This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns … spillovers mostly run from stocks to bonds and exhibit a time-varying pattern over all three stages of the crisis in most … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other …

realized defaults. Furthermore, it predicts future equity and corporate bond returns, even after controlling for many existing …

Purpose - The authors explore the relationship between the exchange rate, bond yield and the stock market as well as … the effect of capital market dynamics on the exchange rate before and during the COVID-19 pandemic. Design … the exchange rate, the 10-year bond yield and stock market, for the COVID-19 period, evidence of cointegration is present …

We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge … against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices …