Greg Duffee (Johns Hopkins)

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Greg Duffee


A seminar by Greg Duffee from Johns Hopkins University

Title: Expected inflation, real rates, and stock-bond comovement

Abstract: This paper documents that the correlation between quarterly excess stock returns and contemporaneous changes in short-term real rates varies widely over the 1969–2017 period. The variation aligns with the well-known variation in the correlation between stock returns and changes in long-term nominal bonds. Stock returns and changes in real rates are projected on survey-based news about the macroeconomy, producing macro-spanned stock returns and real-rate changes, as well as residuals. The variation over time in stock returns–real rate comovement is entirely driven by the covariances of residual components. The covariances of the macro-spanned components are positive and stable over time. This result casts considerable doubt on attempts to explain time-varying comovement with time-varying macroeconomic dynamics.

Start date:

11am Monday, 1 Jul 2019

End date:

12.30pm Monday, 1 Jul 2019


Allan Barton Forum


Greg Duffee

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