摘要：This paper explores the links between yields on long-term bonds and stock market returns using the novel quantile-onquantile
(QQ) method. This approach quantifies the effect that the quantiles of bonds yield have on the quantiles of
stock returns, thus offering a suitable framework for capturing the entire dependence structure. The empirical results
illustrate that the interest rate-equity market nexus is principally positive. In fact, the most pronounced relationship is
detected under extreme circumstances in both stock and sovereign bond markets, mainly in an environment
characterized by sharp declines in yields on 10-year Treasury bonds and a markedly bearish environment in stock
prices. The findings of this study have significant implications for practitioners in making adequate asset allocation and
hedging decisions and also help policy makers to preserve financial stability, particularly in times of heightened
uncertainty and financial crisis.
