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

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

Finance Research Letters, 2022, vol. 44, issue C

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.

Keywords: COVID-19 pandemic; Coronavirus; Policy responses; Government bonds; Sovereign bond; Term spread; Term structure; Interest rates (search for similar items in EconPapers)
JEL-codes: E43 G01 G12 G15 G18 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001239

DOI: 10.1016/j.frl.2021.102042

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