Global Shock and Regional Spillovers
Iwan Azis (),
Mitra Sabyasachi and
Additional contact information
Baluga Anthony: ADB, 6 ADB Avenue, Mandaluyong City, 1550 Metro Manila, Philippines
Peace Economics, Peace Science, and Public Policy, 2013, vol. 19, issue 2, 183-211
When global crisis struck at a time of great global and regional interdependence, contagion occurs; it can work via capital flows or through spillovers of the returns/yields on financial assets. The analysis in the paper deals with the latter. Focusing on the shocks in the United States and Eurozone bonds market, and using multivariate GARCH models with conditional variance-covariance matrix being positive definite, it is shown that the shock and volatility spillovers in some emerging Asian countries are quite significant. They spread throughout different asset classes, threatening the region’s financial stability, and making it more difficult for the policy response to focus on a particular market. Although local bonds volatilities are more determined by their own respective shocks and volatilities, in some markets the direct shock and volatility spillovers remain significant; so does the indirect spillovers within domestic asset markets and across economies. Absent of policy coordination within and across countries. Such undesirable spillovers due to other country’s unilateral policy can be damaging. Growing financial nationalism in the midst of a crisis is likely to spark strong reactions from affected countries, potentially creating a conflict situation.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
https://www.degruyter.com/view/j/peps.2013.19.issu ... -0014.xml?format=INT (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bpj:pepspp:v:19:y:2013:i:2:p:183-211:n:6
Ordering information: This journal article can be ordered from
Access Statistics for this article
Peace Economics, Peace Science, and Public Policy is currently edited by Raul Caruso
More articles in Peace Economics, Peace Science, and Public Policy from De Gruyter
Bibliographic data for series maintained by Peter Golla ().