• Media type: E-Article
  • Title: Responses of the international bond markets to COVID-19 containment measures
  • Contributor: Bao Cong Nguyen To [Author]; Tam Van Thien Nguyen [Author]; Nham Thi Hong Nguyen [Author]; Hoai Thu Ho [Author]
  • Published: Basel: MDPI, 2022
  • Language: English
  • DOI: https://doi.org/10.3390/jrfm15030127
  • ISSN: 1911-8074
  • Keywords: government interventions ; COVID-19 containment measures ; vaccinations ; international bond market
  • Origination:
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  • Description: Using an international sample during the COVID-19 outbreak, our study gives evidence that COVID-19 containment measures impact volatility in the international bond markets in different ways. We found that the positive effect of increasing new COVID-19 vaccinations markedly mitigates bond market volatility, while non-pharmaceutical government interventions resembling bad news increase volatility in bond markets. Besides this, changes in total COVID-19 cases and total deaths have co-movement and a significant relationship with this volatility. Our results imply that the investors' responses to the trigger of increased uncertainty seem to differ in a way that depends on bad or good news as a reflection of the possibility of pandemic control and the health of the economy. The mass vaccinations not only signal a lower probability of stringent government responses to the pandemic but also stabilize investors' behavior and mitigate compliance fears to open a period of safe living with coronavirus. Our findings are still robust when using alternative measures of independent variables and different forecasting models of conditional volatility.
  • Access State: Open Access
  • Rights information: Attribution (CC BY)