Volatility in International Sovereign Bond Markets: The role of government policy responses to the COVID-19 pandemic

Effective government policies may reduce uncertainty in sovereign bond markets. Can policy responses help to curb bond market volatility during the COVID-19 pandemic? To answer this, we examine data from 31 developed and emerging markets during the coronavirus outbreak in 2020. We demonstrate that g...

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Detalles Bibliográficos
Autores principales: Zaremba, Adam, Kizys, Renatas, Aharon, David Y.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8597265/
https://www.ncbi.nlm.nih.gov/pubmed/34803531
http://dx.doi.org/10.1016/j.frl.2021.102011
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author Zaremba, Adam
Kizys, Renatas
Aharon, David Y.
author_facet Zaremba, Adam
Kizys, Renatas
Aharon, David Y.
author_sort Zaremba, Adam
collection PubMed
description Effective government policies may reduce uncertainty in sovereign bond markets. Can policy responses help to curb bond market volatility during the COVID-19 pandemic? To answer this, we examine data from 31 developed and emerging markets during the coronavirus outbreak in 2020. We demonstrate that government interventions substantially reduce local sovereign bond volatility. The effect is mainly driven by economic support policies; the containment and closure regulations and health system interventions play no major role.
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spelling pubmed-85972652021-11-17 Volatility in International Sovereign Bond Markets: The role of government policy responses to the COVID-19 pandemic Zaremba, Adam Kizys, Renatas Aharon, David Y. Financ Res Lett Article Effective government policies may reduce uncertainty in sovereign bond markets. Can policy responses help to curb bond market volatility during the COVID-19 pandemic? To answer this, we examine data from 31 developed and emerging markets during the coronavirus outbreak in 2020. We demonstrate that government interventions substantially reduce local sovereign bond volatility. The effect is mainly driven by economic support policies; the containment and closure regulations and health system interventions play no major role. Elsevier Inc. 2021-11 2021-03-09 /pmc/articles/PMC8597265/ /pubmed/34803531 http://dx.doi.org/10.1016/j.frl.2021.102011 Text en © 2021 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Zaremba, Adam
Kizys, Renatas
Aharon, David Y.
Volatility in International Sovereign Bond Markets: The role of government policy responses to the COVID-19 pandemic
title Volatility in International Sovereign Bond Markets: The role of government policy responses to the COVID-19 pandemic
title_full Volatility in International Sovereign Bond Markets: The role of government policy responses to the COVID-19 pandemic
title_fullStr Volatility in International Sovereign Bond Markets: The role of government policy responses to the COVID-19 pandemic
title_full_unstemmed Volatility in International Sovereign Bond Markets: The role of government policy responses to the COVID-19 pandemic
title_short Volatility in International Sovereign Bond Markets: The role of government policy responses to the COVID-19 pandemic
title_sort volatility in international sovereign bond markets: the role of government policy responses to the covid-19 pandemic
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8597265/
https://www.ncbi.nlm.nih.gov/pubmed/34803531
http://dx.doi.org/10.1016/j.frl.2021.102011
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