Essays about: "bond-stock correlation"

Found 2 essays containing the words bond-stock correlation.

1. 1. In the Core of the Storm: Revisiting Inflation Hedging Properties Within and Across Asset Classes

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Jakub Kacperczyk; Moritz Kornherr; [2023]
   Keywords : Inflation hedging; Inflation risk premium; Inflation forecasting; Bond-Stock Correlation;

   Abstract : The recent surge in inflation has reignited discussions on hedging inflation risks, forming the focal point of this study. In our paper we consider conventional asset classes from 1968 to 2023 as well as alternative assets from 2020 to 2023 and find that no asset class provides a statistically significant hedge against core inflation shocks, while commodities and currencies can hedge headline and energy inflation risk. READ MORE

3. 2. The Correlation Between Treasury Securities and the Stock Market: A Study of Explanatory Variables

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Sandra Svensson; Sebastian Dietzsch; [2009]
   Keywords : Stock market; macroeconomic variables; treasury securities; flight into quality; bond-stock correlation; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : The purpose of the thesis is to retrieve the correlation between treasury securities of different maturities and the stock market and find significant variables to explain this relationship. Correlation time series were retrieved and used as dependent variables in a multivariate regression in order to find significant explanatory variables. READ MORE