-ask spreads and depth), returns, volatility, and order flow in the stock and bond markets. We find that a shock to quoted spreads … in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …. Innovations to stock and bond market liquidity and volatility prove to be significantly correlated, suggesting that common factors …

break-even inflation rates when market volatility is high. Our model’s ability to be updated weekly makes it suitable for … real-time monetary policy analysis. -- Affine term structure models ; inflation expectations ; stochastic volatility …

An unanticipated tightening of monetary policy increases option implied volatility in equity and bond markets. At the … same time, realized volatility declines over the period corresponding to the increase in option implied volatility. The … result is a decrease in the volatility swap return, defined as a forward contract on the realized volatility of an underlying …

This paper explores the effects of nominal volatility and limited participation in asset markets on the risk sharing … available for investment, limited participation and nominal volatility can generate an inefficiently small number of financial … assets. A monetary rule, such as a fixed exchange rate or monetary union, that reduces nominal volatility can foster the …

affected in mean and volatility. The empirical results indicate: (i) a direct negative impact on GBP and JPY and no effect of … their volatility around the QE announcements of the corresponding central banks, (ii) a delayed devaluation of EUR and an … increase of its volatility before and after the ECB's announcements. Furthermore, the behavior of dynamic conditional …

equity market returns and volatility over the period 1998–2006. First, both types of news have a significant impact on market … reports lowers price volatility. Finally, American emerging markets react more to U.S. news than non-American markets …

We investigate the impact of monetary policy announcements on stock market volatility in the U.S., Canada, Japan, the U … easing announcements of domestic and foreign central banks on realized volatility before, during, and after the event. We … find that on the day of an interest rate announcement of the domestic central bank, volatility increases in a manner that …