Document Type

Article

Source of Publication

Humanities & Social Sciences Communications

Publication Date

1-3-2023

Abstract

This study aims to examine the impact of the different waves of the COVID-19 pandemic on the connectedness of the BRICS (Brazil, Russia, India, China, and South Africa) term structure of interest rates and its components (level, slope and curvature). For that purpose, this research applies the time-varying parameter vector autoregression (TVP-VAR) approach in order to assess the direction of spillovers among countries and factors and measure their contribution to the connectedness system. Our results show that the total connectedness measure changes over time, and the level and curvature components show connectedness that persists longer than the slope component, both in the first wave of the COVID-19 pandemic. Brazil and South Africa would appear as net transmitters of shocks, whereas China and India are net receivers. Finally, the most significant differences in the net dynamic connectedness between transmitters and receivers were focused on before and during the first wave of the COVID-19 pandemic crisis. Some additional impacts were observed during the last waves of the coronavirus pandemic. To our best knowledge, this is the first study on the connectedness between the yield curves of the BRICS economies and the COVID-19 crisis uncertainty according to the coronavirus MCI, by decomposing the yield curve into its factors (level, slope, and curvature).

ISSN

2662-9992

Publisher

Springer Science and Business Media LLC

Volume

10

Issue

1

Disciplines

Business

Keywords

Global Financial Crisis, International Bond Markets, Impulse-response Analysis, Time-series, Volatility Spillovers, Unit-root, US, Oil, Contagion, Dynamics

Creative Commons License

Creative Commons Attribution 4.0 International License
This work is licensed under a Creative Commons Attribution 4.0 International License.

Indexed in Scopus

no

Open Access

yes

Open Access Type

Gold: This publication is openly available in an open access journal/series

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