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Impact of COVID-19 Pandemic and Macroeconomics on Long-term Government Bond Yields Interest Rate in Emerging Markets: ARDL Approach

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  • Xenaneira Shodrokova
  • Bernadette Robiani
  • Anna Yulianita

Abstract

This study examines the effect of the COVID-19 pandemic and macroeconomic variables on the Long-term Government Bond Yields Interest Rate. The data in this study was sourced from OECD statistical data and the World Bank with the quarterly period Q1 2016 – Q4 2023. This study used the Pooled Mean Group Autoregressive Distributed Lag (ARDL) analysis method of the data panel. The analysis results show that the COVID-19 pandemic has had a negative and significant impact on interest rates on long-term government bonds in Emerging Markets countries in the long term, indicating downward pressure in response to economic uncertainty. However, in the short term, the impact is insignificant, raising questions about other factors affecting interest rates. Rising inflation in the short run tends to increase interest rates, while the relationship between inflation and interest rates in the long run becomes more complex. Exchange rate depreciation can increase demand for long-term government bonds and interest rates in the long run, but it does not have a significant impact in the short term. The implications of these findings emphasize the need for Emerging Markets countries to take proactive action in formulating economic policies that are adaptive and responsive to rapidly changing market conditions.

Suggested Citation

  • Xenaneira Shodrokova & Bernadette Robiani & Anna Yulianita, 2025. "Impact of COVID-19 Pandemic and Macroeconomics on Long-term Government Bond Yields Interest Rate in Emerging Markets: ARDL Approach," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 113-132.
    • Handle: RePEc:bas:econst:y:2025:i:1:p:113-132
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    More about this item

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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