literature so far reports heterogeneous results with respect to the important determinants of the stock-bond relationship. To deal with model uncertainty we employ a Bayesian model averaging technique and examine various macroeconomic and financial variables which are likely to influence stock-bond comovement. Bond and stock market uncertainty, interest rate, inflation and state of the economy are important determinants of cross-asset correlations. Divergence in the dynamic patterns of stock-bond comovement as well as on the effect of economic variables on this comovement is reported during crisis periods and between different European regions. Our results are of high relevance for investment strategies as well as for policy decisions in the European context.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::95c4ec2a1747bf07abf7be60be7e79d6 https://doi.org/10.1016/j.irfa.2018.12.005 Zobrazit plný text záznamu Full Text from ScienceDirect