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

Adam Zaremba (), Renatas Kizys and David Y. Aharon

Finance Research Letters, 2021, vol. 43, issue C

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.

Keywords: COVID-19 pandemic; Coronavirus outbreak; Government policy responses; Containment and closure; Economic support; Sovereign bonds; Government bond market volatility (search for similar items in EconPapers)
JEL-codes: G01 G12 G15 G18 H12 H51 I18 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (25)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000921

DOI: 10.1016/j.frl.2021.102011

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