© 2016 Elsevier B.V. This paper investigates the interrelationships and the asymmetric co-movements between the yield spread, macroeconomic factors and the stock market volatility across five major world economies. We highlight the non-linear adjusting process of the yield spread to its equilibrium value in response to changes in stock market volatility by using a consistent threshold cointegration error correction model. Our findings differ for different countries and for states of the economy. We find that for the US, the UK, Japan, and France, the adjustment of the yield spread towards its equilibrium value portrays the existence of negative asymmetric market volatility transmission. In addition, differences in the magnitude of the effects denote that yield spread changes in Japan and France appear to significantly adjust more swiftly to equilibrium values compared to the US where a higher degree of persistence is observed. Last, our results suggest evidence of bi-directional time varying Granger causality between the yield spread and stock market volatility for all countries, in both the pre- and post-crisis period.