Capital Markets, COVID-19 and Policy Measures

ElFayoumi, Khalid; Hengge, Martina

doi:10.2139/ssrn.3799625

Cited by 4 publications

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“…As far as the pandemic was uncertain, at least in the short term, the homogenous reactions of the governments ended up with further implied high sovereign risks (Cevik and Öztürkkal 2021; Andrieș et al., 2021). The contagion effect of the pandemic has also affected the capital flows and assets classes negatively (ElFayoumi and Hengge 2021). Esteves and Sussman (2020) offer support to the argument that financial contagion played a significant role that the fear of developed countries about the consequences of COVID‐19 have been passed through to emerging markets elevating the country sovereign risks across many measures.…”

Section: Resultsmentioning

confidence: 99%

A robust examination of COVID‐19 and country risk: Perspectives from the G10 countries

2023

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This paper examines the effects of COVID‐19 new infections on the financial sovereign risks in the group of ten (G10) countries. The paper utilises panel least squares regression using monthly data over the period February 2020–July 2021. Two sovereign risk measures are examined: the Spread of Government Bond Yields and Sovereign Credit Default Swap spread. The results of the robustness tests show that the spread of the COVID‐19 has affected the sovereign risks significantly and positively. Contagion risks have been extended to exchanges rates and growth rates of international reserves. This paper offers two contributions. First, the results show robust evidence on the impact of COVID‐19 on country's sovereign risks. Second, the severity of COVID‐19 on country's sovereign risks is further. The empirical results carry policy implications that (a) countries must sustain efforts for safeguarding the evolution of COVID‐19 pandemic since it is hindering country's credit worthiness, thus increasing sovereign risks, (b) the G10 countries are advised to follow the zero COVID‐19 strategy, (c) macro prudential measures have to be implemented along with monetary policies that mitigate the sovereign risks and (d) implement social measures to restore the health system and contain the uncertainty on both economic and social grounds.

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Section: Resultsmentioning

confidence: 99%

A robust examination of COVID‐19 and country risk: Perspectives from the G10 countries

2023

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Extreme Capital Flow Episodes From the Global Financial Crisis to COVID-19: An Exploration With Monthly Data

De Crescenzio,

Lepers

2024

Open Econ Rev

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OECD Working Papers on International InvestmentOECD Working Papers should not be reported as representing the official views of the OECD or of its member countries. The opinions expressed and arguments employed are those of the authors. Working Papers describe preliminary results or research in progress by the author(s) and are published to stimulate discussion on a broad range of issues on which the OECD works.The international investment working paper seriesincluding policies and trends and the broader implications of multinational enterpriseis designed to make available to a wide readership selected studies undertaken under the aegis of the OECD Investment

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Similarity and Granger Causality in Polish and Spanish Stock Market Sectors During the COVID–19 Pandemic

Żebrowska‐Suchodolska

Piekunko-Mantiuk

2022

CER

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Capital markets react almost immediately to crises. Such relationships can be both international and local. The research focuses on the stock markets of two countries: Spain and Poland. These countries are often compared in terms of various economic and social criteria. The research covers the period from March 3, 2019, to March 31, 2021. The aim is to identify sectors and indices similar to each other at the local level and to identify, among pairs of similar indices, those that provide a boost to another sector. The research uses the hierarchical cluster analysis method (Ward’s method) and the Granger causality test. This work presents a novel approach to sectoral comparison at the local level.

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Capital Markets, COVID-19 and Policy Measures

Cited by 4 publications

References 0 publications

A robust examination of COVID‐19 and country risk: Perspectives from the G10 countries

A robust examination of COVID‐19 and country risk: Perspectives from the G10 countries

Extreme Capital Flow Episodes From the Global Financial Crisis to COVID-19: An Exploration With Monthly Data

Similarity and Granger Causality in Polish and Spanish Stock Market Sectors During the COVID–19 Pandemic

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