Term spreads and the COVID-19 pandemic: Evidence from international sovereign bond markets

We explore the impact of the COVID-19 pandemic on the term structure of interest rates. Using data from developed and emerging countries, we demonstrate that the expansion of the disease significantly affects sovereign bond markets. The growth of confirmed cases significantly widens the term spreads...

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Detalles Bibliográficos
Autores principales: Zaremba, Adam, Kizys, Renatas, Aharon, David Y., Umar, Zaghum
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8733935/
https://www.ncbi.nlm.nih.gov/pubmed/35013673
http://dx.doi.org/10.1016/j.frl.2021.102042
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author Zaremba, Adam
Kizys, Renatas
Aharon, David Y.
Umar, Zaghum
author_facet Zaremba, Adam
Kizys, Renatas
Aharon, David Y.
Umar, Zaghum
author_sort Zaremba, Adam
collection PubMed
description We explore the impact of the COVID-19 pandemic on the term structure of interest rates. Using data from developed and emerging countries, we demonstrate that the expansion of the disease significantly affects sovereign bond markets. The growth of confirmed cases significantly widens the term spreads of government bonds. The effect is independent of government policy and monetary responses to COVID-19 and robust to many considerations.
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spelling pubmed-87339352022-01-06 Term spreads and the COVID-19 pandemic: Evidence from international sovereign bond markets Zaremba, Adam Kizys, Renatas Aharon, David Y. Umar, Zaghum Financ Res Lett Article We explore the impact of the COVID-19 pandemic on the term structure of interest rates. Using data from developed and emerging countries, we demonstrate that the expansion of the disease significantly affects sovereign bond markets. The growth of confirmed cases significantly widens the term spreads of government bonds. The effect is independent of government policy and monetary responses to COVID-19 and robust to many considerations. Elsevier Inc. 2022-01 2021-04-05 /pmc/articles/PMC8733935/ /pubmed/35013673 http://dx.doi.org/10.1016/j.frl.2021.102042 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.
Umar, Zaghum
Term spreads and the COVID-19 pandemic: Evidence from international sovereign bond markets
title Term spreads and the COVID-19 pandemic: Evidence from international sovereign bond markets
title_full Term spreads and the COVID-19 pandemic: Evidence from international sovereign bond markets
title_fullStr Term spreads and the COVID-19 pandemic: Evidence from international sovereign bond markets
title_full_unstemmed Term spreads and the COVID-19 pandemic: Evidence from international sovereign bond markets
title_short Term spreads and the COVID-19 pandemic: Evidence from international sovereign bond markets
title_sort term spreads and the covid-19 pandemic: evidence from international sovereign bond markets
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8733935/
https://www.ncbi.nlm.nih.gov/pubmed/35013673
http://dx.doi.org/10.1016/j.frl.2021.102042
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