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Flight to quality and asymmetric volatility response in US treasuries
journal contribution
posted on 2023-05-16, 23:39 authored by Dungey, MH, McKenzie, M, Tambakis, DFlight-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.
History
Publication title
Global Finance JournalVolume
19Pagination
252-267ISSN
1044-0283Department/School
TSBEPublisher
Elseview BVPlace of publication
NetherlandsRights statement
The definitive version is available at http://www.sciencedirect.comRepository Status
- Restricted