Asymmetric Spillovers in ASEAN Bond Markets

This study aims to estimate and evaluate the intensity and directionality of bond market connectedness between Association of Southeast Asian Nations (ASEAN) and major regional and global markets and to identify factors impacting the interconnectedness dynamics among these markets. It derives an uncertainty connectedness measure grounded on the attributes of static and dynamic dependence frameworks and empirically evaluates its role in transmitting or receiving shocks based on various information spillover and contagion channels. The findings of this study have important implications for market participants, regulators, and policymakers.