Publicação
Typological classification, diagnostics, and measurement of flights-to-quality
| dc.contributor.author | Gubareva, Mariya | |
| dc.contributor.author | Borges, Maria Rosa | |
| dc.date.accessioned | 2013-08-14T15:23:46Z | |
| dc.date.available | 2013-08-14T15:23:46Z | |
| dc.date.issued | 2013 | |
| dc.description.abstract | 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. | por |
| dc.description.sponsorship | Financial support provided by the Fundação para a Ciência e Tecnologia/FCT under the POPH/FCE program. Financial support provided by the Fundação para a Ciência e Tecnologia/FCT under the FCT/POCTI program, partially funded by FEDER, is gratefully appreciated. | por |
| dc.identifier.citation | 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 | por |
| dc.identifier.issn | 0874-4548 | |
| dc.identifier.uri | http://hdl.handle.net/10400.5/5912 | |
| dc.language.iso | eng | por |
| dc.publisher | ISEG - Departamento de Economia | por |
| dc.relation.ispartofseries | DE/ Working papers nº15-2013/DE/UECE | |
| dc.relation.publisherversion | https://aquila.iseg.utl.pt/aquila/getFile.do?method=getFile&fileId=390172&contentContextPath_PATH=/departamentos/ec/lateral/menu-working-papers/nova-serie/2013&_request_checksum_=46fb63db61ace8959619a69353e4b7bd65072b89 | por |
| dc.subject | Flight-to-Quality | por |
| dc.subject | Financial Crisis | por |
| dc.subject | Emerging Market Debt | por |
| dc.subject | U.S. Treasury Bonds | por |
| dc.title | Typological classification, diagnostics, and measurement of flights-to-quality | por |
| dc.type | working paper | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | por |
| rcaap.type | workingPaper | por |