| By: |
Claudiu Albulescu (CRIEF - Centre de Recherche sur l'Intégration Economique et Financière - Université de Poitiers);
Eugenia Grecu (UPT - Politehnica University of Timisoara);
Adam Zaremba (Montpellier Business School - Montpellier Business School);
David Aharon |
| Abstract: |
We test the interaction between COVID-19 governments' interventions,
COVID-19-induced uncertainty, and the volatility of sovereign bonds. Using a
panel-quantile approach and a comprehensive dataset of 31 countries worldwide,
we document that containment and closure policies tend to amplify volatility.
Furthermore, the price variability is augmented by the spread of the pandemic
itself. On the contrary, economic support policies have a substantial
stabilizing effect on bond price fluctuations. Both phenomena are not subsumed
by additional control variables and are robust to multiple considerations. Our
findings may serve financial market participants in their risk management
decisions, as well as policy makers to better shape their preparedness for
future pandemics. |
| Keywords: |
government bond price volatility,COVID-19,government policy responses,international financial markets,containment and closure,economic support,panel quantile regression. JEL classifications: G01 |
| Date: |
2021–04–12 |
| URL: |
http://d.repec.org/n?u=RePEc:hal:wpaper:hal-03195678&r= |