Asymmetric transmission of US treasury volatility: the evolving role of Hong Kong and risks to China's sovereign bond market
研究了2015至2024年间美国、香港和中国内地主权债券收益率波动（分上行和下行）的跨市场传导，发现下行波动更持久且系统性更强，香港在2022年后对下行冲击的缓冲作用减弱，导致衰退相关波动更直接冲击中国内地市场。
Purpose US Treasury yield volatility shapes global financial conditions and influences valuation, discount rate expectations and sovereign risk disclosure. As China deepens financial openness, its sovereign yield curve becomes increasingly sensitive to external shocks that pass through Hong Kong, China. This study examines how upside yield volatility linked to tightening expectations and downside yield volatility linked to recession expectations move across these markets and how these transmissions inform accounting related assessments of risk and valuation. Design/methodology/approach We develop a directional spectral spillover framework using daily sovereign yield data for the USA, Hong Kong and Mainland China from 2015 to 2024. By separating volatility into upside and downside components and examining spillovers across different frequency bands (i.e. short-vs. long-term horizons), we identify transmission patterns that influence both immediate pricing responses and longer horizon valuation processes relevant for financial reporting. Findings The similar-strength transmission of upside and downside yield volatility across sovereign bond markets reveals their dual sensitivity to tightening and recession-hedging forces, demonstrating a reaction to multiple, rather than a single dominant, sources of uncertainty. While short-term spillovers dominate overall, downside spillovers have a comparatively more pronounced long-term component, meaning that recession-related volatility is more durable and systemic. This persistence has implications for long horizon risk assessment and the broader information environment. Hong Kong absorbs a portion of US upside shocks but becomes a less effective intermediary during downside periods after 2022, allowing recession-related volatility to reach Mainland China markets more directly. Originality/value This study provides a coherent mapping of how external sovereign risk is transmitted into China through a partially open financial system, offering new insight into how global volatility shapes domestic valuation benchmarks used in financial analysis and reporting contexts. The framework contributes to accounting research by clarifying how cross market information flows may affect fair value estimation, sovereign risk monitoring and macro prudential oversight.