Volatility in International Sovereign Bond Markets: The role of government policy responses to the COVID-19 pandemic.
Ontology highlight
ABSTRACT:
SUBMITTER: Zaremba A
PROVIDER: S-EPMC8597265 | biostudies-literature |
REPOSITORIES: biostudies-literature
Similar Datasets
Project description: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.
| S-EPMC8733935 | biostudies-literature
Project description:Understanding the impact of infectious disease pandemic on stock market volatility is of great concerns for investors and policy makers, especially during recent new coronavirus spreading period. Using an extended GARCH-MIDAS model and a newly developed Infectious Disease Equity Market Volatility Tracker (EMV-ID), we investigate the effects of infectious disease pandemic on volatility of US, China, UK and Japan stock markets through January 2005 to April 2020. The empirical results show that, up to 24-month lag, infectious disease pandemic has significant positive impacts on the permanent volatility of international stock markets, even after controlling the influences of past realized volatility, global economic policy uncertainty and the volatility leverage effect. At different lags of eruptions in infectious disease pandemic, EMV-ID has distinct effects on various stock markets while it has the smallest impact on permanent volatility of China's stock market.
| S-EPMC7391063 | biostudies-literature
Project description:Do government interventions aimed at curbing the spread of COVID-19 affect stock market volatility? To answer this question, we explore the stringency of policy responses to the novel coronavirus pandemic in 67 countries around the world. We demonstrate that non-pharmaceutical interventions significantly increase equity market volatility. The effect is independent from the role of the coronavirus pandemic itself and is robust to many considerations. Furthermore, two types of actions that are usually applied chronologically particularly early-information campaigns and public event cancellations-are the major contributors to the growth of volatility.
| S-EPMC7240275 | biostudies-literature
Project description:This paper investigates the switching effect of COVID-19 pandemic and economic policy uncertainty on commodity prices. We employ Markov regime-switching dynamic model to explore price regime dynamics of eight widely traded commodities namely oil, natural gas, corn, soybeans, silver, gold, copper, and steel. We fit two Markov switching regimes to allow parameters to respond to both low and high volatilities. The empirical evidence shows oil, natural gas, corn, soybean, silver, gold, copper, and steel returns adjust to shocks in COVID-19 outcomes and economic policy uncertainty at varying degrees--in both low volatility and high volatility regimes. In contrast, oil and natural gas do not respond to changes in COVID-19 deaths in both regimes. The findings show most commodities are responsive to historical price in terms of demand and supply in both volatility regimes. Our findings further show a high probability that commodity prices will remain in low volatility regime than in high volatility regime--owing to COVID-19-attributed market uncertainties. These findings are useful to both investors and policymakers--as precious metals and agricultural commodities show less negative response to exogenous variables. Thus, investors and portfolio managers could use precious metals, viz. Gold for short-term cover against systematic risks in the market during the period of global pandemic.
| S-EPMC8459197 | biostudies-literature
Project description:In this paper we examine two policy questions about the COVID 19 pandemic in the Philippines. These are science informed policy questions that will have to take into consideration a large degree of uncertainties in outcomes. The first question is on when to lift the Enhanced Community Quarantine (ECQ) as informed by epidemiological modelling. The second deals on how the Philippines can respond to a future pandemic crisis. We review the Philippine government's responses and introduce the complicating scientific, social, and political contexts for both questions and address proposals for strengthening the science advisory structures. We propose a permanent science advisory body for emergencies with the widest source of expertise as needed.
| S-EPMC7299863 | biostudies-literature
Project description:This study explores the impact of COVID-19 on financial markets controlled by macroeconomic and administrative factors. As natural experimentation, we employ panel data analysis to test 50 stock market indices from January 01 to August 20, 2020. The findings suggest daily growth of COVID-19 confirmed cases have considerable adverse effects on stock returns and positive impacts on investment risks across markets. The government prompt interventions offset adverse impacts of the pandemic. Market reactions to the outbreak and authority responses information are more momentous in more developed economies due to their better information efficiency. The country-specific features of globalisation, uncertainty, healthcare system readiness, and economic development levels appear to have substantial impacts on equity market reactions. Financial markets in countries with higher levels of globalisation, economic policy and financial uncertainty experience more chaos during the pandemic. While those hostile effects are less significant in countries with robust healthcare systems.
