-market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that …, revealing flight to safety: Expected returns increase for stocks when volatility increases from moderate to high levels, while …

following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple …

this, put forward the view that stock and bond return volatility is key. Evidence from the 2000s suggest that the relative … that the relative equity and bond yield values are, to a large extent, driven by inflation volatility. High inflation … volatility persisted during the first half of the twentieth century when the equity yield was higher. This was followed by more …

liquidity. The liquidity index is then correlated with various metrics of funding liquidity, volatility, and macroeconomic …

This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of …

. We find complex intra-group return and volatility connectedness among ASEAN-4 markets and moderate inter-group return and … volatility connectedness between ASEAN-4 and regional and global markets at different time horizons. …

to intermediate bond markets, as in March 2020. Although yield volatility explains most of the variation in Treasury … than predicted by yield volatility alone. This is consistent with the existence of occasionally binding constraints on the …

volatility is associated with a rise in discount rates and a decline in consumption. To study the impact of volatility we provide …How important are volatility fluctuations for asset prices and the macroeconomy? We find that a rise in macroeconomic … a framework in which cashflow, discount-rate, and volatility risks determine risk premia. We show that volatility plays …

The volatilities of Treasury and time deposit markets comove with equity volatility quite heterogeneously over time … volatility or, say, that of the Eurodollar LIBOR? How can we express these prices in a model-free format? Despite the success of … the Eurodollar. Pricing Treasury volatility in a model-free manner is a delicate issue for two reasons. First, volatility …