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 … drive liquidity and volatility in both markets. Monetary expansion increases equity market liquidity during periods of …

Næs, Skjeltorp, and Ødegaard (2011) provide empirical evidence that stock market liquidity contains leading information …’s accommodative monetary policy to buoy stock markets in crisis starting in the 1990s. Moreover, we document that liquidity dry-ups in … conditions and aggregate stock market liquidity’s well-established business cycle component …

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …

This paper examines how the Fed's monetary policy decisions affect the implied volatility of the S&P 500 index. The … that implied volatility generally decreases after FOMC meetings, while the relationship between target rate surprises and … surprises and implied volatility is mostly driven by the volatility-reducing effects of negative surprises. We further document …

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …

impact on liquidity conditions as measured by bid-ask spreads and inter-dealer order book depth. We further show that the …