Volatility in International Sovereign Bond Markets: The Role of Government Policy Responses to the COVID-19 Pandemic

21 Pages Posted: 28 Oct 2020 Last revised: 30 Nov 2020

See all articles by Adam Zaremba

Adam Zaremba

Montpellier Business School; Poznan University of Economics and Business; University of Cape Town

Renatas Kizys

University of Southampton, Southampton Business School, Department of Banking and Finance

⸹ David Y. Aharon

Ono Academic College

Date Written: October 21, 2020

Abstract

Effective government policies may reduce uncertainty in sovereign bond markets. Can policy responses help to curb bond market volatility during the COVID-19 pandemic? To answer this, we examine data from 31 developed and emerging markets for the coronavirus outbreak in 2020. We demonstrate that government interventions substantially reduce local sovereign bond volatility. The effect is mainly driven by economic support policies; the containment and closure regulations and health system interventions play no major role.

Keywords: COVID-19 pandemic, coronavirus outbreak, government policy responses, containment and closure, economic support, sovereign bonds, government bond market volatility

JEL Classification: G01, G12, G15, G18, H12, H51, I18

Suggested Citation

Zaremba, Adam and Kizys, Renatas and Aharon, ⸹ David Y., Volatility in International Sovereign Bond Markets: The Role of Government Policy Responses to the COVID-19 Pandemic (October 21, 2020). Available at SSRN: https://ssrn.com/abstract=3716549 or http://dx.doi.org/10.2139/ssrn.3716549

Adam Zaremba (Contact Author)

Montpellier Business School ( email )

2300 Avenue des Moulins
Montpellier, Occitanie 34000
France

HOME PAGE: http://sites.google.com/view/adamzaremba

Poznan University of Economics and Business ( email )

al. Niepodległości 10
Poznań, 61-875
Poland

University of Cape Town

Cape Town
South Africa

Renatas Kizys

University of Southampton, Southampton Business School, Department of Banking and Finance ( email )

Room 1013, Building 4
Highfield Campus
Southampton, SO17 1BJ
United Kingdom
+442380598612 (Phone)

HOME PAGE: http://https://www.southampton.ac.uk/business-school/about/staff/rk1y18.page

⸹ David Y. Aharon

Ono Academic College ( email )

Kiryat Ono
Israel

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
114
Abstract Views
1,306
Rank
438,785
PlumX Metrics