Government Interventions and Sovereign Bond Market Volatility during COVID 19: A Quantile Analysis

Claudiu Albulescu () and Eugenia Grecu
Authors registered in the RePEc Author Service: Adam Zaremba ()

Working Papers from HAL

Abstract: We test the interaction between COVID-19 governments' interventions, COVID-19-induced uncertainty, and the volatility of sovereign bonds. Using a panel-quantile approach and a comprehensive dataset of 31 countries worldwide, we document that containment and closure policies tend to amplify volatility. Furthermore, the price variability is augmented by the spread of the pandemic itself. On the contrary, economic support policies have a substantial stabilizing effect on bond price fluctuations. Both phenomena are not subsumed by additional control variables and are robust to multiple considerations. Our findings may serve financial market participants in their risk management decisions, as well as policy makers to better shape their preparedness for future pandemics.

Keywords: international financial markets; containment and closure; economic support; panel quantile regression.; COVID-19; government bond price volatility; government policy responses (search for similar items in EconPapers)
Date: 2022-11-03
New Economics Papers: this item is included in nep-ifn and nep-rmg
Note: View the original document on HAL open archive server: https://hal.science/hal-03195678v2
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Citations: View citations in EconPapers (1)

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Journal Article: Government Interventions and Sovereign Bond Market Volatility during COVID-19: A Quantile Analysis (2023)
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