Typological Classification, Diagnostics, and Measurement of Flights-to-Quality

Mariya Gubareva () and Maria Borges ()

No 2013/15, Working Papers Department of Economics from ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa

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.

Keywords: flight-to-quality; financial crisis; emerging market debt; U.S. treasury bonds. (search for similar items in EconPapers)
JEL-codes: G11 G15 (search for similar items in EconPapers)
Date: 2013-07
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