TAILIEUCHUNG - The determinants of stock and bond return comovements

The remainder of this paper proceeds as follows: Section III introduces the Campbell- Shiller dividend-price ratio model and then briefly develops the variant used in my empirical analysis. Section IV provides a description of the data and empirical methodology and lays out the specific predictions of the model. Section V discusses the empirical findings, including tests of the model and hypothesis tests regarding expected inflation’s effect on equity valuations. In section VI, I construct explicit ex ante estimates of expected long-run stock returns. This facilitates a direct analysis of the relation between expected stock and bond returns and expected inflation; it also. | The determinants of stock and bond return comovements by Lieven Baele Geert Bekaert and Koen Inghelbrecht October 2007 No 119 Hl NationalBank OF BELGIUM Eurosystem Editorial Director r ậặĩĩỊÌ M M r _ HHỊỊỊỊỊBỊ Ị H Jan Smets Member of the Board of Directors of the National Bank of Belgium Statement of purpose The purpose of these working papers is to promote the circulation of research results Research Series and analytical studies Documents Series made within the National Bank of Belgium or presented by external economists in seminars conferences and conventions organised by the Bank. The aim is therefore to provide a platform for discussion. The opinions expressed are strictly those of the authors and do not necessarily reflect the views of the National Bank of Belgium. Orders For orders and information on subscriptions and reductions National Bank of Belgium Documentation - Publications service boulevard de Berlaimont 14 1000 Brussels Tel 32 2 221 20 33 - Fax 32 2 21 30 42 The Working Papers are available on the website of the Bank http National Bank of Belgium Brussels All rights reserved. Reproduction for educational and non-commercial purposes is permitted provided that the source is acknowledged. ISSN 1375-680X print ISSN 1784-2476 online NBB WORKING PAPER No. 119 - OCTOBER 2007 Abstract We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We identify the economic factors employing structural and non-structural vector autoregressive models for economic state variables such as interest rates expected inflation output growth and dividend payouts. We also view risk aversion and uncertainty about inflation and output as additional potential factors. Even the best-fitting economic factor model fits the dynamics of stock-bond return correlations poorly. Alternative factors such as liquidity proxies help explain the residual correlations not explained by the economic models. JEL-code G11 G12 .

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