, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …We document a strong positive cross-sectional relation between corporate bond yield spreads and bond return … volatilities. As corporate bond prices are generally attributable to both credit risk and illiquidity as discussed in Huang and …

that the relative equity and bond yield values are, to a large extent, driven by inflation volatility. High inflation … benign inflation volatility when the bond yield became higher. Evidence for a long span of US data, and shorter German … this, put forward the view that stock and bond return volatility is key. Evidence from the 2000s suggest that the relative …