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 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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Year of publication:	[2021]
Authors:	Zaremba, Adam ; Kizys, Renatas ; Aharon, David Y. ; Umar, Zaghum
Publisher:	[S.l.] : SSRN
Subject:	Coronavirus \| Öffentliche Anleihe \| Public bond \| Welt \| World \| Zinsstruktur \| Yield curve \| Epidemie \| Epidemic \| Risikoprämie \| Risk premium \| Rentenmarkt \| Bond market

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Extent:	1 Online-Ressource (11 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Finance Research Letters Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 5, 2020 erstellt
Other identifiers:	10.2139/ssrn.3727882 [DOI]
Classification:	G01 - Financial Crises ; G12 - Asset Pricing ; G15 - International Financial Markets ; G18 - Government Policy and Regulation ; E43 - Determination of Interest Rates; Term Structure Interest Rates
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013236151