ABSTRACT

We study 2001–2020 flight-to-quality episodes encompassing two planetary-scale crises: the Global Financial Crisis (GFC) of 2007–2008 and the coronavirus-triggered global meltdown. We focus on time-frequency lead-lag nexuses between holding emerging market (EM) debt and investing in relatively risk-free US Treasuries. Wavelet coherency along with the phase-difference approach is used. Our results reveal varying lead-lag patterns and low-coherence zones between EM bonds and US Treasuries, which imply the existence of appealing diversification attributes. The flights-to-quality during the crisis periods, such as the GFC and COVID-19 pandemic, emphasize the safe-haven characteristics of US Treasures. They also evidence that the post-Covid tightening of credit spreads to the pre-crisis levels is faster than the post-GFC recovery. We demonstrate that for EM debt investors, the US Treasury market allows for dynamic risk mitigation strategies during both global crises.

摘要

我们研究了 2001 年至 2020 年的飞行质量事件，其中包括两个全球范围的危机：2007 年至 2008 年的全球金融危机 (GFC) 和冠状病毒引发的全球崩溃。我们关注持有新兴市场 (EM) 债务与投资相对无风险的美国国债之间的时频超前滞后关系。使用小波相干性以及相位差方法。我们的结果揭示了新兴市场债券和美国国债之间不同的领先滞后模式和低一致性区域，这意味着存在吸引人的多元化属性。全球金融危机和 COVID-19 大流行等危机时期的避险行为凸显了美国国债的避险特性。他们还证明，Covid 后信贷利差收紧至危机前水平的速度快于全球金融危机后的复苏。