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Typological classification, diagnostics, and measurement of flights-to-quality
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Autores
Orientador(es)
Resumo(s)
This paper proposes a total return-based framework to study flight-to-quality phenomenon of fixed-income securities. It consists of three elements: (i) the general definition of event; (ii) the typological classification of the phenomena to be able associate them with the phases of business cycle; (iii) automated technique to diagnose the time frames and to measure the impact of flight-to-quality on debt instruments. The proposed framework is applied to analyse capital movements from Emerging Markets public debt to the U.S. Treasuries and vice versa within the period 1998-2010. The results show that different phases of business cycles and GDP rates behaviours, including turning points, could be
associated with flights-to-quality of different types and nature.
Descrição
Palavras-chave
Flight-to-Quality Financial Crisis Emerging Market Debt U.S. Treasury Bonds
Contexto Educativo
Citação
Gubareva, Mariya and Maria Rosa Borges. (2013). "Typological classification, diagnostics, and measurement of flights-to-quality". Instituto Superior de Economia e Gestão. DE Working papers nº 15-2013/DE/UECE
Editora
ISEG - Departamento de Economia