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Overshooting of sovereign emerging eurobond yields in the context of COVID-19

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  • Sène, Babacar
  • Mbengue, Mohamed Lamine
  • Allaya, Mouhamad M.

Abstract

This paper illustrates the phenomenon of overshooting yields on eurobonds issued by emerging and developing countries in the context of COVID-19. Using panel data from 48 emerging and developing countries, the results show that daily reports of confirmed cases have led to increases in yields and announcements of international creditor assistance to developing and emerging countries, which have calmed investor concerns.

Suggested Citation

  • Sène, Babacar & Mbengue, Mohamed Lamine & Allaya, Mouhamad M., 2021. "Overshooting of sovereign emerging eurobond yields in the context of COVID-19," Finance Research Letters, Elsevier, vol. 38(C).
    • Handle: RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320308217
    DOI: 10.1016/j.frl.2020.101746
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    Cited by:

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    3. Claudiu Tiberiu Albulescu & Eugenia Grecu, 2023. "Government Interventions and Sovereign Bond Market Volatility during COVID-19: A Quantile Analysis," Mathematics, MDPI, vol. 11(5), pages 1-14, February.
    4. Bao Cong Nguyen To & Tam Van Thien Nguyen & Nham Thi Hong Nguyen & Hoai Thu Ho, 2022. "Responses of the International Bond Markets to COVID-19 Containment Measures," JRFM, MDPI, vol. 15(3), pages 1-11, March.
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    6. Emmanuel Joel Aikins Abakah & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2021. "The Impact of Containment Measures and Monetary and Fiscal Responses on US Financial Markets during the Covid-19 Pandemic," CESifo Working Paper Series 9163, CESifo.
    7. Shah, Sayar Ahmad & Garg, Bhavesh, 2023. "Identifying efficient policy mix under different targeting regimes: A tale of two crises," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 975-994.
    8. Francisco Jareño & María-Isabel Martínez-Serna & María Chicharro, 2023. "Government Bonds and COVID-19. An International Evaluation Under Different Market States," Evaluation Review, , vol. 47(3), pages 433-478, June.
    9. Fang, Ming & Taylor, Stephen & Uddin, Ajim, 2022. "The network structure of overnight index swap rates," Finance Research Letters, Elsevier, vol. 46(PB).
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    More about this item

    Keywords

    Overshooting; COVID-19; Yields to maturity; Emerging markets; Eurobonds; Announcements from international official creditors;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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