Impact of US unconventional monetary policy on dynamic stock-bond correlations: Portfolio rebalancing and signalling channel effects

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dc.contributor.authorGokmenoglu, Korhan K.
dc.contributor.authorHadood, Abobaker Al Al
dc.date.accessioned2026-02-06T18:38:10Z
dc.date.issued2020
dc.departmentDoğu Akdeniz Üniversitesi
dc.description.abstractThis paper investigates the impacts of both the portfolio rebalancing and signalling channel effects associated with US unconventional monetary policy on the dynamic correlation between the stock and bond markets at different levels of stock-bond market correlation distributions. The empirical results reveal that the portfolio rebalancing channel has a strong and predominantly negative effect on the dynamic stock-bond market correlations. In contrast, the signalling channel positively affects the dynamic stock-bond market correlations. The results also provide evidence of an asymmetric effect at the lower quantiles. These findings hence provide valuable information for policymakers, traders and portfolio managers.
dc.identifier.doi10.1016/j.frl.2019.05.003
dc.identifier.issn1544-6123
dc.identifier.issn1544-6131
dc.identifier.orcid0000-0003-4902-2385
dc.identifier.orcid0000-0002-2013-6867
dc.identifier.scopus2-s2.0-85065434783
dc.identifier.scopusqualityQ1
dc.identifier.urihttps://doi.org/10.1016/j.frl.2019.05.003
dc.identifier.urihttps://hdl.handle.net/11129/12796
dc.identifier.volume33
dc.identifier.wosWOS:000536022000020
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherAcademic Press Inc Elsevier Science
dc.relation.ispartofFinance Research Letters
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.snmzKA_WoS_20260204
dc.subjectDynamic stock-bond market correlations
dc.subjectPortfolio rebalancing and signalling channels
dc.subjectQuantile regression
dc.titleImpact of US unconventional monetary policy on dynamic stock-bond correlations: Portfolio rebalancing and signalling channel effects
dc.typeArticle

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