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

Abstract

nber working paper series flight-to-quality or flight-to-liquidity? evidence from the euro-area bond market alessandro beber michael w. brandt kenneth a. kavajecz working paper 12376 www.nber.org/papers/w12376 national bureau of economic research 1050 massachusetts avenue cambridge, ma 02138 july 2006 beber is at hec, university of lausanne, brandt is at the fuqua school of business, duke university and is also affiliated with the nber, and kavajecz is at the school of business, university of wisconsin madison. we gratefully acknowledge the helpful comments from seminar participants at notre dame university, university of north carolina, and the university of wisconsin. we have also benefitted greatly from the comments of shane corwin, joel hasbrouck, paul schultz and richard sheehan. all remaining errors are our own. address correspondence to kenneth kavajecz, school of business, university of wisconsin – madison, 975 university avenue, madison, wisconsin 53706. phone: (608) 265-3494 or kkavajecz@bus.wisc.edu. the views expressed herein are those of the author(s) and do not necessarily reflect the views of the national bureau of economic research. ©2006 by alessandro beber, michael w. brandt and kenneth a. kavajecz. all rights reserved. short sections of text, not to exceed two paragraphs, may be quoted without explicit permission provided that full credit, including © notice, is given to the source. flight-to-quality or flight-to-liquidity? evidence from the euro-area bond …

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