EconPapers    
Economics at your fingertips  
 

The Threat of Financial Contagion to Emerging Asia’s Local Bond Markets: Spillovers from Global Crises

Iwan Azis (), Sabyasachi Mitra (), Anthony Baluga () and Roselle Dime ()
Additional contact information
Sabyasachi Mitra: Asian Development Bank, Postal: 6 ADB Avenue, Mandaluyong City, 1550 Metro Manila, Philippines, http://www.adb.org
Anthony Baluga: Asian Development Bank, Postal: 6 ADB Avenue, Mandaluyong City, 1550 Metro Manila, Philippines, http://www.adb.org
Roselle Dime: Asian Development Bank, Postal: 6 ADB Avenue, Mandaluyong City, 1550 Metro Manila, Philippines, http://www.adb.org

No 106, Working Papers on Regional Economic Integration from Asian Development Bank

Abstract: This paper employs multivariate GARCH models with a BEKK specification to show significant shock and volatility spillovers from mature bond markets into select emerging Asian local currency bond markets. Results reveal that while the growth of individual bond markets in recent years has been impressive, the threat of financial contagion to emerging Asian bond markets from shock and volatility spillovers in mature markets is real. Although emerging Asian local bond market volatilities are more determined by their own respective shocks and volatilities, in some markets the direct shock and volatility spillovers remain significant. An extended analysis also shows indirect spillovers within domestic asset markets and across economies. The results have important implications for the monitoring and coordination of policies, not just within national jurisdictions but also in regional and global settings, in order to maintain financial stability.

Keywords: Spillovers; contagion; sovereign bond yields and returns; conditional volatility; emerging Asian local currency bond markets; financial crisis (search for similar items in EconPapers)
JEL-codes: C14 E43 E62 G12 H62 (search for similar items in EconPapers)
Pages: 52 pages
Date: 2013-01-01
New Economics Papers: this item is included in nep-sea
References: Add references at CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
http://aric.adb.org/pdf/workingpaper/WP106_Azis_et_al_Spillover.pdf Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ris:adbrei:0106

Access Statistics for this paper

More papers in Working Papers on Regional Economic Integration from Asian Development Bank Contact information at EDIRC.
Bibliographic data for series maintained by Ivan B. de Leon ().

 
Page updated 2022-07-02
Handle: RePEc:ris:adbrei:0106