COVID-19 related media sentiment and the yield curve of G-7 economies
David Y. Aharon,
Zaghum Umar,
Mukhriz Izraf Azman Aziz and
Xuan Vinh Vo
The North American Journal of Economics and Finance, 2022, vol. 61, issue C
Abstract:
We explore the connectedness of the components of the sovereign yield curve (slope, level and curvature) across G-7 countries and media sentiment about COVID-19. The recent pandemic is a unique opportunity to identifying the transmitters and receivers of risk. Our results indicate that media sentiment along with the US yield curve components are main transmitter of spillovers, whereas Japan is the leading recipient of spillover. Among the European countries, we notice France as a major transmit, whereas Germany and UK switch role as transmitter and receiver alternatively. The results are important for mapping the interconnectedness between countries. In addition, policy makers can use them when devising disaster plans to prepare for future market crises.
Keywords: COVID-19; Coronavirus; Connectedness; Yield curve; Sovereign debt; G7; TVP-VAR; Contagion (search for similar items in EconPapers)
JEL-codes: C53 E43 F36 G12 G17 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (14)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:61:y:2022:i:c:s106294082200033x
DOI: 10.1016/j.najef.2022.101678
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