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

Volatility in International Sovereign Bond Markets:: The role of government policy responses to the COVID-19 pandemic
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 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.
COVID-19 pandemic, Coronavirus outbreak, Government policy responses, Containment and closure, Economic support, Sovereign bonds, Government bond market volatility
1544-6123
Zaremba, Adam
30534111-ed33-47e9-bb18-2163d304eca6
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Aharon, David Y.
3108729a-17ec-4bd6-b8fe-2559e45770d5
Zaremba, Adam
30534111-ed33-47e9-bb18-2163d304eca6
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Aharon, David Y.
3108729a-17ec-4bd6-b8fe-2559e45770d5

Zaremba, Adam, Kizys, Renatas and Aharon, David Y. (2021) Volatility in International Sovereign Bond Markets:: The role of government policy responses to the COVID-19 pandemic. Finance Research Letters, 43, [102011]. (doi:10.1016/j.frl.2021.102011). (In Press)

Record type: Article

Abstract

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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Revised_Manuscript_FRL_D_20_00281 - Accepted Manuscript
Restricted to Repository staff only until 4 March 2023.
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Text
Revised Manuscript FRL-D-20-00281
Restricted to Repository staff only
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More information

Accepted/In Press date: 4 March 2021
Keywords: COVID-19 pandemic, Coronavirus outbreak, Government policy responses, Containment and closure, Economic support, Sovereign bonds, Government bond market volatility

Identifiers

Local EPrints ID: 448408
URI: http://eprints.soton.ac.uk/id/eprint/448408
ISSN: 1544-6123
PURE UUID: 49e739ab-907a-4e42-bf5e-cb5a4f65270a
ORCID for Renatas Kizys: ORCID iD orcid.org/0000-0001-9104-1809

Catalogue record

Date deposited: 21 Apr 2021 16:35
Last modified: 09 Jan 2022 04:07

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Contributors

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

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