کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5091437 1375679 2006 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
International stock-bond correlations in a simple affine asset pricing model
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
International stock-bond correlations in a simple affine asset pricing model
چکیده انگلیسی
We use an affine asset pricing model to jointly value stocks and bonds. This enables us to derive endogenous correlations and to explain how economic fundamentals influence the correlation between stock and bond returns. The presented model is implemented for G7 post-war economies and its in-sample and out-of-sample performance is assessed by comparing the correlations generated by the model with conventional statistical measures. The affine framework developed in this paper is found to generate stock-bond correlations that are in line with empirically observed figures.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 30, Issue 10, October 2006, Pages 2747-2765
نویسندگان
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