By measuring time-varying financial spillovers of five asset classes, we analyze the propagation of shocks originating in the United States and Japan into countries of Emerging Asia (EA). We compare the scale and nature of spillovers during the 2008-09 global financial crisis (GFC), the 2013 “taper tantrum” (TT), and the on-going COVID-19 pandemic (C-19). Based on the direct and indirect spillovers, the intensity of the spillover effect was largest during C-19 due to its global and multidimensional nature, and the United States was a net transmitter of spillovers particularly in bonds and equity markets. TT was an important episode for EA as it marked the beginning of the region's financial volatility and increased spillovers especially in bonds market. The impulse responses reveal that most spillovers were transmitted rapidly, in a matter of days. In times of recession whereby financial stability is in danger of being affected by spillovers, a concrete financial cooperation remains absent in EA although formal institutions designed to deal with the contagion have been put in place.

中文翻译：

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新兴亚洲的金融溢出效应：三个危机的故事

通过衡量五种资产类别随时间变化的金融溢出效应，我们分析了源自美国和日本的冲击向新兴亚洲 (EA) 国家的传播。我们比较了 2008-09 年全球金融危机 (GFC)、2013 年“缩减恐慌”(TT) 和持续的 COVID-19 大流行 (C-19) 期间溢出效应的规模和性质。从直接和间接溢出来看，C-19 期间溢出效应的强度最大，因为其具有全球性和多维性，美国是溢出效应的净传递者，特别是在债券和股票市场。TT 对 EA 来说是一个重要的插曲，因为它标志着该地区金融波动的开始和溢出效应的增加，尤其是在债券市场。脉冲响应表明，大多数溢出是迅速传播的，在几天之内。在金融稳定有可能受到溢出影响的衰退时期，尽管已经建立了旨在应对蔓延的正式机构，但 EA 仍然缺乏具体的金融合作。