Bond-Stock Comovements

During the late twentieth century, nominal government bonds and stocks tended to comove positively, whereas during the first quarter of the twenty-first century, they have tended to comove negatively. A similar sign switch is observable for real government bonds and breakeven inflation rates. Recent macroeconomic events have caused short-lived changes in these comovements, and periods with high risk premia tend to be periods in which bond-stock comovements are large in absolute value. The article surveys theoretical models of these phenomena.