COVID-19 related media sentiment and the yield curve of G-7 economies |
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Affiliation: | 1. Department of Business Administration, Ono Academic College, Zahal 104 Street, Kiryat Ono Zip Code: 5545173, Israel;2. College of Business, Zayed University, Abu Dhabi, United Arab Emirates;3. Institute of Business Research, University of Economics Ho Chi Minh City, Viet Nam;4. School of Economics, Finance and Banking, Universiti Utara Malaysia, Malaysia;5. Institute of Business Research and CFVG, University of Economics Ho Chi Minh City, Viet Nam |
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Abstract: | We explore the connectedness of the components of the sovereign yield curve (slope, level and curvature) across G-7 countries and media sentiment about COVID-19. The recent pandemic is a unique opportunity to identifying the transmitters and receivers of risk. Our results indicate that media sentiment along with the US yield curve components are main transmitter of spillovers, whereas Japan is the leading recipient of spillover. Among the European countries, we notice France as a major transmit, whereas Germany and UK switch role as transmitter and receiver alternatively. The results are important for mapping the interconnectedness between countries. In addition, policy makers can use them when devising disaster plans to prepare for future market crises. |
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Keywords: | COVID-19 Coronavirus Connectedness Yield curve Sovereign debt G7 TVP-VAR Contagion C53 E43 F36 G12 G17 |
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