We estimate a no-arbitrage term structure model of U.S. Treasury yields and corporate bond spreads with both economic factors and latent factors as drivers of term structure dynamics. We consider two sets of economic factors: macro factors consisting of inflation and real activity, and financial...

This study examines the inflation-hedging ability of commodity futures. Applying a Markov-switching vector error correction model to a sample of commodity futures that cover the period between January 1983 and December 2017, we find that total commodity futures fail to provide a hedge against...

This study examines the relationship between funding liquidity and market liquidity using daily data on the S&P 500 index options. We find that options market liquidity is positively correlated with funding liquidity after controlling for market uncertainty. Further analysis reveals that the...