Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.5/5912
Título: Typological classification, diagnostics, and measurement of flights-to-quality
Autor: Gubareva, Mariya
Borges, Maria Rosa
Palavras-chave: Flight-to-quality
Financial crisis
Emerging market debt
U.S. treasury bonds
Data: 2013
Editora: ISEG. Departamento de Economia
Citação: Gubareva, Mariya, Maria Rosa Borges. 2013. "Typological classification, diagnostics, and measurement of flights-to-quality". Instituto Superior de Economia e Gestão - Departamento de Economia. ISEG-DE working papers, 15/2013/DE/UECE.
Relatório da Série N.º: ISEG-DE working papers;15/2013/DE/UECE
Resumo: 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.
URI: http://hdl.handle.net/10400.5/5912
ISSN: 0874-4548
Versão do Editor: 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
Aparece nas colecções:DE - Documentos de trabalho / Working Papers
UECE - Documentos de Trabalho / UECE - Working Papers

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