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We propose a new estimator for the shape of the nonlinear forecasting relationship that exploits variation in the cross\u2010section of returns. The nonlinearities are mirror images for stocks and bonds, revealing flight\u2010to\u2010safety: expected returns increase for stocks when volatility increases from moderate to high levels while they decline for Treasuries. These findings provide support for dynamic asset pricing theories in which the price of risk is a nonlinear function of market\u00a0volatility.<\/jats:p>","DOI":"10.1111\/jofi.12776","type":"journal-article","created":{"date-parts":[[2019,4,17]],"date-time":"2019-04-17T14:12:16Z","timestamp":1555510336000},"page":"1931-1973","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":155,"title":["Nonlinearity and Flight\u2010to\u2010Safety in the Risk\u2010Return Trade\u2010Off for Stocks and Bonds"],"prefix":"10.1111","volume":"74","author":[{"given":"TOBIAS","family":"ADRIAN","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"RICHARD K.","family":"CRUMP","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"ERIK","family":"VOGT","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2019,6,4]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"crossref","unstructured":"Adrian Tobias andNinaBoyarchenko 2012 Intermediary leverage cycles and financial stability Staff report 567 Federal Reserve Bank of New York. 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