The impact of the Covid-19 related media coverage upon the five major developing markets.

ABSTRACT: This paper analyses the influence of the Covid-19 coverage by the social media upon the shape of the sovereign yield curves of the five major developing countries, namely Federative Republic of B razil, Russian Federation, Republic of India, People's Republic of China, and the Republic of South Africa (BRICS). The coherenc e between the level, slope, and the curvature of the sovereign yield term structures and the Covid-19 medi a coverage is found to vary between low and high ranges, depending on the phases of the pandemic. The empirical estimations of the yield-curve factors a re performed by means of the Diebold-Li modified version of the Nelson-Siegel model. The intervals of low coherence reveal the capacity of the two latent factors, level and slope, to be used for creating cross-facto

SUBMITTER: Umar Z 

PROVIDER: S-EPMC8248702 | biostudies-literature | 2021

REPOSITORIES: biostudies-literature