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

Author First name, Last name, Institution

Adam Zaremba, Montpellier Business School
Renatas Kizys, Southampton Business School
David Y. Aharon, Ono Academic College
Zaghum Umar, Zayed UniversityFollow

ORCID Identifiers

0000-0001-5879-9431

0000-0001-9104-1809

0000-0002-1358-5592

Document Type

Article

Source of Publication

Finance Research Letters

Publication Date

1-1-2021

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.

DOI Link

10.1016/j.frl.2021.102042

ISSN

1544-6123

Publisher

Elsevier BV

Disciplines

Business

Keywords

Coronavirus, COVID-19 pandemic, Government bonds, Interest rates, Policy responses, Sovereign bond, Term spread, Term structure

Scopus ID

85103940392

Recommended Citation

Zaremba, Adam; Kizys, Renatas; Aharon, David Y.; and Umar, Zaghum, "Term spreads and the COVID-19 pandemic: Evidence from international sovereign bond markets" (2021). All Works. 4155.
https://zuscholars.zu.ac.ae/works/4155

Indexed in Scopus

yes

Open Access

yes

Open Access Type

Bronze: This publication is openly available on the publisher’s website but without an open license