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Bond-Stock Comovements

https://doi.org/10.2139/ssrn.5575599
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Discretion versus policy rules in practice
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Staggered prices in a utility-maximizing framework
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Simple and Robust Rules for Monetary Policy
inferredcites →https://doi.org/10.1016/j.ijforecast.2011.02.018openalex-snapshot
Bond risk, bond return volatility, and the term structure of interest rates
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Risk, uncertainty, and asset prices
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Macroeconomic linkages between monetary policy and the term structure of interest rates
inferredcites →https://doi.org/10.1016/j.jfineco.2021.03.011openalex-snapshot
Macro risks and the term structure of interest rates
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Treasury inconvenience yields during the COVID-19 crisis
inferredcites →https://doi.org/10.1016/j.jfineco.2021.06.008openalex-snapshot
Common shocks in stocks and bonds
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Why does the Fed move markets so much? A model of monetary policy and time-varying risk aversion
inferredcites →https://doi.org/10.1016/j.jfineco.2025.104027openalex-snapshot
Back to the 1980s or not? The drivers of inflation and real risks in Treasury bonds
inferredcites →https://doi.org/10.1016/j.jmoneco.2007.06.029openalex-snapshot
The U.S. Treasury yield curve: 1961 to the present
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Examining the bond premium puzzle with a DSGE model
inferredcites →https://doi.org/10.1016/j.jmoneco.2021.12.004openalex-snapshot
Dynamics of bond and stock returns
inferredcites →https://doi.org/10.1016/j.jmoneco.2022.03.003openalex-snapshot
Does fiscal policy matter for stock-bond return correlation?
inferredcites →https://doi.org/10.1016/s0304-3932(97)00078-0openalex-snapshot
Asset pricing in production economies
inferredcites →https://doi.org/10.1086/250059openalex-snapshot
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
inferredcites →https://doi.org/10.1086/426042openalex-snapshot
Consumption Risk and the Cross Section of Expected Returns
inferredcites →https://doi.org/10.1086/660817openalex-snapshot
Determinacy and Identification with Taylor Rules
inferredcites →https://doi.org/10.1086/666526openalex-snapshot
The Aggregate Demand for Treasury Debt
inferredcites →https://doi.org/10.1086/671799openalex-snapshot
What Ties Return Volatilities to Price Valuations and Fundamentals?
inferredcites →https://doi.org/10.1086/696050openalex-snapshot
Michelson-Morley, Fisher, and Occam: The Radical Implications of Stable Quiet Inflation at the Zero Bound
inferredcites →https://doi.org/10.1086/707766openalex-snapshot
Macroeconomic Drivers of Bond and Equity Risks
inferredcites →https://doi.org/10.1086/727713openalex-snapshot
Belief Overreaction and Stock Market Puzzles
inferredcites →https://doi.org/10.1086/ma.21.25554958openalex-snapshot
Equilibrium Yield Curves [with Comments and Discussion]
inferredcites →https://doi.org/10.1093/qje/qjaa009openalex-snapshot
Financial Market Risk Perceptions and the Macroeconomy*
inferredcites →https://doi.org/10.1093/qje/qjae021openalex-snapshot
Perceptions About Monetary Policy
inferredcites →https://doi.org/10.1093/qje/qjy004openalex-snapshot
High Frequency Identification of Monetary Non-Neutrality: The Information Effect
inferredcites →https://doi.org/10.1093/restud/rdad108openalex-snapshot
Dollar Safety and the Global Financial Cycle
inferredcites →https://doi.org/10.1093/restud/rdx035openalex-snapshot
Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle
inferredcites →https://doi.org/10.1093/rfs/1.3.195openalex-snapshot
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
inferredcites →https://doi.org/10.1093/rfs/hhq014openalex-snapshot
The Determinants of Stock and Bond Return Comovements
inferredcites →https://doi.org/10.1093/rfs/hhs108openalex-snapshot
A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets
inferredcites →https://doi.org/10.1093/rfs/hhx039openalex-snapshot
Bond Market Exposures to Macroeconomic and Monetary Policy Risks
inferredcites →https://doi.org/10.1093/rfs/hhy008openalex-snapshot
Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility
inferredcites →https://doi.org/10.1093/rof/rfx010openalex-snapshot
Macro-Finance
inferredcites →https://doi.org/10.1111/0022-1082.00260openalex-snapshot
Asset Pricing at the Millennium
inferredcites →https://doi.org/10.1111/1467-937x.00270openalex-snapshot
Optimal Interest-Rate Smoothing
inferredcites →https://doi.org/10.1111/1468-0262.00179openalex-snapshot
Long-Term Debt and Optimal Policy in the Fiscal Theory of the Price Level
inferredcites →https://doi.org/10.1111/j.1468-0262.2005.00643.xopenalex-snapshot
Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00670.xopenalex-snapshot
Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
inferredcites →https://doi.org/10.1111/j.1540-6261.2005.00760.xopenalex-snapshot
What Explains the Stock Market's Reaction to Federal Reserve Policy?
