This paper evaluates the financial spillovers between the US and emerging market economies (EMEs) using the methodology advocated by Diebold and Yilmaz (2009). Based on (i) cross-asset returns of sovereign bond, equity, and foreign exchange, and (ii) 27 individual long-term sovereign bond...

This paper examines the potential impact of US monetary normalisation on sovereign bond yields in Asia Pacific. We apply the quantile vector autoregressive model with principal component analysis to the assessment of tail risk of sovereign debt, which may not be detectable using traditional...

This paper investigates how a rise in US long-term interest rates would have an effect on other international markets. We document that a significant portion of long-term interest rates is due to term premium, which can be interpreted as compensation for inflation risk. Based on an assumed...

The USD non-financial corporate debt in the EMEAP economies has been growing rapidly since the outbreak of Global Financial Crisis (GFC). However, bonds in the region have shown deterioration in overall quality and increasing issuance of short-term bonds. These may expose firms to higher...