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How do bond, equity and commodity cycles interact?
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DOI：10.1016/j.frl.2016.11.005.png)
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We address bond, equity, gold as well as oil markets, and examine their lagged interactions including market volatility and consumer prices. Apart from considering returns, we also address the cyclic component of price levels. Study of the monthly lag structure during January 1950 to June 2015 reveals: (i) U.S. cycles and returns show a consistent pattern of predictability, (ii) the bond-equity interaction has self-enforcing and dampening dynamic components, (iii) equity prices negatively react to shocks in uncertainty and slowly build a positive risk premium, (iv) lagged cross-market pricing transmission occurs from gold to bonds to oil and finally to inflation. (C) 2016 Elsevier Inc. All rights reserved.
Keyword:
Asset pricing
Cross-market dependence
Granger causality
Financial cycles
Time-varying risk premium
Commodity markets
Gold
Oil
Market volatility
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