Yanrui Wu,  University of  Western Australia Business School: This paper examines and compares three major crises, namely, the 2008–09 global financial crisis (GFC), the 2013 “taper tantrum” (TT), and the ongoing COVID-19 pandemic (C-19) and their potential spillover effects. The topic is interesting and timely given the current outbreak of COVID-19 in the world. The paper thus potentially adds to the literature and contributes to the understanding of the economic impacts of a major crisis or pandemic in the world.

The paper is essentially an empirical exercise involving standard time-series econometric methods, that is, the GARCH BEKK process and the multivariate vector autoregression (M-VAR). The authors would most probably be aware that there are competing, more advanced techniques available. It would thus be helpful if these new developments are at least acknowledged in the paper. Otherwise, the chosen research methods in the paper are appropriate and acceptable.

In the paper, the authors considered five asset types in ten countries (United States, Japan, and eight emerging Asian economies). They concluded that among the three crises, the COVID-19 pandemic has generated the largest spillover effect and the United States is a net transmitter of spillovers, particularly in bonds and equity markets. The detailed results are presented in Figures 1–3 of the paper. However, interpretation of these figures is largely based on virtual observation. It would be more convincing if the authors can conduct some statistical tests of statements like being “the largest transmitter” or “the largest receiver.” The three charts are based on 1 percent level of significance. Are the conclusions the same if a 5 percent level of significance is considered for instance?

The authors also showed that TT was a main trigger of financial volatility in emerging Asian economies, particularly the bond markets. Although COVID-19 and its effects are still being assessed by economists, there must already be a large body of studies on the impacts of the GFC and TT. It would be instrumental if the findings in this paper could be compared with those in the existing literature, which I feel is underdocumented in this paper.

The last part of the empirical exercise is the examination of impulse response functions (IRF). The authors concluded that “IRF shows that in general, the average period of transmission of spillover was around three to five days.” This is a key finding that is highlighted in several places (the abstract, conclusion, and so on). But it is difficult for readers to digest this, as relevant evidence is not presented in the paper perhaps due to space limitations. This is unfortunate.

Finally, in the paper, the authors commented on policy implications, which I like. The message to emerging Asian economies and policymakers is noticeably clear that these economies should establish a concrete system of financial cooperation or ensure that the existing system truly functions during a crisis.