Flight-to-quality in the stock-bond return relation: a regime-switching copula approach
Flight-to-quality in the stock-bond return relation: a regime-switching copula approach
复制标题
股票-债券回报关系中的“逃向质量”：一种制度转换系结方法
DOI：
10.1007/s11408-020-00361-5
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发表时间：
2020
影响因子：
1.9
通讯作者：
Tachibana Minoru
中科院分区：
文献类型：
--
作者：
竹原 浩太;浅井義裕;Tachibana Minoru
本文考察了从股票到政府债券的质量转移的存在性、强度和国际依赖性。为此，我们开发了一个两状态状态转换二元Copula模型，并将其应用于1999-2019年期间六个发达国家（法国，德国，日本，瑞士，英国和美国）的国内和跨国股票-债券收益对。我们发现，美国和英国政府债券在股市低迷期间发挥了主要的避险资产作用。其余国债市场均表现出逃质的迹象，但其强度相对较弱。此外，我们发现，虽然飞行到质量往往会同时发生在多个国家，联合发生的频率不同的政府债券市场。
This paper examines the existence, intensity and international dependence of flight-to-quality from stocks to government bonds. To this end, we develop a two-state regime-switching bivariate copula model and apply it to the domestic and cross-country stock–bond return pairs of six developed countries (France, Germany, Japan, Switzerland, the UK and the US) over the period 1999–2019. We find that US and UK government bonds have played a primary role of safe-haven assets during stock market downturns. The remaining government bond markets show the evidence of flight-to-quality, but its intensity is relatively weak. Further, we find that although flight-to-quality tends to occur simultaneously in multiple countries, the frequency of the joint occurrence varies across government bond markets.