ORCID Profile
0000-0003-4625-7680
Current Organisations
Vilnius University
,
Northumbria University
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Publisher: Frontiers Media SA
Date: 17-06-2022
DOI: 10.3389/FENVS.2022.881260
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 ided 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).
Publisher: Elsevier BV
Date: 02-2021
Publisher: Wiley
Date: 30-03-2018
DOI: 10.1111/AGEC.12417
Publisher: Elsevier BV
Date: 02-2023
Publisher: Elsevier BV
Date: 03-2020
Location: United Kingdom of Great Britain and Northern Ireland
Location: United Kingdom of Great Britain and Northern Ireland
Location: United Kingdom of Great Britain and Northern Ireland
Location: United Kingdom of Great Britain and Northern Ireland
Location: United Kingdom of Great Britain and Northern Ireland
No related grants have been discovered for Francisco Areal.