DC Field | Value | Language |
---|---|---|
dc.contributor.author | Min, Hong-Ghi | ko |
dc.contributor.author | McDonald, Judith | ko |
dc.contributor.author | Shin, Sang-Ook | ko |
dc.date.accessioned | 2016-12-14T04:28:19Z | - |
dc.date.available | 2016-12-14T04:28:19Z | - |
dc.date.created | 2016-11-08 | - |
dc.date.created | 2016-11-08 | - |
dc.date.created | 2016-11-08 | - |
dc.date.issued | 2016-11 | - |
dc.identifier.citation | Annals of Economics and Finance, v.17, no.2, pp.365 - 402 | - |
dc.identifier.issn | 1529-7373 | - |
dc.identifier.uri | http://hdl.handle.net/10203/214860 | - |
dc.description.abstract | We 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.language | English | - |
dc.publisher | WUHAN UNIV JOURNALS PRESS | - |
dc.subject | STOCK-MARKET VOLATILITY | - |
dc.subject | EXCHANGE-RATE DYNAMICS | - |
dc.subject | UNIT-ROOT HYPOTHESIS | - |
dc.subject | CARRY TRADE | - |
dc.subject | CAPITAL FLOWS | - |
dc.subject | TIME-SERIES | - |
dc.subject | RATE RISK | - |
dc.subject | MODELS | - |
dc.subject | RATES | - |
dc.subject | PRICES | - |
dc.title | What Makes a Safe Haven? Equity and Currency Returns for Six OECD Countries during the Financial Crisis | - |
dc.type | Article | - |
dc.identifier.wosid | 000389391300006 | - |
dc.identifier.scopusid | 2-s2.0-84990842393 | - |
dc.type.rims | ART | - |
dc.citation.volume | 17 | - |
dc.citation.issue | 2 | - |
dc.citation.beginningpage | 365 | - |
dc.citation.endingpage | 402 | - |
dc.citation.publicationname | Annals of Economics and Finance | - |
dc.contributor.localauthor | Min, Hong-Ghi | - |
dc.contributor.nonIdAuthor | McDonald, Judith | - |
dc.contributor.nonIdAuthor | Shin, Sang-Ook | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | GARCH | - |
dc.subject.keywordAuthor | Dynamic conditional correlations | - |
dc.subject.keywordAuthor | Safe haven | - |
dc.subject.keywordAuthor | Flight to quality | - |
dc.subject.keywordAuthor | Wealth effect | - |
dc.subject.keywordAuthor | Substitution effect | - |
dc.subject.keywordAuthor | Stock market volatility index | - |
dc.subject.keywordAuthor | Foreign-exchange volatility index | - |
dc.subject.keywordAuthor | Interest-rate differentials | - |
dc.subject.keywordAuthor | TED spread | - |
dc.subject.keywordAuthor | Credit-default swap spread | - |
dc.subject.keywordPlus | STOCK-MARKET VOLATILITY | - |
dc.subject.keywordPlus | EXCHANGE-RATE DYNAMICS | - |
dc.subject.keywordPlus | UNIT-ROOT HYPOTHESIS | - |
dc.subject.keywordPlus | CARRY TRADE | - |
dc.subject.keywordPlus | CAPITAL FLOWS | - |
dc.subject.keywordPlus | TIME-SERIES | - |
dc.subject.keywordPlus | RATE RISK | - |
dc.subject.keywordPlus | MODELS | - |
dc.subject.keywordPlus | RATES | - |
dc.subject.keywordPlus | PRICES | - |
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