The Determinants of Stock and Bond Return Comovements
收藏NBER2009-08-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w15260
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资源简介：
We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We identify the economic factors employing a semi-structural regime-switching model for state variables such as interest rates, inflation, the output gap, and cash flow growth. We also
提供机构：
美国国家经济研究局
创建时间：
2009-08-01
