Flights to Safety

Arbeitspapier

Despite a large and growing theoretical literature on flights to safety, there does not appear to exist an empirical characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to safety episodes for 23 countries. On average, FTS episodes comprise less than 5% of the sample, and bond returns exceed equity returns 2 to 3%. The majority of FTS events are country-specific not global. FTS episodes coincide with increases in the VIX, decreases in consumer sentiment indicators in the US, Germany and the OECD and appreciations of the yen and the Swiss franc. The financial, basic materials and industrial industries under-perform in FTS episodes, but the telecom industry outperforms. Both money market instruments and corporate bonds face abnormal negative returns in FTS episodes. Most commodity prices decrease sharply during FTS episodes, whereas the gold price measured in dollars increases slightly. Both economic growth and inflation decline right after and up to a year following a FTS spell.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: NBB Working Paper ; No. 230

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Portfolio Choice; Investment Decisions ; Asset Pricing; Trading Volume; Bond Interest Rates ; Information and Market Efficiency; Event Studies; Insider Trading ; Interest Rates: Determination, Term Structure, and Effects ; Financial Markets and the Macroeconomy
• Thema: Stock-Bond Return Correlation ; Liquidity ; Flight-to-Safety ; Anlageverhalten ; Aktienmarkt ; Rentenmarkt ; Betriebliche Liquidität ; Finanzkrise ; Welt

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Baele, Lieven ; Bekaert, Geert ; Inghelbrecht, Koen ; Wei, Min
• Ereignis: Veröffentlichung
• (wer): National Bank of Belgium
• (wo): Brussels
• (wann): 2012

Weitere Informationen

• Handle: http://hdl.handle.net/10419/144442
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