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全球大流行期间债券市场溢出网络：我们从东盟4国市场学到的经验（英）

金融2023-02-01亚开行点***

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This ADBI Working Paper examines bond market spillover networks during the global pandemic in ASEAN-4 markets (Indonesia, Malaysia, the Philippines, and Thailand). The authors find that bond market spillovers increased during the pandemic, particularly in Indonesia and the Philippines, and that these spillovers were driven by changes in investor sentiment and risk aversion. The paper also highlights the importance of macroprudential policies in mitigating the impact of spillovers on financial stability. Overall, the paper provides valuable insights for policymakers and market participants in the ASEAN region and beyond.

ADBIWorkingPaperSeries BONDMARKETSPILLOVERNETWORKSDURINGTHEGLOBALPANDEMIC:WHATWELEARNEDFROMASEAN-4MARKETS GaziSalahUddin,MuhammadYahya,DonghyunPark,AxelHedström, andShuTian No.1360 February2023 AsianDevelopmentBankInstitute GaziSalahUddinisaprofessoroffinancialeconomicsattheDepartmentofManagementandEngineering,LinköpingUniversity,Sweden.MuhammadYahyaisanassociateprofessoratInlandNorwayUniversityofAppliedSciences,CampusLillehammer,Norway.DonghyunParkisaneconomicadvisor(StrategicKnowledgeInitiatives)attheEconomicResearchandRegionalCooperationDepartment(ERCD),AsianDevelopmentBank(ADB).AxelHedströmisaPhDcandidateattheDepartmentofManagementandEngineering,LinköpingUniversity,Linköping,Sweden.ShuTianisasenioreconomistatERCD,ADB. TheviewsexpressedinthispaperaretheviewsoftheauthoranddonotnecessarilyreflecttheviewsorpoliciesofADBI,ADB,itsBoardofDirectors,orthegovernmentstheyrepresent.ADBIdoesnotguaranteetheaccuracyofthedataincludedinthispaperandacceptsnoresponsibilityforanyconsequencesoftheiruse.TerminologyusedmaynotnecessarilybeconsistentwithADBofficialterms. Discussionpapersaresubjecttoformalrevisionandcorrectionbeforetheyarefinalizedandconsideredpublished. TheWorkingPaperseriesisacontinuationoftheformerlynamedDiscussionPaperseries;thenumberingofthepaperscontinuedwithoutinterruptionorchange.ADBI’sworkingpapersreflectinitialideasonatopicandarepostedonlinefordiscussion.Someworkingpapersmaydevelopintootherformsofpublication. Suggestedcitation: Uddin,G.S.,M.Yahya,D.Park,A.Hedström,andS.Tian.2023.BondMarketSpilloverNetworksduringtheGlobalPandemic:WhatWeLearnedfromASEAN-4Markets.ADBIWorkingPaper1360.Tokyo:AsianDevelopmentBankInstitute.Available:https://doi.org/10.56506/ZDNQ3203 Pleasecontacttheauthorsforinformationaboutthispaper. Email:gazi.salah.uddin@liu.se,muhammad.yahya@inn.no,dpark@adb.org,axel.hedstrom@liu.se,Stian@adb.org GaziSalahUddinisthankfulfortheacademicsupportprovidedbytheAsianDevelopmentBankunderaneducationalresearchgrantofthePrimaryBondInformationPlatforminASEAN+3PrimaryBondTechnicalAssistance.AnearlierversionofthepaperwaspresentedattheLinköpingUniversity,Sweden;attheSchoolofBusiness,NorthSouthUniversity,Bangladesh;andastheinvitedkeynotetalkattheEDTconference,Croatia,andBI-ADBI-APAEAconference,Bali,Indonesia. AsianDevelopmentBankInstituteKasumigasekiBuilding,8thFloor3-2-5Kasumigaseki,Chiyoda-ku Tokyo100-6008,Japan Tel:+81-3-3593-5500 Fax:+81-3-3593-5571 URL:www.adbi.orgE-mail:info@adbi.org ©2023AsianDevelopmentBankInstitute Abstract Duringdecadesofmarketdevelopment,theindividualfinancialmarketsofthemembereconomiesoftheAssociationofSoutheastAsianNations(ASEAN)havebeenprogressivelyincorporatedintoregionalandinternationalmarkets.TheaimofthisstudyistoexploreandmeasurethestrengthanddirectionofthebondmarketconnectednessbetweenIndonesia,Malaysia,thePhilippines,andThailand—collectivelyknownasASEAN-4—andmajorglobalandregionalbondmarketsandtoidentifyvariousfactorsaffectingspillovereffects.Thisstudyderivesariskspillovermeasurebasedontheattributesofstaticanddynamicspillovermodelsandempiricallyexaminesitsroleinreceivingortransmittingshocksbasedondifferentinformationspilloverorcontagionchannels.Inparticular,theobjectiveofthisstudyistoevaluatetheconnectednessdynamicsempiricallyusinggovernmentbondyieldsinASEAN-4markets,majorregionalmarkets(thePeople’sRepublicofChina,Japan,andtheRepublicofKorea),andmajorglobalmarkets(theEuropeanUnion,theUnitedKingdom,andtheUnitedStates).WeaimtoexamineriskspilloversinASEAN-4bondmarketsandidentifythepotentialeconomicandfinancialfundamentalsdrivinguncertaintyspillovers.Wefindcomplexintra-groupreturnandvolatilityconnectednessamongASEAN-4marketsandmoderateinter-groupreturnandvolatilityconnectednessbetweenASEAN-4andregionalandglobalmarketsatdifferenttimehorizons. Keywords:ASEAN-4bondmarkets,COVID-19,spillover,uncertainty,volatility JELClassification:F21,G12,G15,J11,M48,N25,O11 Contents 1.INTRODUCTION1 2.PILLOVERMETHODOLOGY4 2.1TimeDomainNetworkSpilloverFramework4 2.2FrequencyDomainSpillovers5 2.3TimeDomainandFrequencyDomainConnectednessFramework5 3.DATAANDSUMMARYSTATISTICS5 4.EMPIRICALFINDINGS9 4.1ReturnConnectedness9 4.2VolatilityConnectedness13 4.3DynamicSpillovers17 4.4DeterminantsofReturnandVolatilitySpillovers19 5.CONCLUSION22 REFERENCES23 1.INTRODUCTION Duringdecadesofmarketdevelopment,theindividualfinancialmarketsofmembereconomiesoftheAssociationofSoutheastAsianNations(ASEAN)havegraduallybeenincorporatedintoregionalandinternationalmarkets.Meanwhile,ASEANeconomieshavedevelopedstrongtradeconnectednessandinterdependencewithregionalandglobalbusinesscycles.Suchconnectednessmayfosterthespreadofglobalshockstolocalmarketsanddistresslocalfinancialmarkets.Nevertheless,globalshocksexertasymmetricimpactsondifferentmarketsacrossdifferenttimehorizons.Therefore,inthisstudy,weexploreandmeasurethestrengthanddirectionalityofthebondmarketspillovereffectsofASEANeconomieswithmajorglobalandregionalmarketsandidentifyvariousfactorsaffectingtheconnectednessdynamics. Theeconomicmotivationforthispaperisaninit

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