The US stock market leads the federal funds rate and treasury bond yields.
Using a recently introduced method to quantify the time-varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the theory of fixed income: (i) the stock market variations and the yield changes should be anti-correlated...
| Main Authors: | , , , |
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| Format: | Article |
| Sprog: | English |
| Udgivet: |
Public Library of Science (PLoS)
2011-01-01
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| Serier: | PLoS ONE |
| Online adgang: | http://europepmc.org/articles/PMC3154254?pdf=render |