Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of … dynamics of equity and bond yields (and their yield spreads). The movements of equity and bond yields are driven mainly by … returns/yields and nominal bond returns/yields switched from positive to negative after the late 1990s, owing mainly to a …

Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal …

countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other …This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns … framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our …

-variate GARCH-in-mean model and volatility spillovers. The empirical results show the significant effects (positive and negative …, respectively) of the stock market returns, interest rate, and exchange rate volatility of the financial sector during the crisis …. Besides, we find, in most cases, significant (positive and negative, respectively) volatility spillovers from market return …

. The model allows for asymmetric risk premia, causality and co-volatility spillovers jointly in the global bond markets …. Empirical results show significant asymmetric partial co-volatility spillovers and risk premium exist in the bond markets. The … changing behavior of time varying risk premium for holding 10 year maturity bond using a bivariate VARMA-DBEKK-AGARCH-M model …