This paper examines quantile coherency in bonds, commodities, currencies, and equities using a novel quantile coherency approach. While recent literature has explored single-frequency tail- and time-frequency dependence in asset returns, we provide fresh evidence on asset return dependence across quantiles (proxying business cycles or market conditions) at different frequencies (representing investment horizons). Considering sixty-seven individual asset return series in four asset classes, we observe that low frequency (yearly) dependence is stronger in the bond, foreign exchange, and equity markets. Specifically, we find strong dependence between the German and French bond markets, heating oil and crude oil, gold and silver, British Pound, and Euro, French and German and Canadian and US equities. As we report asset return interdependence in different business cycles and at different time horizons, these results have important implications for portfolio allocation and investment strategy formulation.

本文使用一种新颖的分位数一致性方法研究了债券、商品、货币和股票的分位数一致性。虽然最近的文献探讨了资产回报的单频尾频和时频依赖性，但我们提供了不同频率（代表投资期限）下跨分位数（代理商业周期或市场条件）的资产回报依赖性的新证据。考虑到四种资产类别的 67 个个人资产回报系列，我们观察到债券、外汇和股票市场的低频（年度）依赖性更强。具体来说，我们发现德国和法国债券市场、取暖油和原油、黄金和白银、英镑、欧元、法国和德国以及加拿大和美国股市之间存在很强的依赖性。当我们报告不同经济周期和不同时间范围内的资产回报相互依赖性时，这些结果对投资组合配置和投资策略制定具有重要意义。