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

Sanjay Kumar Rout () and Hrushikesh Mallick ()
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Sanjay Kumar Rout: Centre for Development Studies
Hrushikesh Mallick: Centre for Development Studies

Asia-Pacific Financial Markets, 2022, vol. 29, issue 4, No 5, 697-734

Abstract: 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.

Keywords: Covid-19 pandemic; Diebold and Yilmaz approach; International sovereign bond markets; Rolling window; Shock spillovers (search for similar items in EconPapers)
JEL-codes: C53 E44 F36 G12 G15 I12 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s10690-022-09371-x

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