Stocks and bonds during the gold standard
David Le Bris and
Economics Letters, 2017, vol. 159, issue C, 119-122
This article assesses the dynamic stock-bond correlations in the absence of inflation by studying the French market during the Gold Standard. We find that the correlation was higher than what is currently observed, and negatively affected by interest rate volatility.
Keywords: Stock-bond correlation; AG DCC GARCH model; Inflation; Paris bourse (search for similar items in EconPapers)
JEL-codes: G11 G14 N23 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:159:y:2017:i:c:p:119-122
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