Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market

By Alessandro Beber, Michael W. Brandt, Kenneth A. Kavajecz. 2006

797 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/f91d34d062b14505a625c23ec0821f86c63045d1

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Citations in the corpus

What is the Risk of European Sovereign Debt Defaults? Fiscal Space, CDS Spreads and Market Pricing of Risk (2013, positive): “…(intraday), differences in credit quality (measured by CDS prices) are found to explain sovereign yield spreads of the Euro area governments (Beber et al., 2009).7 Fontana and Scheicher (2010) argue that high CDS premium in late 2010 during the Eurozone debt crisis may be partly…”
Determinants of Government Bond Spreads in New EU Countries (2010, background): “1 Looking at credit and liquidity risks from a different angle – using a flow of funds analysis of intraday bond quotes and transactions over a two years’ period (2003-2004)- Beber et al.(2008) show that cross-country heterogeneities in credit quality account for the bulk of sovereign spreads.”
Banking and Sovereign Risk in the Euro Area (2010, background): “In contrast, Beber et al (2009) find that liquidity considerations are more important during episodes of market stress in a sample covering 2003 and 2004.3 Turning to the literature on fiscal policy and sovereign spreads, Bernoth et al. (2004) study changes in the European bond market in the period…”
The Determinants of Sovereign Bond Yield Spreads in the EMU (2012, background): “On the other hand, Gomez-Puig (2006), Beber et al. (2009), and Manganelli and Wolswijk (2009) find that liquidity was an important determinant of yields spreads.”
Sovereign bond yield spreads: A time-varying coefficient approach (2012, background): “Moreover, following Beber et al. (2009) and Favero et al. (2010) we add a variable interacting the variable measuring global risk aversion with the liquidity variable to test whether the level of the general risk factor significant impacts the effect of liquidity on bond yields.”
Does gold offer a better protection against losses in sovereign debt bonds than other metals (2014, result): “This evidence is consistent with Beber et al. (2009) finding that, in times of economic distress, investors rebalance their portfolios towards less risky and more liquid securities.”
Illiquidity Premia in the Equity Options Market (2018, neutral): “[9] Beber, A.”
Comovement and Predictability Relationships Between Bonds and the Cross-section of Stocks (2012, neutral): “Beber, Brandt, and Kavajecz (2009) find traces of flights to quality and flights to liquidity in the Euro-Area bond market.”