default). Our findings suggest the existence of time-varying liquidity risk of corporate bond returns and episodes of flight …

We document that the convenience yield of U.S. Treasuries exhibits properties that are consistent with a hedging … yield, the frictionless risk-free rate, and default risk reveals that the covariance between stock returns and the … inflation expectations that erode the hedging properties of U.S. Treasuries and other fixed-income money-like assets, inducing a …