Persistence and Long-Run Linkages Between US Stock Market Prices and Bond Yields

Juan Diego Cafferata Salazar, Guglielmo Maria Caporale and Luis Alberiko Gil-Alana

No 12649, CESifo Working Paper Series from CESifo

Abstract: This paper uses fractional integration and cointegration methods to examine the persistence and long-run relationship between the S&P 500 index and the nominal yield to maturity of 10-year US Treasury bonds (GS10) over the period from January 1954 to December 2024. The results indicate that both series are highly persistent and can be characterised as non-stationary processes with an order of integration close to 1. Granger causality tests imply unidirectional causality running from stock prices (S&P 500) to bond yields (GS10). Further, both standard and fractional cointegration tests indicate the existence of a long-run relationship between the two series.

Keywords: persistence; fractional integration; cointegration; stock prices; bond yields (search for similar items in EconPapers)
JEL-codes: C22 C32 E43 G12 (search for similar items in EconPapers)
Date: 2026
New Economics Papers: this item is included in nep-ets and nep-his
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_12649

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