The Impact of COVID-19 Pandemic on Government Bond Yields

Zhou, Y; Teresienė, D; Keliuotytė-Staniulėnienė, G; Kanapickiene, R; Dong, RK; Omeir, AK

The Impact of COVID-19 Pandemic on Government Bond Yields

Zhou, Y Teresienė, D Keliuotytė-Staniulėnienė, G Kanapickiene, R Dong, RK Omeir, AK

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Publisher:: Frontiers Media SA
Publication Type:: Journal Article
Citation:: Frontiers in Environmental Science, 2022, 10, pp. 881260
Issue Date:: 2022-06-17

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Field	Value	Language
dc.contributor.author	Zhou, Y
dc.contributor.author	Teresienė, D
dc.contributor.author	Keliuotytė-Staniulėnienė, G
dc.contributor.author	Kanapickiene, R
dc.contributor.author	Dong, RK
dc.contributor.author	Omeir, AK
dc.date.accessioned	2022-07-04T04:05:09Z
dc.date.available	2022-07-04T04:05:09Z
dc.date.issued	2022-06-17
dc.identifier.citation	Frontiers in Environmental Science, 2022, 10, pp. 881260
dc.identifier.issn	2296-665X
dc.identifier.issn	2296-665X
dc.identifier.uri	http://hdl.handle.net/10453/158603
dc.description.abstract	<jats:p>The COVID-19 pandemic is a real shock to society and business and financial markets. The government bond market is an essential part of financial markets, especially in difficult times, because it is a source of government funding. The majority of existing ESG studies report positive impacts on corporate financial performance regarding environmental, social, and governance. Thus, understanding governments’ financial practices and their relevant ESG implications is insufficient. This research aims to value the impact of the COVID-19 pandemic on different government bond curve sectors. We try to identify the reactions to the COVID-19 pandemic in the government bond market and analyze separate tenors of government bond yields in different regions. We have chosen Germany and the United States government bond yields of 10, 5, and 3 years tenor for the analysis. As independent variables, we have chosen daily cases of COVID-19 and daily deaths from COVID-19 at the country and global levels. We used daily data from 02 January 2020–19 March 2021, and divided this period into three stages depending on the COVID-19 pandemic data. We employed the methods of correlation-regression analysis (ordinary least squares and least squares with breakpoints) and VAR-based impulse response functions to evaluate the effect of the COVID-19 pandemic on government bond yields both in the long and short run. Our analysis revealed the impact of the spread of the COVID-19 pandemic on government bond yields differs depending on the country and the assessment period. The short-term responses vary in direction, strength, and duration; the long-term response of Germany’s yields appeared to be more negative (indicating the decrease of the yields), while the response of the United States yields appeared to be more positive (i.e., increase of yields).</jats:p>
dc.language	en
dc.publisher	Frontiers Media SA
dc.relation.ispartof	Frontiers in Environmental Science
dc.relation.isbasedon	10.3389/fenvs.2022.881260
dc.rights	info:eu-repo/semantics/openAccess
dc.subject	0502 Environmental Science and Management
dc.title	The Impact of COVID-19 Pandemic on Government Bond Yields
dc.type	Journal Article
utslib.citation.volume	10
utslib.for	0502 Environmental Science and Management
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	open_access	*
dc.date.updated	2022-07-04T04:05:08Z
pubs.publication-status	Published online
pubs.volume	10

Abstract:

The COVID-19 pandemic is a real shock to society and business and financial markets. The government bond market is an essential part of financial markets, especially in difficult times, because it is a source of government funding. The majority of existing ESG studies report positive impacts on corporate financial performance regarding environmental, social, and governance. Thus, understanding governments’ financial practices and their relevant ESG implications is insufficient. This research aims to value the impact of the COVID-19 pandemic on different government bond curve sectors. We try to identify the reactions to the COVID-19 pandemic in the government bond market and analyze separate tenors of government bond yields in different regions. We have chosen Germany and the United States government bond yields of 10, 5, and 3 years tenor for the analysis. As independent variables, we have chosen daily cases of COVID-19 and daily deaths from COVID-19 at the country and global levels. We used daily data from 02 January 2020–19 March 2021, and divided this period into three stages depending on the COVID-19 pandemic data. We employed the methods of correlation-regression analysis (ordinary least squares and least squares with breakpoints) and VAR-based impulse response functions to evaluate the effect of the COVID-19 pandemic on government bond yields both in the long and short run. Our analysis revealed the impact of the spread of the COVID-19 pandemic on government bond yields differs depending on the country and the assessment period. The short-term responses vary in direction, strength, and duration; the long-term response of Germany’s yields appeared to be more negative (indicating the decrease of the yields), while the response of the United States yields appeared to be more positive (i.e., increase of yields).

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http://hdl.handle.net/10453/158603