Does fiscal policy matter for stock-bond return correlation?

Journal of Monetary Economics（2022）

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摘要

•Stock-bond return and consumption-inflation correlations switched sign in 2001.•Monetary-fiscal policy interaction explains sign changes of these correlations.•Technology shocks drove the correlations in the monetary regime before 2001.•Investment shocks drove the correlations in the fiscal regime after 2001.

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关键词

Stock-bond return correlation,Consumption-inflation correlation,Fiscal regime,Technology shock,Investment shock

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