The impact of the Covid-19 related media coverage upon the five major developing markets.
PLoS One
; 16(7): e0253791, 2021.
Article
em En
| MEDLINE
| ID: mdl-34197524
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.
Texto completo:
1
Base de dados:
MEDLINE
Assunto principal:
Mídias Sociais
/
COVID-19
Idioma:
En
Ano de publicação:
2021
Tipo de documento:
Article