This study examines the impact of COVID-19 pandemic waves on the connectedness of BRICS (Brazil, Russia, India, China, South Africa) interest rate term structures and its components (level, slope, curvature). Using a time-varying parameter vector autoregression (TVP-VAR) approach, the study assesses the direction of spillovers and their contribution to the connectedness system. Results show that total connectedness varies over time, with level and curvature components exhibiting more persistent connectedness than the slope component, particularly during the first wave. Brazil and South Africa are net transmitters of shocks, while China and India are net receivers. The most significant differences in net dynamic connectedness between transmitters and receivers were observed before and during the first wave, with some additional impacts during later waves.

Francisco Jareño, Ana Escribano, Zaghum Umar