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Term Spreads and the COVID-19 Pandemic:: Evidence from International sovereign bond markets

Term Spreads and the COVID-19 Pandemic:: Evidence from International sovereign bond markets
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.
COVID-19 pandemic, Coronavirus, Policy responses, Government bonds, Sovereign bond, Term spread, Term structure, Interest rates
1544-6123
Zaremba, Adam
30534111-ed33-47e9-bb18-2163d304eca6
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Aharon, David Y.
3108729a-17ec-4bd6-b8fe-2559e45770d5
Umar, Zaghum
72ea661c-27d5-4bd8-88bf-2e7bdaa57f8c
Zaremba, Adam
30534111-ed33-47e9-bb18-2163d304eca6
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Aharon, David Y.
3108729a-17ec-4bd6-b8fe-2559e45770d5
Umar, Zaghum
72ea661c-27d5-4bd8-88bf-2e7bdaa57f8c

Zaremba, Adam, Kizys, Renatas, Aharon, David Y. and Umar, Zaghum (2021) Term Spreads and the COVID-19 Pandemic:: Evidence from International sovereign bond markets. Finance Research Letters, 44, [102042]. (doi:10.1016/j.frl.2021.102042).

Record type: Article

Abstract

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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More information

Accepted/In Press date: 31 March 2021
e-pub ahead of print date: 5 April 2021
Keywords: COVID-19 pandemic, Coronavirus, Policy responses, Government bonds, Sovereign bond, Term spread, Term structure, Interest rates

Identifiers

Local EPrints ID: 448345
URI: http://eprints.soton.ac.uk/id/eprint/448345
ISSN: 1544-6123
PURE UUID: 766502dd-2ab5-430c-94e0-e8bd090c56a9
ORCID for Renatas Kizys: ORCID iD orcid.org/0000-0001-9104-1809

Catalogue record

Date deposited: 20 Apr 2021 16:34
Last modified: 27 Apr 2022 02:14

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Contributors

Author: Adam Zaremba
Author: Renatas Kizys ORCID iD
Author: David Y. Aharon
Author: Zaghum Umar

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