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Statistikk › Bjørnemarkeder og drawdowns › Equity bond correlation

The equity bond correlation flipped from +0.21 to -0.64, and the 2022 number has never been published

Measured, 1979Q3 to 2001Q1
0.21
Measured, 2001Q2 to 2011Q4
-0.64
Model implied, first period
0.50
Model implied, second period
-0.72
Long sample average, 1900 to 2014
0.05
Rolling average, after 2000
-0.27

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.

+0.21US quarterly stock bond correlation, 1979Q3 to 2001Q1
-0.64The same, 2001Q2 to 2011Q4
-27%Average 24 month rolling correlation, after 2000
+5%Average over 1900 to 2014

Kun for medlemmer

Resten av denne siden er for medlemmer

Below this point there are 5 sections and 3 named sources, roughly 600 words of it. Every figure carries the source it came from and the date the data is from.

Du kan fortsette å se på all statistikk i biblioteket gratis. Innledningen og sammendraget er alltid åpne.