|Title: ||Responses of the international bond markets to COVID-19 containment measures
||Author(s): ||To Cong Nguyen Bao
||Keywords: ||COVID-19 containment measures; Government interventions; International bond market; Vaccinations
||Abstract: ||Using an international sample during the COVID-19 outbreak, our study gives evidence that COVID-19 containment measures impact volatility in the international bond markets in different ways. We found that the positive effect of increasing new COVID-19 vaccinations markedly mitigates bond market volatility, while non-pharmaceutical government interventions resembling bad news increase volatility in bond markets. Besides this, changes in total COVID-19 cases and total deaths have co-movement and a significant relationship with this volatility. Our results imply that the investors’ responses to the trigger of increased uncertainty seem to differ in a way that depends on bad or good news as a reflection of the possibility of pandemic control and the health of the economy. The mass vaccinations not only signal a lower probability of stringent government responses to the pandemic but also stabilize investors’ behavior and mitigate compliance fears to open a period of safe living with coronavirus. Our findings are still robust when using alternative measures of independent variables and different forecasting models of conditional volatility.
||Issue Date: ||2022
||Series/Report no.: ||Vo.15, Issue 3
|Appears in Collections:||INTERNATIONAL PUBLICATIONS|