Investigating the Impact of COVID-19 Outbreak On U.S. Bond and Commercial Paper Market

11 Pages Posted: 16 Feb 2021

See all articles by Achu Dobgima Destin

Achu Dobgima Destin

Cyprus International University - Institute of Graduate Studies and Research

Date Written: November 16, 2020

Abstract

SARS-Cov-2 was first reported in Wuhan, a town in Hubei Province of China with a population of 11 million in December 2019, following an outbreak of non-pneumonia a clear cause. The virus has now spread across the globe to more than 200 countries and territories, and the world health organization (WHO) described it as a pandemic on 11 March 2020. On the economic front, COVID-19 has led more than 200 countries partial or totally lockdown, disrupted global supply chain, and induced a significant fall in both economic activity and financial asset prices. United States, being one of the highest country affected by the Virus with 80.9M Cases, 45.8M Infected, and 1.77M Deaths as at the 28th of December 2020. Recently vaccines have been developed but the contamination wave keeps on increasing every day. On the socioeconomic front, COVID-19 has led more than 200 countries into partial or total lockdown, disrupted global supply chains, and induced a fall in both economic activity and financial asset prices. The objective of this research is to investigate the impact of COVID-19 on U.S Bond and Commercial Paper Markets.

The result show that, intercept, interest rate, TED spread and Total cases are the only determinants of Bond price because of the robust relationship between them. Meanwhile, normal model show that, Intercept, TED spread (i.e. the difference between the 3 months Treasury bill and the 3-month LIBOR based in U.S. dollars), Total Cases, Interest Rate, and Total Death are robust determinants of the prices of Treasury bill while the generic model highlights the importance of Interest Rate, Total Cases, Total COVID-19 Deaths cases.

Keywords: Government Bond, Foreign Exchange, Interest Rate, COVID-19, Stringency Index

JEL Classification: M01, G01

Suggested Citation

destin, achu dobgima, Investigating the Impact of COVID-19 Outbreak On U.S. Bond and Commercial Paper Market (November 16, 2020). Available at SSRN: https://ssrn.com/abstract=3784985 or http://dx.doi.org/10.2139/ssrn.3784985

Achu dobgima Destin (Contact Author)

Cyprus International University - Institute of Graduate Studies and Research ( email )

Cyprus

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