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Flights to safe assets in bond markets: evidence from emerging market economies
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Accompanying database
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Journal of International Money and Finance
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https://doi.org/10.1016/j.jimonfin.2023.102973
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Jakub Janus
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Department of Macroeconomics, Krakow University of Economics, Poland
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Description
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This database contains sovereign bond market flight to safety episodes identified using daily data on bond returns in 21 EMEs and the US. In total, there are 11 FTS datasets calculated in daily, weekly, monthly, and quarterly frequency. "Count" is the sheer number of FTS days in a given period. "Frequency" gives a proportion of FTS days to the total number of trading days in a given time period. "Magnitude" is the strength / intensity of FTS episodes, as defined in the paper. When applicable, "overall" indicator is the mean value of FTS indicators across EMEs. "Overall_scaled" is the overall FTS indicator for strength scaled to bring its values into the range [0, 1]. Maximum data coverage: 2002-12-19 to 2021-03-31.
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For questions or comments please write to: Jakub Janus (janusj@uek.krakow.pl).
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List of available FTS sets
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FTS_daily_count
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FTS_daily_magnitude
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FTS_weekly_count
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FTS_weekly_frequency
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FTS_weekly_magnitude
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FTS_monthly_count
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FTS_monthly_frequency
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FTS_monthly_magnitude
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FTS_quarterly_count
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FTS_quarterly_frequency
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FTS_quarterly_magnitude
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