-market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that …, revealing flight to safety: Expected returns increase for stocks when volatility increases from moderate to high levels, while …

This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of …

to intermediate bond markets, as in March 2020. Although yield volatility explains most of the variation in Treasury … than predicted by yield volatility alone. This is consistent with the existence of occasionally binding constraints on the …

) unite liquidity and volatility in one framework through which their joint dynamics can be examined. Liquidity and volatility … crisis, accompanied by increased price volatility, but that trading activity seems unaffected until after the Lehman Brothers … bankruptcy. Our models' key finding is that price volatility and depth at the best bid and ask prices exhibit a negative feedback …

daily data on realized volatility and trading volume, we show that the investors in the US Treasury bond futures market …

We find that consumption risk is lower in states that implement counter-cyclical fiscal policies. Moreover, firms whose … headquarters to a counter-cyclical state. Therefore, counter-cyclical fiscal policies lower the consumption risk of investors and …

housing crash from 2006 to 2011 and its implications for aggregate and cross-sectional consumption during the Great Recession … consumption. Balance sheets act as a transmission mechanism from housing to consumption that depends on gross portfolio positions … and the leverage distribution. Low interest rate policies accelerate the recovery in housing and consumption …