We show there is a much stronger negative dynamic relation between changes in economic uncertainty and Treasury yields over weaker-economic times since at least 1990. We document this economic-state variation in uncertainty-yield dynamics for weekly and monthly change horizons, for nominal...

We model leverage cycles in the natural laboratory of a mature asset class, namely US Commercial Real Estate. In this setting we can observe entrepreneurs' asset values as well as debt balances. We model capital-market yields, as conditioned by market-wide leverage, an indicator of debt...