We study trading costs and dealer behavior in US corporate bond markets from 2006 to
2016. Despite a temporary spike during the financial crisis, average trade execution costs …

This study uses quantile vector-autoregressive to examine volatility connectedness among a
global financial stress index (including five categories: credit, equity valuation, funding, safe …

This paper introduces a new indicator of contemporaneous stress in the financial system
named Composite Indicator of Systemic Stress (CISS). Its specific statistical design is …

A financial stress index for the United States is introduced—one used by the staff of the
Federal Reserve Board during the financial crisis of 2008–2009—and its׳ interaction with …

This paper introduces a new methodology to date systemic financial stress events in a
transparent, objective and reproducible way. The financial cycle is captured by a monthly …

This study explores the dynamic and time-varying connectedness between the US stocks,
financial sector, oil and gold markets, broad market volatilities, and financial stress. We …

This study examines the volatility (stress) spillovers in stock, securitized real estate, bond,
and currency markets and the economic policy uncertainty spillovers across seven …

The recent financial crisis helped emphasize the need for measures of financial conditions.
In the wake of the crisis, several researchers and institutions—both private sector and …

How do corporate bond mutual funds manage liquidity to meet investor redemptions? We
show that during tranquil market conditions, these funds tend to reduce liquid asset holdings …

The aim of this paper is to construct the first comprehensive Financial Stress Index for
Lebanon, dubbed the IFEFSI (Institute of Financial Economics Financial Stress Index). This …