 The asymmetric impact of the pandemic crisis on interest rates on public debt in the EurozoneGiovanni Carnazza and Paolo Liberati Journal of Policy Modeling, 2021, vol. 43, issue 3, 521-542 Abstract: The outbreak of Covid-19 has played the role of a ‘game changer’ in the way countries of the Eurozone have faced the economic consequences of the pandemic crisis. This paper investigates what has happened to the interest rates of the sovereign bond in selected countries of the Eurozone during 2020. While the pandemic crisis can be interpreted as a symmetric shock, we found some important asymmetric consequences both in the sovereign bond market and the credit default swap market. Even though the European Central Bank (ECB) has played a fundamental role in easening tensions, especially with the announce of the Pandemic Emergency Purchase Programme (PEPP), countries with a higher pre-Covid level of the debt-to-GDP ratio have been found to undergo a significant jump in interest rates and a greater perceived risks of default. Important policies implications emerge in relation to the future role of the ECB. Keywords: Coronavirus; Sovereign bond yields; Sovereign credit default swaps; European Central Bank (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jpolmo:v:43:y:2021:i:3:p:521-542 DOI: 10.1016/j.jpolmod.2021.04.001 Access Statistics for this article Journal of Policy Modeling is currently edited by A. M. Costa More articles in Journal of Policy Modeling from Elsevier |
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