inferredcites →https://doi.org/10.1111/jmcb.12130openalex-snapshot
Bond Pricing with a Time‐Varying Price of Risk in an Estimated Medium‐Scale Bayesian DSGE Model
inferredcites →https://doi.org/10.1111/jofi.12437openalex-snapshot
Valuation Risk and Asset Pricing
inferredcites →https://doi.org/10.1111/jofi.12614openalex-snapshot
The Fed, the Bond Market, and Gradualism in Monetary Policy
inferredcites →https://doi.org/10.1111/jofi.12620openalex-snapshot
Deviations from Covered Interest Rate Parity
inferredcites →https://doi.org/10.1111/jofi.12700openalex-snapshot
Expected Inflation and Other Determinants of Treasury Yields
inferredcites →https://doi.org/10.1111/jofi.12965openalex-snapshot
Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy
inferredcites →https://doi.org/10.1111/jofi.13086openalex-snapshot
Do Intermediaries Matter for Aggregate Asset Prices?
inferredcites →https://doi.org/10.1111/jofi.13107openalex-snapshot
Monetary Policy and Asset Valuation
inferredcites →https://doi.org/10.1111/jofi.13218openalex-snapshot
Macroeconomic News in Asset Pricing and Reality
inferredcites →https://doi.org/10.1111/jofi.13258openalex-snapshot
Retail Financial Innovation and Stock Market Dynamics: The Case of Target Date Funds
inferredcites →https://doi.org/10.1146/annurev-financial-110921-104726openalex-snapshot
Inflation and Asset Returns
inferredcites →https://doi.org/10.1162/003355300554692openalex-snapshot
Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
inferredcites →https://doi.org/10.1162/003355302320935034openalex-snapshot
Sticky Information versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve
inferredcites →https://doi.org/10.1257/000282803321947380openalex-snapshot
Consumption Risk and Expected Stock Returns
inferredcites →https://doi.org/10.1257/0002828041301533openalex-snapshot
Inflation Illusion and Stock Prices
inferredcites →https://doi.org/10.1257/aer.102.4.1663openalex-snapshot
Risk Aversion and the Labor Margin in Dynamic Equilibrium Models
inferredcites →https://doi.org/10.1257/aer.102.6.2734openalex-snapshot
Disaster Risk and Business Cycles
inferredcites →https://doi.org/10.1257/aer.103.2.732openalex-snapshot
Intermediary Asset Pricing
inferredcites →https://doi.org/10.1257/aer.20131193openalex-snapshot
Measuring Uncertainty
inferredcites →https://doi.org/10.1257/aer.20201220openalex-snapshot
An Alternative Explanation for the “Fed Information Effect”
inferredcites →https://doi.org/10.1257/aer.20210271openalex-snapshot
Monetary Policy with Opinionated Markets
inferredcites →https://doi.org/10.1257/aer.20211319openalex-snapshot
The Flight to Safety and International Risk Sharing
inferredcites →https://doi.org/10.1257/aer.90.3.367openalex-snapshot
Habit Formation in Consumption and Its Implications for Monetary-Policy Models
inferredcites →https://doi.org/10.1257/aer.96.4.1293openalex-snapshot
Stock Prices, News, and Economic Fluctuations
inferredcites →https://doi.org/10.1257/aer.97.2.239openalex-snapshot
Explaining Asset Prices with External Habits and Wage Rigidities in a DSGE Model
inferredcites →https://doi.org/10.1257/aer.97.3.586openalex-snapshot
Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach
inferredcites →https://doi.org/10.1257/jel.37.4.1661openalex-snapshot
The Science of Monetary Policy: A New Keynesian Perspective
inferredcites →https://doi.org/10.1287/mnsc.2022.4335openalex-snapshot
The Real Response to Uncertainty Shocks: The Risk Premium Channel
inferredcites →https://doi.org/10.1353/eca.0.0045openalex-snapshot
Understanding Inflation-Indexed Bond Markets
inferredcites →https://doi.org/10.1515/9781400830213openalex-snapshot
The Econometrics of Financial Markets
inferredcites →https://doi.org/10.1561/104.00000043openalex-snapshot
Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
inferredcites →https://doi.org/10.2307/1884178openalex-snapshot
Bond and Stock Returns in a Simple Exchange Model
inferredcites →https://doi.org/10.2307/2534702openalex-snapshot
Systematic Monetary Policy and the Effects of Oil Price Shocks
inferredcites →https://doi.org/10.2307/2953698openalex-snapshot
The (Un)Importance of Forward-Looking Behavior in Price Specifications
inferredcites →https://doi.org/10.2469/faj.v35.n2.24openalex-snapshot
Inflation, Rational Valuation and the Market
inferredcites →https://doi.org/10.3982/ecta17440openalex-snapshot
Corrigendum: a preferred-habitat model of the term structure of interest rates (Econometrica, (2021), 89, 1, (77-112), 10.3982/ECTA17440)
inferredcites →https://doi.org/10.3982/ecta20497openalex-snapshot
The U.S. Public Debt Valuation Puzzle
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