Return and volatility transmission between emerging markets and US debt throughout the pandemic crisis

In this study, we investigate the return and volatility spillovers between emerging markets and US government bonds during the Covid-19-triggered pandemic by accounting for the market sentiment captured by the media coverage index. To study the dynamic spillovers, we use a TVP-VAR approach. Our resu...

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Detalles Bibliográficos
Autores principales: Umar, Zaghum, Manel, Youssef, Riaz, Yasir, Gubareva, Mariya
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9759268/
http://dx.doi.org/10.1016/j.pacfin.2021.101563

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9759268/
http://dx.doi.org/10.1016/j.pacfin.2021.101563

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