The behaviour of the equity yield and its relation with the bond yield : the role of inflation

Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers and those engaged in modelling the interaction between asset classes. During the mid-1900s, the equity yield-which was previously greater than the bond yield-declined, while the bon...
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Autor*in:	McMillan, David G. [verfasserIn]

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	December 2018

Übergeordnetes Werk:	Enthalten in: International Journal of Financial Studies - Basel : MDPI, 2013, Bd. 6 (2018), 4 (Dec.), Artikelnr.99, Seite 1-18
Übergeordnetes Werk:	volume:6 ; year:2018 ; number:4 ; month:12 ; pages:1-18

Links:	Volltext Volltext Volltext Terms of use

DOI / URN:	10.3390/ijfs6040099

Katalog-ID:	1048639282

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520			\|a Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers and those engaged in modelling the interaction between asset classes. During the mid-1900s, the equity yield-which was previously greater than the bond yield-declined, while the bond yield rose and became higher. Research, seeking to understand this, put forward the view that stock and bond return volatility is key. Evidence from the 2000s suggest that the relative values of the equity and bond yield have flipped again, with the former now greater. Empirical evidence presented here shows that during such periods, the hypothesised relation between the equity yield and the bond yield and the two volatilities also changes, with the signs reversed. Moreover, there is noticeable variation in the coefficient values. This paper argues that the relative equity and bond yield values are, to a large extent, driven by inflation volatility. High inflation volatility persisted during the first half of the twentieth century when the equity yield was higher. This was followed by more benign inflation volatility when the bond yield became higher. Evidence for a long span of US data, and shorter German, Japanese, and UK data, suggests the recent rise in the equity yield is accompanied by an uptick in inflation volatility relative to its recent tranquillity.
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allfields	10.3390/ijfs6040099 doi 10419/195739 hdl (DE-627)1048639282 (DE-599)GBV1048639282 DE-627 ger DE-627 rda eng C22 G12 jelc McMillan, David G. verfasserin (DE-588)171741447 (DE-627)061980714 (DE-576)132512238 aut The behaviour of the equity yield and its relation with the bond yield the role of inflation David G. McMillan December 2018 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers and those engaged in modelling the interaction between asset classes. During the mid-1900s, the equity yield-which was previously greater than the bond yield-declined, while the bond yield rose and became higher. Research, seeking to understand this, put forward the view that stock and bond return volatility is key. Evidence from the 2000s suggest that the relative values of the equity and bond yield have flipped again, with the former now greater. Empirical evidence presented here shows that during such periods, the hypothesised relation between the equity yield and the bond yield and the two volatilities also changes, with the signs reversed. Moreover, there is noticeable variation in the coefficient values. This paper argues that the relative equity and bond yield values are, to a large extent, driven by inflation volatility. High inflation volatility persisted during the first half of the twentieth century when the equity yield was higher. This was followed by more benign inflation volatility when the bond yield became higher. Evidence for a long span of US data, and shorter German, Japanese, and UK data, suggests the recent rise in the equity yield is accompanied by an uptick in inflation volatility relative to its recent tranquillity. Enthalten in International Journal of Financial Studies Basel : MDPI, 2013 Bd. 6 (2018), 4 (Dec.), Artikelnr.99, Seite 1-18 Online-Ressource (DE-627)737287705 (DE-600)2704235-2 (DE-576)379466791 2227-7072 nnns volume:6 year:2018 number:4 month:12 pages:1-18 http://hdl.handle.net/10419/195739 Resolving-System kostenfrei Volltext https://doi.org/10.3390/ijfs6040099 Resolving-System kostenfrei Volltext https://www.mdpi.com/2227-7072/6/4/99/pdf Verlag kostenfrei Volltext http://creativecommons.org/licenses/by/4.0/ Verlag Terms of use 46 GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 zbwolc20190228 AR 6 2018 4 12 1-18 Bd. 6 (2018), 4 (Dec.), Artikelnr.99, Seite 1-18 26 01 0206 1847737560 x1k 07-02-19 26 00 DE-206 56 equity yield 26 00 DE-206 56 bond yield 26 00 DE-206 56 volatility 26 00 DE-206 56 time-variation 26 00 DE-206 56 inflation
