Clustering effects and spillover effects in major global government bond markets during the COVID-19 pandemic

This paper takes the 10-year government bond yields of 40 major economies in the world as the research object, aiming to establish a network of major global government bond markets, build an evaluation system to measure the importance of economies and the degree of mutual influence, explore the geographical clustering effects and risk spillover effects between developed and emerging economies during the COVID-19 epidemic, and conduct an in-depth analysis of the evolution of market structure. Our empirical research results indicate that, firstly, different economies have formed the double standard clustering effects of geographical location and economic type. In addition, in a specific period, within the large cluster, there are obvious small clusters of economic groups, including the GIIPS economies, the Euro core area, and the Four Little Dragon economies in Asia. The global market clustering index showed a downward trend after the outbreak of the COVID-19 pandemic and reached its peak during the normalization period of the COVID-19 pandemic. Secondly, in the entire period of research, the United States ranked first on the list of economic importance, while Japan ranked last. Thirdly, the spillover effects of external risks generated by economies in Europe and America have always been stronger than those in Asia and Africa. And economies within the same continent formed clusters based on economic types, which is consistent with the clusters formed in the importance network of the government bond markets. Finally, the correlation indicators of the stock market and the foreign exchange market demonstrate a substantial positive link with the risk spillover of the government bond market, indicating that the closer the trade and financial links between the two economies and the higher the level of economic integration, the higher the risk spillover level of the government bond market between them.