The correlation between stock and bond returns, which went from positive in the 1980–1990s to negative in the 2000–2010s, is analysed with a model that simultaneously determines the price of stocks and bonds as dependent on the real interest rate, economic growth and inflation. The analysis finds that the structural reversal of the correlation in the United States and Germany largely depends on the dynamics of inflation, which has gone from counter‐cyclical to pro‐cyclical. In turn, inflation is likely to be pro‐cyclical when it is low or negative and propelled by demand rather than supply shocks. A negative correlation implies that bonds can hedge the risk of stocks when the economy is in poor condition, thus increasing the demand for bonds. However, central‐bank purchases of long‐term bonds have increased the correlation and made portfolio immunization more difficult for investors.

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关于股票债券相关性的风险因素

股票和债券收益之间的相关性从1980-1990年代的正数变为2000-2010年代的负数，并通过模型来分析，该模型同时根据实际利率，经济增长和收益来确定股票和债券的价格。通货膨胀。分析发现，在美国和德国，相关性的结构逆转很大程度上取决于通货膨胀的动态，通货膨胀已从反周期变为亲周期。反过来，当通货膨胀率较低或为负且受需求而非供给冲击推动时，通货膨胀可能是顺周期的。负相关关系意味着当经济状况不佳时，债券可以对冲股票风险，从而增加了对债券的需求。然而，