spelling	10.3390/ijfs6040099 doi 10419/195739 hdl (DE-627)1048639282 (DE-599)GBV1048639282 DE-627 ger DE-627 rda eng C22 G12 jelc McMillan, David G. verfasserin (DE-588)171741447 (DE-627)061980714 (DE-576)132512238 aut The behaviour of the equity yield and its relation with the bond yield the role of inflation David G. McMillan December 2018 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers and those engaged in modelling the interaction between asset classes. During the mid-1900s, the equity yield-which was previously greater than the bond yield-declined, while the bond yield rose and became higher. Research, seeking to understand this, put forward the view that stock and bond return volatility is key. Evidence from the 2000s suggest that the relative values of the equity and bond yield have flipped again, with the former now greater. Empirical evidence presented here shows that during such periods, the hypothesised relation between the equity yield and the bond yield and the two volatilities also changes, with the signs reversed. Moreover, there is noticeable variation in the coefficient values. This paper argues that the relative equity and bond yield values are, to a large extent, driven by inflation volatility. High inflation volatility persisted during the first half of the twentieth century when the equity yield was higher. This was followed by more benign inflation volatility when the bond yield became higher. Evidence for a long span of US data, and shorter German, Japanese, and UK data, suggests the recent rise in the equity yield is accompanied by an uptick in inflation volatility relative to its recent tranquillity. Enthalten in International Journal of Financial Studies Basel : MDPI, 2013 Bd. 6 (2018), 4 (Dec.), Artikelnr.99, Seite 1-18 Online-Ressource (DE-627)737287705 (DE-600)2704235-2 (DE-576)379466791 2227-7072 nnns volume:6 year:2018 number:4 month:12 pages:1-18 http://hdl.handle.net/10419/195739 Resolving-System kostenfrei Volltext https://doi.org/10.3390/ijfs6040099 Resolving-System kostenfrei Volltext https://www.mdpi.com/2227-7072/6/4/99/pdf Verlag kostenfrei Volltext http://creativecommons.org/licenses/by/4.0/ Verlag Terms of use 46 GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 zbwolc20190228 AR 6 2018 4 12 1-18 Bd. 6 (2018), 4 (Dec.), Artikelnr.99, Seite 1-18 26 01 0206 1847737560 x1k 07-02-19 26 00 DE-206 56 equity yield 26 00 DE-206 56 bond yield 26 00 DE-206 56 volatility 26 00 DE-206 56 time-variation 26 00 DE-206 56 inflation
allfields_unstemmed	10.3390/ijfs6040099 doi 10419/195739 hdl (DE-627)1048639282 (DE-599)GBV1048639282 DE-627 ger DE-627 rda eng C22 G12 jelc McMillan, David G. verfasserin (DE-588)171741447 (DE-627)061980714 (DE-576)132512238 aut The behaviour of the equity yield and its relation with the bond yield the role of inflation David G. McMillan December 2018 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers and those engaged in modelling the interaction between asset classes. During the mid-1900s, the equity yield-which was previously greater than the bond yield-declined, while the bond yield rose and became higher. Research, seeking to understand this, put forward the view that stock and bond return volatility is key. Evidence from the 2000s suggest that the relative values of the equity and bond yield have flipped again, with the former now greater. Empirical evidence presented here shows that during such periods, the hypothesised relation between the equity yield and the bond yield and the two volatilities also changes, with the signs reversed. Moreover, there is noticeable variation in the coefficient values. This paper argues that the relative equity and bond yield values are, to a large extent, driven by inflation volatility. High inflation volatility persisted during the first half of the twentieth century when the equity yield was higher. This was followed by more benign inflation volatility when the bond yield became higher. Evidence for a long span of US data, and shorter German, Japanese, and UK data, suggests the recent rise in the equity yield is accompanied by an uptick in inflation volatility relative to its recent tranquillity. Enthalten in International Journal of Financial Studies Basel : MDPI, 2013 Bd. 6 (2018), 4 (Dec.), Artikelnr.99, Seite 1-18 Online-Ressource (DE-627)737287705 (DE-600)2704235-2 (DE-576)379466791 2227-7072 nnns volume:6 year:2018 number:4 month:12 pages:1-18 http://hdl.handle.net/10419/195739 Resolving-System kostenfrei Volltext https://doi.org/10.3390/ijfs6040099 Resolving-System kostenfrei Volltext https://www.mdpi.com/2227-7072/6/4/99/pdf Verlag kostenfrei Volltext http://creativecommons.org/licenses/by/4.0/ Verlag Terms of use 46 GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 zbwolc20190228 AR 6 2018 4 12 1-18 Bd. 6 (2018), 4 (Dec.), Artikelnr.99, Seite 1-18 26 01 0206 1847737560 x1k 07-02-19 26 00 DE-206 56 equity yield 26 00 DE-206 56 bond yield 26 00 DE-206 56 volatility 26 00 DE-206 56 time-variation 26 00 DE-206 56 inflation
allfieldsGer	10.3390/ijfs6040099 doi 10419/195739 hdl (DE-627)1048639282 (DE-599)GBV1048639282 DE-627 ger DE-627 rda eng C22 G12 jelc McMillan, David G. verfasserin (DE-588)171741447 (DE-627)061980714 (DE-576)132512238 aut The behaviour of the equity yield and its relation with the bond yield the role of inflation David G. McMillan December 2018 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers and those engaged in modelling the interaction between asset classes. During the mid-1900s, the equity yield-which was previously greater than the bond yield-declined, while the bond yield rose and became higher. Research, seeking to understand this, put forward the view that stock and bond return volatility is key. Evidence from the 2000s suggest that the relative values of the equity and bond yield have flipped again, with the former now greater. Empirical evidence