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Typology for flight-to-quality episodes and downside risk measurement

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dc.contributor.authorGubareva, Mariya
dc.contributor.authorBorges, Maria Rosa
dc.date.accessioned2017-04-29T10:32:59Z
dc.date.available2017-04-29T10:32:59Z
dc.date.issued2016
dc.description.abstractWe propose a total return-based framework to measure downside risk associated with phenomenon of capital outflows from riskier to safer financial markets. The proposed method consists of three elements: (i) the general definition of the flight-to-quality (FtQ) phenomenon, (ii) the typological classification of the flight-to-quality occurrences for associating them with the phases of the business cycle and (iii) the automated technique to diagnose the time frames and to measure the impact of flight-to-quality on financial instruments. The proposed framework is applied to analyse the global-scale capital inflows/outflows from emerging markets public debt to the US Treasuries and vice versa. The results show that different phases of business cycles and GDP growth rates, including turning points, could be associated with flights-to-quality of different types and causality origins. Addressing downside risk crystallizations in flight-to-quality occurrences, new perspectives of integrated interest rate risk and credit risk management are discussed. For strengthening financial stability, we suggest the use of flight-to-quality windows as scenarios for stress testing, both for banks and financial institutionspt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.doihttp://www.tandfonline.com/action/showCitFormats?doi=10.1080/00036846.2015.1088143pt_PT
dc.identifier.urihttp://hdl.handle.net/10400.21/6963
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherTaylor & Francispt_PT
dc.relation.publisherversionhttp://www.tandfonline.com/doi/full/10.1080/00036846.2015.1088143?scroll=top&needAccess=true&pt_PT
dc.subjectFlight-to-qualitypt_PT
dc.subjectDownside riskpt_PT
dc.subjectFinancial crisispt_PT
dc.subjectEmerging marketspt_PT
dc.subjectUS Treasury bondspt_PT
dc.titleTypology for flight-to-quality episodes and downside risk measurementpt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.endPage853pt_PT
oaire.citation.startPage835pt_PT
oaire.citation.titleApplied Economicspt_PT
oaire.citation.volume46:10pt_PT
person.familyNameGubareva
person.familyNameBorges
person.givenNameMariya
person.givenNameMaria Rosa
person.identifier.ciencia-id311F-E7AA-AAAA
person.identifier.ciencia-idF916-94DC-E0BC
person.identifier.orcid0000-0001-6829-7021
person.identifier.orcid0000-0001-5340-471X
person.identifier.ridY-8520-2018
person.identifier.ridC-7946-2009
person.identifier.scopus-author-id56850438400
person.identifier.scopus-author-id8581988500
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT
relation.isAuthorOfPublicationd6c8e85f-b262-4905-9380-4469f62011ed
relation.isAuthorOfPublicationa6bb0845-89fc-43a6-97d3-87ed5fcd10de
relation.isAuthorOfPublication.latestForDiscoveryd6c8e85f-b262-4905-9380-4469f62011ed

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