What Makes a Safe Haven? Equity and Currency Returns for Six OECD Countries during the Financial Crisis

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dc.contributor.authorMin, Hong-Ghiko
dc.contributor.authorMcDonald, Judithko
dc.contributor.authorShin, Sang-Ookko
dc.date.accessioned2016-12-14T04:28:19Z-
dc.date.available2016-12-14T04:28:19Z-
dc.date.created2016-11-08-
dc.date.created2016-11-08-
dc.date.issued2016-11-
dc.identifier.citationAnnals of Economics and Finance, v.17, no.2, pp.365 - 402-
dc.identifier.issn1529-7373-
dc.identifier.urihttp://hdl.handle.net/10203/214860-
dc.description.abstractWe estimate dynamic conditional correlations (DCCs) between equity and currency returns during the financial crisis using Engle's (2002) model. DCCs and their volatilities increased for all countries, increasing investors' risk aversion and leading to the "flight-to-quality". The US, Japan, and Switzerland have negative DCCs, making them "safe havens" that experienced capital inflows, whereas the UK, Australia, and Canada have positive DCCs. Stock and foreign exchange volatility indexes increase DCCs for countries without safe assets; however, they decrease DCCs for countries with safe assets. Higher country-specific risk, as measured by its TED spread, and CDS spread, means higher DCCs.-
dc.languageEnglish-
dc.publisherWUHAN UNIV JOURNALS PRESS-
dc.subjectSTOCK-MARKET VOLATILITY-
dc.subjectEXCHANGE-RATE DYNAMICS-
dc.subjectUNIT-ROOT HYPOTHESIS-
dc.subjectCARRY TRADE-
dc.subjectCAPITAL FLOWS-
dc.subjectTIME-SERIES-
dc.subjectRATE RISK-
dc.subjectMODELS-
dc.subjectRATES-
dc.subjectPRICES-
dc.titleWhat Makes a Safe Haven? Equity and Currency Returns for Six OECD Countries during the Financial Crisis-
dc.typeArticle-
dc.identifier.wosid000389391300006-
dc.identifier.scopusid2-s2.0-84990842393-
dc.type.rimsART-
dc.citation.volume17-
dc.citation.issue2-
dc.citation.beginningpage365-
dc.citation.endingpage402-
dc.citation.publicationnameAnnals of Economics and Finance-
dc.contributor.localauthorMin, Hong-Ghi-
dc.contributor.nonIdAuthorMcDonald, Judith-
dc.contributor.nonIdAuthorShin, Sang-Ook-
dc.description.isOpenAccessN-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorGARCH-
dc.subject.keywordAuthorDynamic conditional correlations-
dc.subject.keywordAuthorSafe haven-
dc.subject.keywordAuthorFlight to quality-
dc.subject.keywordAuthorWealth effect-
dc.subject.keywordAuthorSubstitution effect-
dc.subject.keywordAuthorStock market volatility index-
dc.subject.keywordAuthorForeign-exchange volatility index-
dc.subject.keywordAuthorInterest-rate differentials-
dc.subject.keywordAuthorTED spread-
dc.subject.keywordAuthorCredit-default swap spread-
dc.subject.keywordPlusSTOCK-MARKET VOLATILITY-
dc.subject.keywordPlusEXCHANGE-RATE DYNAMICS-
dc.subject.keywordPlusUNIT-ROOT HYPOTHESIS-
dc.subject.keywordPlusCARRY TRADE-
dc.subject.keywordPlusCAPITAL FLOWS-
dc.subject.keywordPlusTIME-SERIES-
dc.subject.keywordPlusRATE RISK-
dc.subject.keywordPlusMODELS-
dc.subject.keywordPlusRATES-
dc.subject.keywordPlusPRICES-
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