presented here shows that during such periods, the hypothesised relation between the equity yield and the bond yield and the two volatilities also changes, with the signs reversed. Moreover, there is noticeable variation in the coefficient values. This paper argues that the relative equity and bond yield values are, to a large extent, driven by inflation volatility. High inflation volatility persisted during the first half of the twentieth century when the equity yield was higher. This was followed by more benign inflation volatility when the bond yield became higher. Evidence for a long span of US data, and shorter German, Japanese, and UK data, suggests the recent rise in the equity yield is accompanied by an uptick in inflation volatility relative to its recent tranquillity. Enthalten in International Journal of Financial Studies Basel : MDPI, 2013 Bd. 6 (2018), 4 (Dec.), Artikelnr.99, Seite 1-18 Online-Ressource (DE-627)737287705 (DE-600)2704235-2 (DE-576)379466791 2227-7072 nnns volume:6 year:2018 number:4 month:12 pages:1-18 http://hdl.handle.net/10419/195739 Resolving-System kostenfrei Volltext https://doi.org/10.3390/ijfs6040099 Resolving-System kostenfrei Volltext https://www.mdpi.com/2227-7072/6/4/99/pdf Verlag kostenfrei Volltext http://creativecommons.org/licenses/by/4.0/ Verlag Terms of use 46 GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 zbwolc20190228 AR 6 2018 4 12 1-18 Bd. 6 (2018), 4 (Dec.), Artikelnr.99, Seite 1-18 26 01 0206 1847737560 x1k 07-02-19 26 00 DE-206 56 equity yield 26 00 DE-206 56 bond yield 26 00 DE-206 56 volatility 26 00 DE-206 56 time-variation 26 00 DE-206 56 inflation
allfieldsSound	10.3390/ijfs6040099 doi 10419/195739 hdl (DE-627)1048639282 (DE-599)GBV1048639282 DE-627 ger DE-627 rda eng C22 G12 jelc McMillan, David G. verfasserin (DE-588)171741447 (DE-627)061980714 (DE-576)132512238 aut The behaviour of the equity yield and its relation with the bond yield the role of inflation David G. McMillan December 2018 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers and those engaged in modelling the interaction between asset classes. During the mid-1900s, the equity yield-which was previously greater than the bond yield-declined, while the bond yield rose and became higher. Research, seeking to understand this, put forward the view that stock and bond return volatility is key. Evidence from the 2000s suggest that the relative values of the equity and bond yield have flipped again, with the former now greater. Empirical evidence presented here shows that during such periods, the hypothesised relation between the equity yield and the bond yield and the two volatilities also changes, with the signs reversed. Moreover, there is noticeable variation in the coefficient values. This paper argues that the relative equity and bond yield values are, to a large extent, driven by inflation volatility. High inflation volatility persisted during the first half of the twentieth century when the equity yield was higher. This was followed by more benign inflation volatility when the bond yield became higher. Evidence for a long span of US data, and shorter German, Japanese, and UK data, suggests the recent rise in the equity yield is accompanied by an uptick in inflation volatility relative to its recent tranquillity. Enthalten in International Journal of Financial Studies Basel : MDPI, 2013 Bd. 6 (2018), 4 (Dec.), Artikelnr.99, Seite 1-18 Online-Ressource (DE-627)737287705 (DE-600)2704235-2 (DE-576)379466791 2227-7072 nnns volume:6 year:2018 number:4 month:12 pages:1-18 http://hdl.handle.net/10419/195739 Resolving-System kostenfrei Volltext https://doi.org/10.3390/ijfs6040099 Resolving-System kostenfrei Volltext https://www.mdpi.com/2227-7072/6/4/99/pdf Verlag kostenfrei Volltext http://creativecommons.org/licenses/by/4.0/ Verlag Terms of use 46 GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 zbwolc20190228 AR 6 2018 4 12 1-18 Bd. 6 (2018), 4 (Dec.), Artikelnr.99, Seite 1-18 26 01 0206 1847737560 x1k 07-02-19 26 00 DE-206 56 equity yield 26 00 DE-206 56 bond yield 26 00 DE-206 56 volatility 26 00 DE-206 56 time-variation 26 00 DE-206 56 inflation
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spellingShingle	McMillan, David G. jelc C22 26 equity yield 26 bond yield 26 volatility 26 time-variation 26 inflation The behaviour of the equity yield and its relation with the bond yield the role of inflation
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topic_title	C22 G12 jelc 26 00 DE-206 56 equity yield 26 00 DE-206 56 bond yield 26 00 DE-206 56 volatility 26 00 DE-206 56 time-variation 26 00 DE-206 56 inflation The behaviour of the equity yield and its relation with the bond yield the role of inflation David G. McMillan
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title_full	The behaviour of the equity yield and its relation with the bond yield the role of inflation David G. McMillan
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title_sort	behaviour of the equity yield and its relation with the bond yieldthe role of inflation
title_auth	The behaviour of the equity yield and its relation with the bond yield the role of inflation
