Responses of the International Bond Markets to COVID-19 Containment Measures

Bao Cong Nguyen To, Tam Van Thien Nguyen, Nham Thi Hong Nguyen and Hoai Thu Ho
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Bao Cong Nguyen To: School of Finance, University of Economics Ho Chi Minh City (UEH), Ho Chi Minh City 70000, Vietnam
Tam Van Thien Nguyen: School of Finance, University of Economics Ho Chi Minh City (UEH), Ho Chi Minh City 70000, Vietnam
Nham Thi Hong Nguyen: School of Finance, University of Economics Ho Chi Minh City (UEH), Ho Chi Minh City 70000, Vietnam
Hoai Thu Ho: School of Finance, University of Economics Ho Chi Minh City (UEH), Ho Chi Minh City 70000, Vietnam

JRFM, 2022, vol. 15, issue 3, 1-11

Abstract: Using an international sample during the COVID-19 outbreak, our study gives evidence that COVID-19 containment measures impact volatility in the international bond markets in different ways. We found that the positive effect of increasing new COVID-19 vaccinations markedly mitigates bond market volatility, while non-pharmaceutical government interventions resembling bad news increase volatility in bond markets. Besides this, changes in total COVID-19 cases and total deaths have co-movement and a significant relationship with this volatility. Our results imply that the investors’ responses to the trigger of increased uncertainty seem to differ in a way that depends on bad or good news as a reflection of the possibility of pandemic control and the health of the economy. The mass vaccinations not only signal a lower probability of stringent government responses to the pandemic but also stabilize investors’ behavior and mitigate compliance fears to open a period of safe living with coronavirus. Our findings are still robust when using alternative measures of independent variables and different forecasting models of conditional volatility.

Keywords: COVID-19 containment measures; government interventions; international bond market; vaccinations (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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