Common risk factors in the returns on stocks and bonds*

But, if recessions are different and shocks transmit both domestically and internationally in a time varying fashion, should not we employ a broader set of regressors -and potentially models -to better track this variability across time? For example, many recent approaches to forecasting consider pooling the individual forecasts stemming from a large number of models, each differing from the other as concerns for example the lag specification, the sample over which estimation is carried out, the number of variables included. This has been the way in which the so-called uncertain instabilities have been dealt with in weather forecasting, an approach which has recently spilled over to...