Estimating the effects of the "flight to quality", with an application to German bond yields and interest payments

Arbeitspapier

Recent calculations have suggested that the German federal government has saved roughly EUR 90-100 billion, cumulatively, due to low bond yields since the onset of the Euro crisis. In order to determine the contribution of the "flight to quality" to this sum, we define the flight to quality as a factor which has caused German bond yields and crisis country bond yields to move in opposite directions. Estimates show that only a small share is due to the flight to quality. Comparison with other approaches suggests that our factor approach is a promising way to look at the flight to quality.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Kiel Working Paper ; No. 2086

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Financial Econometrics ; Asset Pricing; Trading Volume; Bond Interest Rates
• Subject: flight to quality ; Euro crisis ; bond yields ; Germany ; factor model

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Boeing-Reicher, Claire A. ; Boysen-Hogrefe, Jens
• Event: Veröffentlichung
• (who): Kiel Institute for the World Economy (IfW)
• (where): Kiel
• (when): 2017

Further information

• Handle: http://hdl.handle.net/10419/162853
• Last update: 10.03.2025, 11:44 AM CET