Term Spreads and the COVID-19 Pandemic: Evidence from International Sovereign Bond Markets

12 Pages Posted: 11 Nov 2020

See all articles by Adam Zaremba

Adam Zaremba

Poznań University of Economics and Business; Montpellier Business School

Renatas Kizys

Southampton Business School

David Y. Aharon

Ono Academic College

Zaghum Umar

Zayed University - College of Business; Netspar

Date Written: November 5, 2020

Abstract

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 increases the term spreads of government bonds. The effect is independent of policy responses to COVID-19 and robust to many considerations.

Keywords: COVID-19 pandemic, coronavirus, policy responses, government bonds, sovereign bond, term spread, term structure, interest rates

JEL Classification: G01, G12, G15, G18, E43

Suggested Citation

Zaremba, Adam and Kizys, Renatas and Aharon, David Yechiam and Umar, Zaghum, Term Spreads and the COVID-19 Pandemic: Evidence from International Sovereign Bond Markets (November 5, 2020). Available at SSRN: https://ssrn.com/abstract=3727882 or http://dx.doi.org/10.2139/ssrn.3727882

Adam Zaremba (Contact Author)

Poznań University of Economics and Business ( email )

al. Niepodległości 10
Poznań, 61-875
Poland

HOME PAGE: http://adamzaremba.pl

Montpellier Business School ( email )

2300 Avenue des Moulins
Montpellier, Occitanie 34000
France

Renatas Kizys

Southampton Business School ( email )

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

David Yechiam Aharon

Ono Academic College ( email )

Kyriat Ono
Israel

Zaghum Umar

Zayed University - College of Business ( email )

P.O. Box 4783
Abu Dhabi
United Arab Emirates

Netspar ( email )

P.O. Box 90153
Tilburg, 5000 LE
Netherlands

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