COVID-19 related media sentiment and the yield curve of G-7 economies

Document Type

Article

Source of Publication

The North American Journal of Economics and Finance

Publication Date

7-1-2022

Abstract

We explore the connectedness of the components of the sovereign yield curve (slope, level and curvature) across G-7 countries and media sentiment about COVID-19. The recent pandemic is a unique opportunity to identifying the transmitters and receivers of risk. Our results indicate that media sentiment along with the US yield curve components are main transmitter of spillovers, whereas Japan is the leading recipient of spillover. Among the European countries, we notice France as a major transmit, whereas Germany and UK switch role as transmitter and receiver alternatively. The results are important for mapping the interconnectedness between countries. In addition, policy makers can use them when devising disaster plans to prepare for future market crises.

ISSN

Publisher

Elsevier BV

Volume

61

First Page

101678

Last Page

101678

Disciplines

Business

Keywords

COVID-19, Coronavirus, Connectedness, Yield curve, Sovereign debt, G7, TVP-VAR, Contagion

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

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