Does fiscal policy matter for stock-bond return correlation?
نویسندگان
چکیده
Switching between monetary and fiscal regimes is incorporated in a general-equilibrium model to explain three stylized facts: (1) positive correlation of stock bond returns 1971–2001 negative after 2001, (2) consumption inflation (3) the coexistence risk premium returns. While technology shock drives stock-bond consumption-inflation correlations regime, investment regime.
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ژورنال
عنوان ژورنال: Journal of Monetary Economics
سال: 2022
ISSN: ['0304-3932', '1873-1295']
DOI: https://doi.org/10.1016/j.jmoneco.2022.03.003