Kim Jungsuk, Kumar Abhishek, Mallick Sushanta, Park Donghyun
Sejong University, Seoul, South Korea.
Indira Gandhi Institute of Development Research, Mumbai, India.
Ann Oper Res. 2021 Nov 1:1-29. doi: 10.1007/s10479-021-04314-7.
The COVID-19 pandemic has given rise to a spike in financial market volatility. In this paper, we attempt to assess the effects of financial & news-driven uncertainty shocks in growing Asian economies, using country-specific bond volatility shocks as a measure of local interest rate uncertainty. Also, we contrast the effects of local uncertainty with global stock market uncertainty. Using bond market data from nine Asian markets, we uncover a transmission mechanism of uncertainty shocks via the bond market. The mechanism works as a crowding-out effect due to government-led excessive market borrowing with supply-side consequences for the private sector, as opposed to economic policy or global stock market uncertainty which works more like a demand shock as in the literature. We conclude that countries with growing fiscal deficits that entail a larger government bond market or higher current account deficits, tend to experience an increase in the cost of borrowing due to this bond market volatility or interest rate uncertainty shocks.
新冠疫情导致金融市场波动性激增。在本文中，我们试图评估金融和新闻驱动的不确定性冲击对亚洲增长型经济体的影响，使用特定国家的债券波动性冲击作为当地利率不确定性的衡量指标。此外，我们还对比了本地不确定性与全球股票市场不确定性的影响。利用来自九个亚洲市场的债券市场数据，我们揭示了不确定性冲击通过债券市场的传导机制。该机制表现为一种挤出效应，这是由于政府主导的过度市场借款对私营部门产生了供应端影响，这与经济政策或全球股票市场不确定性不同，后者在文献中更像是一种需求冲击。我们得出结论，财政赤字不断增加、政府债券市场规模较大或经常账户赤字较高的国家，往往会因这种债券市场波动或利率不确定性冲击而面临借款成本上升的情况。
