Article
Term spreads and the COVID-19 pandemic: Evidence from international sovereign bond markets
Finance Research Letters
Document Type
Article
Publication Date
1-1-2021
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.
DOI Link
10.1016/j.frl.2021.102042
Publisher
Elsevier BV
Disciplines
Keywords
- Coronavirus,
- COVID-19 pandemic,
- Government bonds,
- Interest rates,
- Policy responses,
- Sovereign bond,
- Term spread,
- Term structure
Scopus ID
85103940392
Indexed in Scopus
Yes
Open Access
Yes
Open Access Type
Bronze: This publication is openly available on the publisher’s website but without an open license
https://doi.org/10.1016/j.frl.2021.102042
Citation Information
Adam Zaremba, Renatas Kizys, David Y. Aharon and Zaghum Umar. "Term spreads and the COVID-19 pandemic: Evidence from international sovereign bond markets" Finance Research Letters (2021) ISSN: <a href="https://v2.sherpa.ac.uk/id/publication/issn/1544-6123" target="_blank">1544-6123</a> Available at: http://works.bepress.com/zaghum-umar/26/