COVID-19 related media sentiment and the yield curve of G-7 economies
Source of Publication
The North American Journal of Economics and Finance
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.
COVID-19, Coronavirus, Connectedness, Yield curve, Sovereign debt, G7, TVP-VAR, Contagion
Aharon, David Y.; Umar, Zaghum; Aziz, Mukhriz Izraf Azman; and Vo, Xuan vinh, "COVID-19 related media sentiment and the yield curve of G-7 economies" (2022). All Works. 4964.
Indexed in Scopus
Open Access Type
Bronze: This publication is openly available on the publisher’s website but without an open license