Daily Archives: Feb 9, 2024 at 07:26 am EST

Research Review | 9 February 2024 | Cross Market Analytics

A Changing Stock-Bond Correlation: Explaining Short-term Fluctuations
Garth Flannery (BlueCove) and Daniel Bergstresser (Brandeis Intl Business School)
December 2023
This paper builds on a framework that uses macroeconomic drivers to explain long-term variation in the correlation between stocks and bonds. The existing work focuses on the relative volatility of growth and inflation and the correlation between them and explains about 70 percent of the variation in rolling 10-year stock-bond correlation. We focus on forecasting short-term variation in stock-bond correlation with measures that capture the extent to which individual forecasters’ predictions about those markets have the same sign or opposing signs. Our framework enhances stock-bond correlation forecasting at tactical horizons, which we define here as the next three months.

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Macro Briefing: 9 February 2024

* OpenAI’s Sam Altman seeks to raise trillions of dollars to reshape chip industry
* China’s real estate crisis is starting to spill across borders
* Economists debate outlook for China’s economy
* Emerging markets have been surprisingly resilient despite rising interest rates
* Nuclear fusion project achieves world record in generating energy
* US jobless claims remain near lowest level in decades:

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