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英文文献：Sign and Quantiles of the Realized Stock-Bond Correlation-已实现的股票-债券相关性的符号和分位数
英文文献作者：Nektarios Aslanidis,Charlotte Christiansen
英文文献摘要：
We scrutinize the monthly realized stock-bond correlation based upon high frequency returns. In particular, we use a probit model to track the dynamics of the sign of the correlation relative to its various economic forces. The sign is predictable to a large extent with bond market liquidity being the most important variable. Moreover, stock market volatility, inflation uncertainty, short rate volatility, and bond volatility have significant effects upon the sign. In addition, we use quantile regressions to pin down the systematic variation of the extreme tails of the realized stock-bond correlation over its economic determinants. We document that the correlation behaves di¤erently when it is large negative (0.10 quantile) as opposed to when it is large positive (0.90 quantile). Nevertheless, the empirical findings are only partially robust to using other, possibly less precise, measures of the stock-bond correlation.
我们仔细研究每月实现的股票-债券相关性基于高频回报。特别地，我们使用probit模型来跟踪与各种经济力量相关的动态标志。这个信号在很大程度上是可预测的，而债券市场的流动性是最重要的变量。此外，股票市场波动、通货膨胀不确定性、短期利率波动和债券波动对标志有显著影响。此外，我们使用分位数回归来确定已实现的股票-债券相关性在其经济决定因素上的极端尾部的系统变化。我们证明相关性在大的负(0.10分位数)和大的正(0.90分位数)时表现得比较频繁。然而，使用其他可能不那么精确的股票-债券相关性衡量方法，实证结果只是部分稳健。
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