What uncertainty does to euro area sovereign bond markets: Flight to safety and flight to quality

被引:17
作者
Costantini, Mauro [1 ]
Sousa, Ricardo M. [2 ,3 ,4 ]
机构
[1] Univ Aquila, Dept Ind & Informat Engn & Econ, Laquila, Italy
[2] Univ Minho, Dept Econ, Campus Gualtar, P-4710057 Braga, Portugal
[3] Univ Minho, Ctr Res Econ & Management NIPE, Campus Gualtar, P-4710057 Braga, Portugal
[4] London Sch Econ & Polit Sci, LSE Alumni Assoc, Houghton St, London WC2 2AE, England
关键词
Sovereign bonds; Uncertainty; Flight to safety; Flight to quality; Euro area; Panel data; ECONOMIC-POLICY UNCERTAINTY; MONETARY-POLICY; MACROECONOMIC UNCERTAINTY; POLITICAL UNCERTAINTY; TERM STRUCTURE; ASSET RETURNS; RISK; CONSUMPTION; VOLATILITY; SHOCKS;
D O I
10.1016/j.jimonfin.2021.102574
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We use a panel of 10 euro area countries over the period 1996Q1-2017Q4 to show that heightened uncertainty leads to (i) a flight to "safety" and (ii) a flight to "quality" in sovereign bond markets. Global, macroeconomic and the common euro area uncertainty outperform country-level, financial and euro area idiosyncratic uncertainty in forecasting sovereign bond risk premia, respectively. A rise in economic policy uncertainty also pushes investors to demand a disproportionately larger premium to hold "risky" bonds versus the "safe-haven" bond. Finally, business and economic related uncertainty is of first-order importance, while politics and government uncertainty plays a somewhat secondary role. Our results are robust to yield curve inversions, risk rating metrics, (non-standard) monetary policy conditions and the occurrence of sovereign debt crises.(c) 2021 Elsevier Ltd. All rights reserved.
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页数:32
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