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Volatility in International Sovereign Bond Markets: The role of government policy responses to the COVID-19 pandemic.

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 during 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.

SUBMITTER: Zaremba A

PROVIDER: S-EPMC8597265 | biostudies-literature | 2021 Nov

REPOSITORIES: biostudies-literature

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Volatility in International Sovereign Bond Markets: The role of government policy responses to the COVID-19 pandemic.

Zaremba Adam A Kizys Renatas R Aharon David Y DY

Finance research letters 20210309

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 during 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 interv ...[more]

PMID: 34803531

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