Sovereign bond market shock spillover over different maturities: a journey from normal to Covid-19 period

DOI10.1007/S10690-022-09371-XMaRDI QIDQ2686281zbMATH OpenOpenAlexFDO

Authors Sanjay Kumar Rout, Hrushikesh Mallick

Publication date 24 February 2023

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-022-09371-x

zbMATH Keywords

Covid-19 pandemicDiebold and Yilmaz approachinternational sovereign bond marketsrolling windowshock spillovers

Mathematics Subject Classification ID

Financial markets (91G15)

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Cites work

• Generalized impulse response analysis in linear multivariate models
• Global yield curve dynamics and interactions: a dynamic Nelson-Siegel approach
• Impulse response analysis in nonlinear multivariate models
• Sovereign bond spread drivers in the EU market in the aftermath of the global financial crisis

Cited in

(5)

• Measuring sovereign risk spillovers and assessing the role of transmission channels: a spatial econometrics approach
• How might sovereign bond yields in Asia Pacific react to US monetary normalisation under turbulent market conditions?
• Is the effectiveness of government bonds as a diversifier of equity risk weakened after the Covid-19 crisis?†
• Financial uncertainty and interest rate movements: is Asian bond market volatility different?
• Bond market and macroeconomic stability in East Asia: a nonlinear causality analysis

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