abstract	Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers and those engaged in modelling the interaction between asset classes. During the mid-1900s, the equity yield-which was previously greater than the bond yield-declined, while the bond yield rose and became higher. Research, seeking to understand this, put forward the view that stock and bond return volatility is key. Evidence from the 2000s suggest that the relative values of the equity and bond yield have flipped again, with the former now greater. Empirical evidence presented here shows that during such periods, the hypothesised relation between the equity yield and the bond yield and the two volatilities also changes, with the signs reversed. Moreover, there is noticeable variation in the coefficient values. This paper argues that the relative equity and bond yield values are, to a large extent, driven by inflation volatility. High inflation volatility persisted during the first half of the twentieth century when the equity yield was higher. This was followed by more benign inflation volatility when the bond yield became higher. Evidence for a long span of US data, and shorter German, Japanese, and UK data, suggests the recent rise in the equity yield is accompanied by an uptick in inflation volatility relative to its recent tranquillity.
abstractGer	Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers and those engaged in modelling the interaction between asset classes. During the mid-1900s, the equity yield-which was previously greater than the bond yield-declined, while the bond yield rose and became higher. Research, seeking to understand this, put forward the view that stock and bond return volatility is key. Evidence from the 2000s suggest that the relative values of the equity and bond yield have flipped again, with the former now greater. Empirical evidence presented here shows that during such periods, the hypothesised relation between the equity yield and the bond yield and the two volatilities also changes, with the signs reversed. Moreover, there is noticeable variation in the coefficient values. This paper argues that the relative equity and bond yield values are, to a large extent, driven by inflation volatility. High inflation volatility persisted during the first half of the twentieth century when the equity yield was higher. This was followed by more benign inflation volatility when the bond yield became higher. Evidence for a long span of US data, and shorter German, Japanese, and UK data, suggests the recent rise in the equity yield is accompanied by an uptick in inflation volatility relative to its recent tranquillity.
abstract_unstemmed	Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers and those engaged in modelling the interaction between asset classes. During the mid-1900s, the equity yield-which was previously greater than the bond yield-declined, while the bond yield rose and became higher. Research, seeking to understand this, put forward the view that stock and bond return volatility is key. Evidence from the 2000s suggest that the relative values of the equity and bond yield have flipped again, with the former now greater. Empirical evidence presented here shows that during such periods, the hypothesised relation between the equity yield and the bond yield and the two volatilities also changes, with the signs reversed. Moreover, there is noticeable variation in the coefficient values. This paper argues that the relative equity and bond yield values are, to a large extent, driven by inflation volatility. High inflation volatility persisted during the first half of the twentieth century when the equity yield was higher. This was followed by more benign inflation volatility when the bond yield became higher. Evidence for a long span of US data, and shorter German, Japanese, and UK data, suggests the recent rise in the equity yield is accompanied by an uptick in inflation volatility relative to its recent tranquillity.
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title_short	The behaviour of the equity yield and its relation with the bond yield
url	http://hdl.handle.net/10419/195739 https://doi.org/10.3390/ijfs6040099 https://www.mdpi.com/2227-7072/6/4/99/pdf http://creativecommons.org/licenses/by/4.0/
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During the mid-1900s, the equity yield-which was previously greater than the bond yield-declined, while the bond yield rose and became higher. Research, seeking to understand this, put forward the view that stock and bond return volatility is key. Evidence from the 2000s suggest that the relative values of the equity and bond yield have flipped again, with the former now greater. Empirical evidence presented here shows that during such periods, the hypothesised relation between the equity yield and the bond yield and the two volatilities also changes, with the signs reversed. Moreover, there is noticeable variation in the coefficient values. This paper argues that the relative equity and bond yield values are, to a large extent, driven by inflation volatility. High inflation volatility persisted during the first half of the twentieth century when the equity yield was higher. This was followed by more benign inflation volatility when the bond yield became higher. 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The behaviour of the equity yield and its relation with the bond yield : the role of inflation

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