Document Type
Article
Source of Publication
PLoS ONE
Publication Date
7-1-2021
Abstract
This paper analyses the influence of the Covid-19 coverage by the social media upon the shape of the sovereign yield curves of the five major developing countries, namely Federative Republic of B razil, Russian Federation, Republic of India, People's Republic of China, and the Republic of South Africa (BRICS). The coherenc e between the level, slope, and the curvature of the sovereign yield term structures and the Covid-19 medi a coverage is found to vary between low and high ranges, depending on the phases of the pandemic. The empirical estimations of the yield-curve factors a re performed by means of the Diebold-Li modified version of the Nelson-Siegel model. The intervals of low coherence reveal the capacity of the two latent factors, level and slope, to be used for creating cross-factor diversification strategies, workable under crisis conditions, as evidenced on the example of the ongoing pandemic. Diverse coherence patterns are reported on a per-country basis, highlighting a promising potential of sovereign debt investments for designing cross-country and cross-factor fixed-income strategies, capable of hedging downside risks.
DOI Link
Publisher
Public Library of Science
Volume
16
Issue
7 July
Disciplines
Business
Scopus ID
Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.
Recommended Citation
Umar, Zaghum; Gubareva, Mariya; and Sokolova, Tatiana, "The impact of the Covid-19 related media coverage upon the five major developing markets" (2021). All Works. 4396.
https://zuscholars.zu.ac.ae/works/4396
Indexed in Scopus
yes
Open Access
yes
Open Access Type
Gold: This publication is openly available in an open access journal/series