We examine whether time variation in the comovements of daily stock and Treasury bond returns can be linked to measures of stock market uncertainty, specifically the implied volatility from equity index options and detrended stock turnover. From a forward-looking perspective, we find a negative...

The underlying economic sources of volatility clustering in asset returns remain a puzzle in financial economics. Using daily equity returns, we study variation in the volatility relation between the conditional variance of individual firm returns and yesterday's market return shock. We find a...

Over the 1990 to 2014 period, we show that the macroeconomic-uncertainty index of Jurado, Ludvigson, and Ng (2015) is a powerful empirical determinant of the slope in Treasury forward interest rates over the 10- to 30-year term-structure segment. The strong negative partial relation between...

We show there is a much stronger negative dynamic relation between changes in economic uncertainty and Treasury yields over weaker-economic times since at least 1990. We document this economic-state variation in uncertainty-yield dynamics for weekly and monthly change horizons, for nominal...