Common Shocks in Stocks and Bonds

We thank Hengjie Ai, Jonas Arias, Ravi Bansal, Tim Bollerslev, Michael Boutros, Ian Dew-Becker, Morad Elsaify, Anastassia Fedyk, Rene Garcia, Jim Hamilton, Sam Hanson, Cam Harvey, Sydney Ludvigson, Monika Piazzesi, Carolin Pflueger, Guillaume Roussellet, Andreas Schrimpf, Ivan Shaliastovich, Dongho Song, Eric Swanson, Viktor Todorov, Christian Wolf, Yunmin Wu, Irina Zviadadze, as well as conference and seminar participants at the LBS Summer Symposium in Asset Pricing, ASSA CES meetings, NBER Asset Pricing Spring workshop, NBER Monetary Economics Summer Institute, Western Finance Association meetings, Queen Mary University London, Federal Reserve Board, McGill Desautels, AQR, Imperial College, EDHEC, Vienna Graduate School of Finance, Federal Reserve Bank of San Francisco, Boston College, University of Delaware, Sveriges Riksbank, Norges Bank, BI Norwegian Business School, University of Illinois at Urbana-Champaign, Q-Group, Duke Fuqua, and the Triangle Macro-Finance Workshop for helpful comments. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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