COVID-19 related media sentiment and the yield curve of G-7 economies

Aharon, David Y.; Umar, Zaghum; Aziz, Mukhriz Izraf Azman; Vo, Xuan Vinh

doi:10.1016/j.najef.2022.101678

Cited by 25 publications

(15 citation statements)

References 69 publications

(77 reference statements)

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“…Aharon et al ( 2021 ) also study the dynamic connectedness between the US TSIR (considering all three components), bitcoin and safe-haven currencies, highlighting the role of bitcoin as a safe-haven asset, especially in periods of economic turbulence. Another paper that examines time-varying spillovers between the different components of the G7 countries’ yield curves is that of Aharon et al ( 2022 ), using the coronavirus MCI index. Interestingly, the methodology used allows distinguishing between risk-sending and risk-receiving countries in terms of connectedness measures, which also has relevant implications for portfolio managers.…”

Section: Literature Reviewmentioning

confidence: 99%

The impact of the COVID-19 outbreak on the connectedness of the BRICS’s term structure

Jareño

Escribano

Umar

2023

Humanit Soc Sci Commun

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This study aims to examine the impact of the different waves of the COVID-19 pandemic on the connectedness of the BRICS (Brazil, Russia, India, China, and South Africa) term structure of interest rates and its components (level, slope and curvature). For that purpose, this research applies the time-varying parameter vector autoregression (TVP-VAR) approach in order to assess the direction of spillovers among countries and factors and measure their contribution to the connectedness system. Our results show that the total connectedness measure changes over time, and the level and curvature components show connectedness that persists longer than the slope component, both in the first wave of the COVID-19 pandemic. Brazil and South Africa would appear as net transmitters of shocks, whereas China and India are net receivers. Finally, the most significant differences in the net dynamic connectedness between transmitters and receivers were focused on before and during the first wave of the COVID-19 pandemic crisis. Some additional impacts were observed during the last waves of the coronavirus pandemic. To our best knowledge, this is the first study on the connectedness between the yield curves of the BRICS economies and the COVID-19 crisis uncertainty according to the coronavirus MCI, by decomposing the yield curve into its factors (level, slope, and curvature).

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Section: Literature Reviewmentioning

confidence: 99%

The impact of the COVID-19 outbreak on the connectedness of the BRICS’s term structure

Jareño

Escribano

Umar

2023

Humanit Soc Sci Commun

Self Cite

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“…The first approach used the bivariate GARCH family models to estimate the coefficients of cross-term in the mean equation and variance-covariance equation of these models to examine the return spillover and volatility spillover between two assets by using the significant situation of coefficients [see ( 1 – 7 , 9 , 12 , 14 , 18 – 23 ) and so on]. 11 The second approach used the time-varying parameter vector autoregression (TVP-VAR) methodology, which extends the connectedness work of Diebold and Yilmaz ( 38 ), to calculate the net total directional connectedness for each asset within a group of assets to determine whether this asset is a net transmitter or a net receiver on return or risk by using the value of net total directional connectedness being positive or negative [see ( 13 , 25 – 31 )]. However, this approach can't determine whether the spillover is significant or not and whether the spillover is positive or negative.…”

Section: Literature Reviewmentioning

confidence: 99%

“… 10 Even though, this study uses a model with two time-dummy variables to explore the impact of the COVID-19 pandemic on the interaction issues. As shown in Table 2B , there are still some kinds of literature investigating the impact of the COVID-19 pandemic on the spillover or correlation issues by using RavenPack Coronavirus Media Coverage Index or Ravenpack Coronavirus Panic Index ( 25 , 27 – 32 , 34 ). In addition, Zaremba et al ( 24 ) evaluated the impact of COVID-19 on the term spreads of bonds by using the change in the number of COVID-19 infections.…”

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confidence: 99%

How does the crisis of the COVID-19 pandemic affect the interactions between the stock, oil, gold, currency, and cryptocurrency markets?

Kao

2022

Front. Public Health

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This study examines how the COVID-19 pandemic crisis affects the interactions between the stock, oil, gold, currency, and cryptocurrency markets. The impacts of the COVID-19 pandemic crisis on the optimal asset allocation and optimal hedged strategy are also discussed. Empirical results show that the volatility spillover significantly exists in most of the ten paired markets whereas the return spillover and correlation are significant only for the few paired markets. Moreover, the impact of the COVID-19 pandemic on the return spillover is the greatest followed by the correlation whereas the volatility spillover is not affected by the COVID-19 pandemic. Furthermore, the Quantitative easing (QE) implemented after the COVID-19 pandemic crisis increases the risk-adjusted return for each asset and minimum variance portfolio (MVP) and raises the correlation between two assets. In addition, most of the pairs of assets are not suitable to hedge each other except for a few pairs of assets. Regarding these few pairs of assets, the optimal hedge asset with the fewer hedge cost is accompanied by less risk reduction and vice versa. Finally, the investors should choose the euro to construct a portfolio to achieve risk diversification and to hedge gold or WTI to get the risk reduction. The above findings can help investors and fund managers make a useful investment strategy, optimal asset allocation, and effective hedged strategy. For example, the investors can use the volatility of one market to predict the volatility of another market and they can take a long position during the post-COVID-19 period but they should withdraw capital from the market when the QE tapering is executed.JEL classificationC52; C53; G15.

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“…The previous literature on the relationship between WPU and commodity prices set the WPU impact either on a global scale [e.g., ( 16 )] or at a regional level, such as the United States ( 17 ), Europe ( 18 ), G7 ( 19 ), and the BRICS ( 20 ). In the selection of commodity indices, these researchers tend to use the BCOM index, which is more suitable for studying the fluctuations in the global commodity prices [e.g., ( 21 )].…”

Section: Related Workmentioning

confidence: 99%

Exploring time-varying impact of world pandemic uncertainty on China's commodity prices using TVP-SVAR-SV model

Cao

Yang

Chen

et al. 2022

Front. Public Health

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Since the outbreak of the COVID-19 pandemic, a growing body of literature has focused on the impact of the uncertainty of the world pandemic (WPU) on commodity prices. Using the quarterly data from the first quarter of 2008 to the second quarter of 2020, we run the TVP-SVAR-SV model to study the time-varying impact of WPU on China's commodity prices. Specifically, we select minerals, non-ferrous metals, energy and steel commodities for a categorical comparison and measure the impact of WPU accordingly. The findings are as follows. First, WPU has a significant time-varying impact on China's commodity prices, and the short-term effect is greater than the long-term effect. Second, compared with the global financial crisis in the fourth quarter of 2008 and China's stock market crash in the second quarter of 2015, WPU had a greatest impact on Chinese commodity prices during the COVID-19 pandemic event in the fourth quarter of 2019. Third, significant differences exist in the impact of WPU on the four major commodity prices. Among them, WPU has the largest time-varying impact on the price of minerals but the smallest time-varying impact on that of steel.

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COVID-19 related media sentiment and the yield curve of G-7 economies

Cited by 25 publications

References 69 publications

The impact of the COVID-19 outbreak on the connectedness of the BRICS’s term structure

The impact of the COVID-19 outbreak on the connectedness of the BRICS’s term structure

How does the crisis of the COVID-19 pandemic affect the interactions between the stock, oil, gold, currency, and cryptocurrency markets?

Exploring time-varying impact of world pandemic uncertainty on China's commodity prices using TVP-SVAR-SV model

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