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Flight-to-quality and asymmetric volatility responses in US Treasuries

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  • Dungey, Mardi
  • McKenzie, Michael
  • Tambakis, Demosthenes N.

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.

Suggested Citation

  • Dungey, Mardi & McKenzie, Michael & Tambakis, Demosthenes N., 2009. "Flight-to-quality and asymmetric volatility responses in US Treasuries," Global Finance Journal, Elsevier, vol. 19(3), pages 252-267.
    • Handle: RePEc:eee:glofin:v:19:y:2009:i:3:p:252-267
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    References listed on IDEAS

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    Cited by:

    1. Goedde-Menke, Michael & Langer, Thomas & Pfingsten, Andreas, 2014. "Impact of the financial crisis on bank run risk – Danger of the days after," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 522-533.
    2. Omar, Ayman M.A. & Wisniewski, Tomasz Piotr & Nolte, Sandra, 2017. "Diversifying away the risk of war and cross-border political crisis," Energy Economics, Elsevier, vol. 64(C), pages 494-510.
    3. Wali Ullah & Yasumasa Matsuda & Yoshihiko Tsukuda, 2014. "Dynamics of the term structure of interest rates and monetary policy: is monetary policy effective during zero interest rate policy?," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(3), pages 546-572, March.

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