Emerging Markets Finance and Trade ( IF 4.859 ) Pub Date : 2022-05-09 , DOI: 10.1080/1540496x.2022.2069488 Yi Fang 1 , Yanru Wang 1 , Yingyu Zhao 1
ABSTRACT
We employ the state-dependent local projection method to identify the dynamic risk aggravation effects on Treasury market volatilities and risk spillovers under both local and global COVID-19 pandemic shocks. We find that emerging markets suffer more instability as risk receivers during the pandemic. Local pandemic shock sharpens the risk spillover mainly in the short run, especially when global risk is high, while global pandemic shock aggravates spillover in the medium run led by economic depression expectations. The results are not only helpful to encourage governments to deepen cooperation in combating the pandemic but also alert authorities to pay more attention to imported financial risk.
中文翻译:
COVID-19 大流行期间全球国债市场的风险溢出
摘要
我们采用依赖于状态的局部投影方法来确定在局部和全球 COVID-19 大流行冲击下对国债市场波动和风险溢出的动态风险加剧效应。我们发现,在大流行期间,新兴市场作为风险接受者遭受了更多的不稳定。局部大流行冲击主要在短期内加剧风险溢出,尤其是在全球风险较高的情况下,而全球大流行冲击在经济萧条预期引导下加剧了中期内的溢出。这些结果不仅有助于鼓励各国政府深化抗疫合作,也提醒当局更加关注输入性金融风险。