Term spreads and the COVID-19 pandemic: Evidence from international sovereign bond markets

A. Zaremba; R. Kizys; D. Aharon; Z. Umar

Статья

Term spreads and the COVID-19 pandemic: Evidence from international sovereign bond markets

A. Zaremba, R. Kizys, D. Aharon, Z. Umar,

2021

https://doi.org/10.1016/j.frl.2021.102042

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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1. Version of Record от 2021-01-01

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Об авторах

A. Zaremba
Montpellier Business School, Montpellier Recherche en Management (MRM), Poznań University of Economics and Business
R. Kizys
Southampton Business School
D. Aharon
Ono Academic College
Z. Umar
Zayed University, South Ural State University

Название журнала

Finance Research Letters

Финансирующая организация

Narodowe Centrum Nauki

Номер гранта

2015/19/B/HS4/00378

Тип документа

journal article

Тип лицензии Creative Commons

CC BY

Правовой статус документа

Свободная лицензия

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scopus

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Статья

Term spreads and the COVID-19 pandemic: Evidence from international sovereign bond markets

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