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Government Interventions and Sovereign Bond Market Volatility during COVID 19: A Quantile Analysis

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  • Claudiu Tiberiu Albulescu

    (CRIEF [Poitiers] - Centre de recherche sur l'intégration économique et financière - UP - Université de Poitiers = University of Poitiers)

  • Eugenia Grecu

    (UPT - Universității Politehnica Timișoara [România] = Polytechnic University of Timişoara [Romania] = Université polytechnique de Timișoara [Roumanie])

Abstract

We test the interaction between COVID-19 governments' interventions, COVID-19-induced uncertainty, and the volatility of sovereign bonds. Using a panel-quantile approach and a comprehensive dataset of 31 countries worldwide, we document that containment and closure policies tend to amplify volatility. Furthermore, the price variability is augmented by the spread of the pandemic itself. On the contrary, economic support policies have a substantial stabilizing effect on bond price fluctuations. Both phenomena are not subsumed by additional control variables and are robust to multiple considerations. Our findings may serve financial market participants in their risk management decisions, as well as policy makers to better shape their preparedness for future pandemics.

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  • Claudiu Tiberiu Albulescu & Eugenia Grecu, 2022. "Government Interventions and Sovereign Bond Market Volatility during COVID 19: A Quantile Analysis," Working Papers hal-03195678, HAL.
    • Handle: RePEc:hal:wpaper:hal-03195678
    Note: View the original document on HAL open archive server: https://hal.science/hal-03195678v2
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