期限利差与新冠疫情：来自国际主权债券市场的证据
Term spreads and the COVID-19 pandemic: Evidence from international sovereign bond markets.
作者信息
Zaremba Adam, Kizys Renatas, Aharon David Y, Umar Zaghum
机构信息
Montpellier Business School, 2300 Avenue des Moulins, 34185 Montpellier cedex 4, France.
Montpellier Research in Management, University of Montpellier, Montpellier, France.
出版信息
Financ Res Lett. 2022 Jan;44:102042. doi: 10.1016/j.frl.2021.102042. Epub 2021 Apr 5.
Abstract
We explore the impact of the COVID-19 pandemic on the term structure of interest rates. Using data from developed and emerging countries, we demonstrate that the expansion of the disease significantly affects sovereign bond markets. The growth of confirmed cases significantly widens the term spreads of government bonds. The effect is independent of government policy and monetary responses to COVID-19 and robust to many considerations.
摘要
我们探讨了新冠疫情对利率期限结构的影响。利用来自发达国家和新兴国家的数据，我们证明了该疾病的蔓延对主权债券市场有重大影响。确诊病例的增加显著扩大了政府债券的期限利差。这种影响独立于政府政策以及对新冠疫情的货币应对措施，并且在诸多考量下都很稳健。
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