Earticle

초록

영어

Stock and bond prices move together with greater country-specific risk. Bonds hedge global growth expectation risk with low country-specific risk, resulting in a negative stockbond correlation. However, as country-specific risk increases, bonds do not effectively hedge stocks because higher local growth expectation tends to lower inflation, leading to higher stock and bond prices. Consequently, countries with greater country-specific risk exhibit a higher stock-bond correlation. Investments in countries with a positive stockbond relationship outperform those with a negative relationship by 7–11%. The superior performance is not driven by investments in a fixed set of countries.

목차

ABSTRACT
I. Introduction
II. The model
III. The model
1. Consumption and inflation dynamics
2. Bond yields and currency returns
3. Parameter assumptions
4. SB correlation/beta and country-specific volatility
5. Drivers of stock-bond return dynamics
IV. Data
V. Determinants of stock-bond joint dynamics
1. The relationship between growth and inflation
2. Stock and bond market response to growth and inflation shocks
3. Country-specific volatility and the SB correlation
VI. The cross-section of country stock returns
1. Main empirical result
2. Default risk
3. Cross-sectional regressions
VII. Globalization and SB correlation
VIII. Conclusion
References
Figure
Table
A. Data appendix
B. Technical appendix
C. Additional cross-sectional regressions

키워드

저자

• Sungjune Pyun [ Yonsei University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330