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The impact of the COVID-19 outbreak on the connectedness of the BRICS's term structure

Economics

The impact of the COVID-19 outbreak on the connectedness of the BRICS's term structure

F. Jareño, A. Escribano, et al.

This study explores how the COVID-19 pandemic waves influenced the interest rate dynamics within BRICS nations. Utilizing a time-varying parameter vector autoregression (TVP-VAR) method, the research reveals intriguing patterns of connectedness among interest rate components, particularly noting that Brazil and South Africa serve as net transmitters of shocks. Conducted by Francisco Jareño, Ana Escribano, and Zaghum Umar, this research unlocks vital insights into the economic interplay during turbulent times.

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Playback language: English
Abstract
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.
Publisher
Humanities and Social Sciences Communications
Published On
Jan 03, 2023
Authors
Francisco Jareño, Ana Escribano, Zaghum Umar
Tags
COVID-19
BRICS
interest rates
connectedness
spillovers
term structures
economic analysis

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