| S-EPMC9764364 | biostudies-literature
Project description:The COVID-19 pandemic has become one of the most serious health crises in human history, spreading rapidly across the globe from January 2020 to the present. With prompt and drastic measures, Vietnam is one of the few countries that has largely succeeded in controlling the outbreak. This result is derived from a harmonious combination of many factors, with the policy system playing a key role. This study assessed the policy responses to the COVID-19 pandemic in Vietnam from the early days of the outbreak in January 2020 to 24 July 2020 (with a total of 413 cases confirmed and 99 days of no new cases infected from the local community) by synthesizing and evaluating 959 relevant policy documents in different classifications. The findings show that the Vietnamese policy system responded promptly, proactively, and effectively at multiple authority levels (33 different agencies from the national to provincial governments), using a range of policy tools and measures. Parallel to the daily occurrence of 2.24 new cases, 5.13 new policy documents were issued on average per day over the study period. The pandemic policy response over the first six months in Vietnam were divided into four periods, I (23 January-5 March), II (6-19 March), III (20 March-21 April), and IV (22 April-24 July). This paper synthesizes eight solution groups for these four anti-pandemic phases, including outbreak announcements and steering documents, medical measures, blockade of the schools, emergency responses, border and entry control measures, social isolation and nationwide social isolation measures, financial supports, and other measures. By emphasizing diversification of the policy responses, from the agencies to the tools and measures, the case study reviews and shares lessons from the successful COVID-19 prevention and control in Vietnam that could be useful for other nations.
| S-EPMC7828055 | biostudies-literature
Project description:This paper examines the impact of COVID-19 on bilateral trade flows using a state-of-the-art gravity model of trade. Using the monthly trade data of 68 countries exporting across 222 destinations between January 2019 and October 2020, our results are threefold. First, we find a greater negative impact of COVID-19 on bilateral trade for those countries that were members of regional trade agreements before the pandemic. Second, we find that the impact of COVID-19 is negative and significant when we consider indicators related to governmental actions. Finally, this negative effect is more intense when exporter and importer country share identical income levels. In the latter case, the highest negative impact is found for exports between high-income countries.
| S-EPMC8513914 | biostudies-literature
Project description:This paper analyzes the evolution of CDS spread and CDS volatility around European sovereign rating announcements over the period 2008-13. We show that the effect of the announcement differs depending on the credit quality of the issuer (Investment Grade versus Speculative). The downgrading and negative credit watch of an investment grade country stabilize the market, as volatility decreases right after their release. By contrast, the announcements regarding speculative grade countries trigger an increase in both CDS spread and volatility. Lastly, we show that these announcements not only affect the CDS of the country, but spill over the German CDS.
| S-EPMC7311340 | biostudies-literature
Project description:We provide an assessment of the impact of government closure and containment measures on deaths from COVID-19 across sequential waves of the COVID-19 pandemic globally. Daily data was collected on a range of containment and closure policies for 186 countries from January 1, 2020 until March 11th, 2021. These data were combined into an aggregate stringency index (SI) score for each country on each day (range: 0-100). Countries were divided into successive waves via a mathematical algorithm to identify peaks and troughs of disease. Within our period of analysis, 63 countries experienced at least one wave, 40 countries experienced two waves, and 10 countries saw three waves, as defined by our approach. Within each wave, regression was used to assess the relationship between the strength of government stringency and subsequent deaths related to COVID-19 with a number of controls for time and country-specific demographic, health system, and economic characteristics. Across the full period of our analysis and 113 countries, an increase of 10 points on the SI was linked to 6 percentage points (P < 0.001, 95% CI = [5%, 7%]) lower average daily deaths. In the first wave, in countries that ultimately experiences 3 waves of the pandemic to date, ten additional points on the SI resulted in lower average daily deaths by 21 percentage points (P < .001, 95% CI = [8%, 16%]). This effect was sustained in the third wave with reductions in deaths of 28 percentage points (P < .001, 95% CI = [13%, 21%]). Moreover, interaction effects show that government policies were effective in reducing deaths in all waves in all groups of countries. These findings highlight the enduring importance of non-pharmaceutical responses to COVID-19 over time.
| S-EPMC8270409 | biostudies-literature