Title

Return and volatility transmission between emerging markets and US debt throughout the pandemic crisis

Document Type

Article

Source of Publication

Pacific-Basin Finance Journal

Publication Date

6-1-2021

Abstract

In this study, we investigate the return and volatility spillovers between emerging markets and US government bonds during the Covid-19-triggered pandemic by accounting for the market sentiment captured by the media coverage index. To study the dynamic spillovers, we use a TVP-VAR approach. Our results show a significant increase in the dynamic connectedness between media coverage, emerging market bonds, and US bonds, as well as between the respective volatilities, especially during the early phases of the Covid-19 pandemic, with the highest values observed in March 2020. The emerging market bonds appear to be net transmitters to the system and lead the system; whereas, the US bond market is the net receiver. These results show that, during the pandemic, the US bond market is less vulnerable and more resilient to changes in market sentiment vis-à-vis the fixed-income markets of the developing countries.

Publisher

Elsevier

Volume

67

Disciplines

Business

Indexed in Scopus

no

Open Access

no

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