filters out noise and provide evidence that it predicts bond risk premia well. This result holds in developed and emerging … that oil price increases are associated with subsequent higher bond returns. Besides, we demonstrate that not all oil price … shocks are alike: Although oil demand and supply shocks have opposite implications for economic activity and bond risk premia …

This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other …

the presence of institutional investors affects volatility and liquidity in secondary bank bond markets. We find that non …-bank financial intermediaries, in particular money market funds (MMFs), have a positive impact on secondary bank bond markets …% of the notional amount in the secondary market of a representative euro area bank bond. The effect is relative to the …

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 …, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …