Proceedings of the Seventh Padang International Conference On Economics Education, Economics, Business and Management, Accounting and Entrepreneurship (PICEEBA 2021)

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Cross-country Spillover Through Government Bond Market in Emerging East Asia: The Effect of Covid-19

Authors
Ardiani Rachmasyaputri1, *, Viverita Viverita2
1Graduate School of Management, Faculty of Economics and Business, Universitas Indonesia
2Department of Management Faculty of Economics and Business, Universitas Indonesia
*Corresponding author. Email: ardiani.rachmasyaputri@ui.ac.id (Ardiani Rachmasyaputri)
Corresponding Author
Ardiani Rachmasyaputri
Available Online 23 November 2021.
DOI
10.2991/aebmr.k.211117.048How to use a DOI?
Keywords
Spillover; Government bond; COVID-19; Emerging East Asia; VAR-variance decomposition
Abstract

This paper showed evidence of the effect of covid-19 on changes in the structure and time-varying pattern of bond yield spillover across the country through the government bond market in emerging East Asia. We used daily 10-year government bond yield for China, Hong Kong, Japan, South Korea, Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Viet Nam. We employed the VAR-variance decomposition framework developed by Diebold-Yilmaz 2012, which performed both static and dynamic impact to quantify the spillover shock transmission from one country to another. The static Total Spillover Index in the Covid-19 period was higher than the entire sample period. Over 10-years, the spillover effects come from the own-stressed country. In contrast, spillover effects emanating from other countries have significant roles in the Covid-19 period. It indicated that domestic factors turn to regional factors that explained shock transmission across-country in the Covid-19 Era. The dynamic Total Spillover Index reached the highest point in the Covid-19 period. In particular, the first quarter of 2020 showed the peak point of spillover effect across the country. Hong Kong and Thailand showed their impact on the East Asia markets within 10-years and the covid-19 period. Our findings matter to regional government policies seeking to achieve financial stability.

Copyright
© 2021 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

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Volume Title
Proceedings of the Seventh Padang International Conference On Economics Education, Economics, Business and Management, Accounting and Entrepreneurship (PICEEBA 2021)
Series
Advances in Economics, Business and Management Research
Publication Date
23 November 2021
ISBN
978-94-6239-457-5
ISSN
2352-5428
DOI
10.2991/aebmr.k.211117.048How to use a DOI?
Copyright
© 2021 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

Cite this article

risenwbib
TY  - CONF
AU  - Ardiani Rachmasyaputri
AU  - Viverita Viverita
PY  - 2021
DA  - 2021/11/23
TI  - Cross-country Spillover Through Government Bond Market in Emerging East Asia: The Effect of Covid-19
BT  - Proceedings of the Seventh Padang International Conference On Economics Education, Economics, Business and Management, Accounting and Entrepreneurship (PICEEBA 2021)
PB  - Atlantis Press
SP  - 138
EP  - 148
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.211117.048
DO  - 10.2991/aebmr.k.211117.048
ID  - Rachmasyaputri2021
ER  -