COVID-19; Coronavirus; Connectedness; Yield curve; Sovereign debt; G7; TVP-VAR; Contagion
We explore the connectedness of the components of the sovereign yield curve (slope, level and curvature) across G-7 countries and media sentiment about COVID-19. The recent pandemic is a unique opportunity to identifying the transmitters and receivers of risk. Our results indicate that media sentiment along with the US yield curve components are main transmitter of spillovers, whereas Japan is the leading recipient of spillover. Among the European countries, we notice France as a major transmit, whereas Germany and UK switch role as transmitter and receiver alternatively. The results are important for mapping the interconnectedness between countries. In addition, policy makers can use them when devising disaster plans to prepare for future market crises.