Publication: Government bonds and COVID-19. An international evaluation under different market states
Authors
Jareño, Francisco ; Martínez Serna, María Isabel ; Chicharro, María
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Facultades, Departamentos, Servicios y Escuelas::Departamentos de la UMU::Organización de Empresas y Finanzas
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Publisher
SAGE Publications
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DOI
https://doi.org/10.1177/0193841X221143680
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info:eu-repo/semantics/article
Description
© The Author(s) 2022. This document is the Published Manuscript version of a Published Work that appeared in final form in Evaluation Review. To access the final edited and published work see https://doi.org/10.1177/0193841X2211436
Abstract
This study evaluates the sensitivity of government bond yields from the countries most affected by the COVID-19 pandemic to variations in some international risk factors during the period between January 2020 and April 2021. This sample period allows us to focus the study on the first, and the subsequent waves of the COVID-19 pandemic. Specifically, we propose an extended risk factor model estimated using the quantile regression approach. In addition, this study compares the COVID-19 pandemic period with a pre-pandemic and a post-vaccination period. Interesting differences among them are observed, remarking that gold is the key risk factor during the pandemic, whereas VIX and crude oil play that role in the pre-pandemic and the post-vaccination periods, respectively, mainly for bearish states. As expected, the explanatory power of the model is better at extreme quantiles, showing relevant differences between sensitivities, because the found effects are quantile-, country- and risk factor-dependent. The results during the pandemic are robust to the inclusion of a country-specific factor and a factor accounting for the mutual influence of the government bonds.
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Citation
Evaluation Review, 2023, Vol. 47 (3), pp. 433-478
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