The COVID-19 Pandemic and Sovereign Bond Risk

Andrieş, Alin Marius; Ongena, Steven; Sprincean, Nicu

doi:10.1016/j.najef.2021.101527

Cited by 34 publications

(27 citation statements)

References 79 publications

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“…The first infection announcement (panel (a)) triggers a mild decline in bond yields on the announcement day, which is followed by a sharp and persistent increase in yield over subsequent days; similarly, the announcement of first death (panel (b)) triggers substantial yield increases in emerging markets over several days, both consistent with the findings of Andries et al (2020) that higher levels of sovereign bonds uncertainty are associated with covid-19 infections and containment measures. We compare the developments in emerging markets to the case of China.…”

Section: Empirical Tests Resultssupporting

confidence: 74%

Financial markets' responses to COVID-19: A comparative analysis

Kapalu

Kodongo

2022

Heliyon

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Section: Empirical Tests Resultssupporting

confidence: 74%

Financial markets' responses to COVID-19: A comparative analysis

Kapalu

Kodongo

2022

Heliyon

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“…The stock and CDS market have incorporated the uncertainty deriving from the pandemic crisis resulting in a shortfall of the stock market and an increase of the CDS market (Andrieș et al, 2021; Yang & Deng, 2021). Despite the exogenous shock has had significant repercussions on the financial markets, an additional positive effect of green bond on the stock and CDS reaction has been found for countries announcing the green bonds during the pandemic crisis implying that the pandemic crisis has focused attention on the need for sustainable economic recoveries across the world and an issuance of a sovereign green bond has increased the reputation of such EU countries.…”

Section: Resultsmentioning

confidence: 99%

Sovereign green bond and country value and risk: Evidence from European Union countries

Dell’Atti

Tommaso

Pacelli

2022

Financ Manag Account

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The sovereign green bond market has been growing rapidly worldwide since its debut in 2016. The study investigates the empirical response of the stock and credit default swap (CDS) market to green bond issuance by 10 EU countries during the period 2016–2021. We document that the issuance of a green bond is regarded by the investors as reflecting as value‐enhancing and risk‐reducing behavior by EU countries. The issuance of sovereign green bond provides a strong signal of the country's involvement to a low‐carbon economy by increasing the social and reputational benefits. This effect is even more evident during the pandemic crisis. The reaction of stock and CDS market is driven by several factors such as bond and country characteristics. Overall, our findings suggest that the sovereign issuance of green bonds acts as mitigation mechanism for country risk.

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“…Agiakloglou and Deligiannakis (2020) investigated "the short-and long-run relationship between government bond yields and their associated CDSs, using co-integration and Granger causality techniques, for eight major European Union countries, over three different periods, considering the global financial and resultant European debt crises." Andries et al (2021) found that "a higher number of cases and deaths and public health containment responses significantly increase the uncertainty among investors in European government bonds by assessing the impact of the pandemic in Europe on sovereign CDS spreads during the COVID-19 pandemic. "…”

Section: Itomentioning

confidence: 99%

“…Andries et al. (2021) found that “a higher number of cases and deaths and public health containment responses significantly increase the uncertainty among investors in European government bonds by assessing the impact of the pandemic in Europe on sovereign CDS spreads during the COVID‐19 pandemic.”…”

Section: Introductionmentioning

confidence: 99%

Credit default swap and Japanese Government Bond markets under negative interest rate policy

Itō

2022

J Corp Accounting Finance

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Structural changes have taken place in the markets of credit default swap (CDS) and Japanese Government Bond (JGB) after the Bank of Japan (BOJ) introduced yield curve control (YCC) under a negative interest rate policy. CDS and JGB markets were segmented before the introduction of YCC. Whether CDS markets function as insurance against the JGB market or cannot be confirmed because no causalities were found between CDS and JGB markets. However, they are integrated under a negative interest rate policy with YCC. The CDS market does not function as insurance because unilateral causalities from CDS to JGB markets were found. The purpose of YCC's introduction was an upward adjustment of the yield curve because the flattening of the yield curve damaged bank profits. A positive yield in a 10‐year JGB has become an incentive to investors. The markets of CDS and JGB have started to be integrated because JGB has regained a market and price discovery function with the introduction of YCC.

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The COVID-19 Pandemic and Sovereign Bond Risk

Cited by 34 publications

References 79 publications

Financial markets' responses to COVID-19: A comparative analysis

Financial markets' responses to COVID-19: A comparative analysis

Sovereign green bond and country value and risk: Evidence from European Union countries

Credit default swap and Japanese Government Bond markets under negative interest rate policy

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