Back to Search
Start Over
The impact of the Covid-19 related media coverage upon the five major developing markets.
- Source :
-
PloS one [PLoS One] 2021 Jul 01; Vol. 16 (7), pp. e0253791. Date of Electronic Publication: 2021 Jul 01 (Print Publication: 2021). - Publication Year :
- 2021
-
Abstract
- This paper analyses the influence of the Covid-19 coverage by the social media upon the shape of the sovereign yield curves of the five major developing countries, namely Federative Republic of B razil, Russian Federation, Republic of India, People's Republic of China, and the Republic of South Africa (BRICS). The coherenc e between the level, slope, and the curvature of the sovereign yield term structures and the Covid-19 medi a coverage is found to vary between low and high ranges, depending on the phases of the pandemic. The empirical estimations of the yield-curve factors a re performed by means of the Diebold-Li modified version of the Nelson-Siegel model. The intervals of low coherence reveal the capacity of the two latent factors, level and slope, to be used for creating cross-factor diversification strategies, workable under crisis conditions, as evidenced on the example of the ongoing pandemic. Diverse coherence patterns are reported on a per-country basis, highlighting a promising potential of sovereign debt investments for designing cross-country and cross-factor fixed-income strategies, capable of hedging downside risks.<br />Competing Interests: The authors have declared that no competing interests exist.
Details
- Language :
- English
- ISSN :
- 1932-6203
- Volume :
- 16
- Issue :
- 7
- Database :
- MEDLINE
- Journal :
- PloS one
- Publication Type :
- Academic Journal
- Accession number :
- 34197524
- Full Text :
- https://doi.org/10.1371/journal.pone.0253791