We study how monetary policy and risk shocks affect asset prices in the US, the euro area, and Japan, differentiating …. Communication shocks from the US spill over to risk in the euro area and vice versa, but traditional US shocks show no spillover … effects to risk. Both monetary policy and communication shocks spill over to stocks, with euro area information spillovers …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …

such as interest rates, (expected) inflation, output growth and dividend payouts. We also view risk aversion, and … dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

controlling for standard risk factors. Liquidity deteriorates on FTS days both in the bond and equity markets. Both economic …

such as interest rates, (expected) inflation, output growth and dividend payouts. We also view risk aversion, and … dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …