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COVID-19 pension raids and sovereign risk

Author

Listed:
  • Bastías, Jaime
  • Ruiz, José L.

Abstract

Chile was among the nations where the regulations allow individuals to make withdrawals from their retirement savings to cope with the COVID-19 pandemic. We analyze these quasi-natural experiments using the Autoregressive Distributed Lag Stationarity model and event study methodology spanning from March 2020 to April 2021. We find evidence that the first regulatory shock reduces the spread between the ten-year nominal sovereign bond yield and the annual interbank rate and amplify the impact of agent economic perceptions in the short term. These findings are useful for policymakers and investors regarding to adverse repercussions of this the policy on the economy going forward.

Suggested Citation

  • Bastías, Jaime & Ruiz, José L., 2025. "COVID-19 pension raids and sovereign risk," International Review of Economics & Finance, Elsevier, vol. 101(C).
    • Handle: RePEc:eee:reveco:v:101:y:2025:i:c:s1059056025003181
    DOI: 10.1016/j.iref.2025.104155
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    More about this item

    Keywords

    Regulatory shocks; Pension funds; Bond spread rates; Emerging markets; COVID-19;
    All these keywords.

    JEL classification:

    • K23 - Law and Economics - - Regulation and Business Law - - - Regulated Industries and Administrative Law
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G51 - Financial Economics - - Household Finance - - - Household Savings, Borrowing, Debt, and Wealth
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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