Afonso, AntónioAlves, JoséGrabowski, WojciechMonteiro, Sofia2025-02-182025-02-182025Afonso, António, José Alves, Wojciech Grabowski e Sofia Monteiro (2025). "Stock and sovereign returns linkages: time-varying causality and extreme-quantile determinants". REM Working paper series, nº 0366/20252184-108xhttp://hdl.handle.net/10400.5/98513We employ a cross-quantilogram approach to assess relationships between quantiles of stock returns and sovereign yields, in the U.S. and Germany, in the period 1990-2024. Specifically, we focus on the lowest 5% quantile of stock returns and the highest 5% quantile of bond returns, providing insights into tail dependencies, crucial during market downturns and periods of heightened volatility. We also measure causality in volatilities extending well-known approaches analyzing volatility transmission. We find significant cross-market relationships between U.S. and German stock and bond markets, influenced by economic crises, macroeconomic dynamics, and monetary policy interventions, and financial stress play a crucial role.engStock returnsSovereign bond returnsStock-bond relationshipCrossquantilogramVolatility transmissionUSGermanyMonetary policyShocksFiscal stanceworking paper