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Flight to quality and asymmetric volatility response in US treasuries

Citation

Dungey, MH and McKenzie, M and Tambakis, D, Flight to quality and asymmetric volatility response in US treasuries, Global Finance Journal, 19, (3) pp. 252-267. ISSN 1044-0283 (2009) [Refereed Article]


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DOI: doi:10.1016/j.gfj.2008.09.008

Abstract

Flight-to-quality during times of financial crisis is a feature of financial markets. Here, a simple strategic model demonstrates that some preference asymmetry is sufficient to generate endogenous flight-to-quality from an emerging stock market to US Treasury bonds. The empirical evidence from a TARCH model supports the significance of emerging equity market shocks in accounting for the asymmetric properties of US Treasuries across the maturity structure. This effect is found to be more pronounced since the turn of the 21st century.

Item Details

Item Type:Refereed Article
Keywords:Flight-to-quality; Volatility; Asymmetric GARCH; Financial crises; Emerging markets
Research Division:Commerce, Management, Tourism and Services
Research Group:Banking, Finance and Investment
Research Field:Finance
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Monetary Policy
Author:Dungey, MH (Professor Mardi Dungey)
ID Code:56983
Year Published:2009
Deposited By:Economics and Finance
Deposited On:2009-06-11
Last Modified:2014-10-29
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