Government bonds and COVID-19. An international evaluation under different market states

Jareño, Francisco; Martínez Serna, María Isabel; Chicharro, María

Publication:
Government bonds and COVID-19. An international evaluation under different market states

dc.contributor.author	Jareño, Francisco
dc.contributor.author	Martínez Serna, María Isabel
dc.contributor.author	Chicharro, María
dc.contributor.department	Organización de Empresas y Finanzas
dc.contributor.other	Facultades, Departamentos, Servicios y Escuelas::Departamentos de la UMU::Organización de Empresas y Finanzas	es
dc.date.accessioned	2025-02-28T06:56:03Z
dc.date.available	2025-02-28T06:56:03Z
dc.date.issued	2023
dc.description	© The Author(s) 2022. This document is the Published Manuscript version of a Published Work that appeared in final form in Evaluation Review. To access the final edited and published work see https://doi.org/10.1177/0193841X2211436	es
dc.description.abstract	This study evaluates the sensitivity of government bond yields from the countries most affected by the COVID-19 pandemic to variations in some international risk factors during the period between January 2020 and April 2021. This sample period allows us to focus the study on the first, and the subsequent waves of the COVID-19 pandemic. Specifically, we propose an extended risk factor model estimated using the quantile regression approach. In addition, this study compares the COVID-19 pandemic period with a pre-pandemic and a post-vaccination period. Interesting differences among them are observed, remarking that gold is the key risk factor during the pandemic, whereas VIX and crude oil play that role in the pre-pandemic and the post-vaccination periods, respectively, mainly for bearish states. As expected, the explanatory power of the model is better at extreme quantiles, showing relevant differences between sensitivities, because the found effects are quantile-, country- and risk factor-dependent. The results during the pandemic are robust to the inclusion of a country-specific factor and a factor accounting for the mutual influence of the government bonds.	es
dc.format	application/pdf	es
dc.format.extent	46	es
dc.identifier.citation	Evaluation Review, 2023, Vol. 47 (3), pp. 433-478
dc.identifier.doi	https://doi.org/10.1177/0193841X221143680
dc.identifier.issn	Print: 0193-841X
dc.identifier.issn	Electronic: 1552-3926
dc.identifier.uri	http://hdl.handle.net/10201/151243
dc.language	eng	es
dc.publisher	SAGE Publications	es
dc.relation	This work was supported by the Spanish Ministerio de Ciencia e Innovación (PID2021-128829NB-I00), Junta de Comunidades de Castilla-La Mancha (CLM21-PIC-068), and Universidad de Castilla-La Mancha (2020-GRIN-28832). M. I. Martı´nez-Serna also acknowledges ﬁnancial support from Fundación CajaMurcia.	es
dc.relation.publisherversion	https://journals.sagepub.com/doi/abs/10.1177/0193841X221143680	es
dc.rights.accessRights	info:eu-repo/semantics/restrictedAccess
dc.subject	Risk factors	es
dc.subject	Bond returns	es
dc.subject	Quantile regression	es
dc.subject	COVID-19 pandemic	es
dc.title	Government bonds and COVID-19. An international evaluation under different market states	es
dc.type	info:eu-repo/semantics/article	es
dspace.entity.type	Publication	es