Stats › Marchés baissiers et drawdowns › Equity bond correlation
The equity bond correlation flipped from +0.21 to -0.64, and the 2022 number has never been published
The first four rows are quarterly US log bond excess returns against stock excess returns from Campbell, Pflueger and Viceira, Table 5, split at 2001Q1. The last two are 24 month rolling correlations from a Norges Bank note on monthly data from 1961 to 2016 and annual data from 1900 to 2014. No standard errors are reported for any of the six.
One structural study measures the US stock bond correlation at +0.21 before 2001 and -0.64 after it. The same author's post pandemic paper reports only that bond betas rose visibly in late 2022, with no number, no standard error and no break test.
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