Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/109605
Authors: 
Azis, Iwan J.
Mitra, Sabyasachi
Baluga, Anthony
Dime, Roselle
Year of Publication: 
2013
Series/Report no.: 
ADB Working Paper Series on Regional Economic Integration 106
Abstract: 
This paper employs multivariate GARCH models with a BEKK specification to show significant shock and volatility spillovers from mature bond markets into select emerging Asian local currency bond markets. Results reveal that while the growth of individual bond markets in recent years has been impressive, the threat of financial contagion to emerging Asian bond markets from shock and volatility spillovers in mature markets is real. Although emerging Asian local bond market volatilities are more determined by their own respective shocks and volatilities, in some markets the direct shock and volatility spillovers remain significant. An extended analysis also shows indirect spillovers within domestic asset markets and across economies. The results have important implications for the monitoring and coordination of policies, not just within national jurisdictions but also in regional and global settings, in order to maintain financial stability.
Subjects: 
Spillovers
contagion
sovereign bond yields and returns
conditional volatility
emerging Asian local currency bond markets
financial crisis
JEL: 
C14
E43
E62
G12
G12
H62
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/3.0/igo
Document Type: 
Working Paper

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