high frequency. The model yields predictions on biweekly patterns of the federal funds rate's volatility and on its … results are consistent with empirical patterns of interest rate volatility in the U.S. market for federal funds …

-ask spreads and depth), returns, volatility, and order flow in the stock and bond markets. We find that a shock to quoted spreads … drive liquidity and volatility in both markets. Monetary expansion increases equity market liquidity during periods of … in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …