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Sovereign Bond Market Shock Spillover Over Different Maturities: A Journey from Normal to Covid-19 Period

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  • Sanjay Kumar Rout

    (Centre for Development Studies)

  • Hrushikesh Mallick

    (Centre for Development Studies)

Abstract

With application of Diebold and Yilmaz’s (Int J Forecast 28(1):57–66, 2012) spillover approach, we examine shock spillover in international sovereign bond yields over short, medium, and long term maturities for major eight economies. By scrutinizing the data from 1st January 2013 to 12th November 2020, we explored that irrespective of pre-covid-19 or covid-19 period, shock spillover in bond yields across markets are much stronger over long and medium maturities relative to short-term maturity. Moreover, shock spillover of bond yields has amplified manifold during Covid-19, irrespective of their maturities compared to pre-Covid-19 period. The magnitude of shock spillovers remains low with short-term maturity. Assessing the relationship between international sovereign bond markets (SBMs) contributes to our understanding and is also crucial to the investors (both domestic and foreign) in investing in SBMs.

Suggested Citation

  • Sanjay Kumar Rout & Hrushikesh Mallick, 2022. "Sovereign Bond Market Shock Spillover Over Different Maturities: A Journey from Normal to Covid-19 Period," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(4), pages 697-734, December.
    • Handle: RePEc:kap:apfinm:v:29:y:2022:i:4:d:10.1007_s10690-022-09371-x
    DOI: 10.1007/s10690-022-09371-x
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    More about this item

    Keywords

    Covid-19 pandemic; Diebold and Yilmaz approach; International sovereign bond markets; Rolling window; Shock spillovers;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • I12 - Health, Education, and Welfare - - Health - - - Health Behavior

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