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• W2317805593 abstract "This paper focuses on the effects of the Fed’s monetary policy on stock and bond returns co-movement and their implications to risk-based asset allocation. Using a regime-switching model that controls for the economic effects of monetary policy we identify three co-movement regimes. We document that risk-based portfolio strategies poorly perform in the low correlation regime which features inflation shocks. We find outperformance evidence under the negative correlation regime with a high stock market risk and a very accommodating Fed policy. Less effectiveness is demonstrated under the positive correlation regime where bonds are regarded as risky assets and interest rate volatility is fueled by monetary policy." @default.
• W2317805593 created "2016-06-24" @default.
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• W2317805593 date "2015-01-01" @default.
• W2317805593 modified "2023-10-03" @default.
• W2317805593 title "Monetary Policy and Risk-Based Asset Allocation" @default.
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• W2317805593 doi "https://doi.org/10.2139/ssrn.2755473" @default.
• W2317805593 hasPublicationYear "2015" @default.
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