国际主权债券市场的波动：政府应对新冠疫情政策的作用。
Volatility in International Sovereign Bond Markets: The role of government policy responses to the COVID-19 pandemic.
作者信息
Zaremba Adam, Kizys Renatas, Aharon David Y
机构信息
Montpellier Business School, 2300 Avenue des Moulins, 34185 Montpellier cedex 4, France.
Poznan University of Economics and Business, Institute of Finance, Department of Investment and Financial Markets, al. Niepodległości 10, 61-875 Poznań, Poland.
出版信息
Financ Res Lett. 2021 Nov;43:102011. doi: 10.1016/j.frl.2021.102011. Epub 2021 Mar 9.
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.
摘要
有效的政府政策可能会降低主权债券市场的不确定性。政策应对措施能否有助于抑制新冠疫情期间债券市场的波动？为了回答这个问题，我们研究了2020年冠状病毒爆发期间31个发达和新兴市场的数据。我们证明，政府干预大幅降低了当地主权债券的波动性。这种影响主要由经济支持政策推动；遏制和封锁规定以及卫生系统干预措施没有起到主要作用。
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