Gen y bond market index investing

Hu et al. Chen et al. Hao et al. Teresiene et al. Sovereign debt issues attract the attention of different scientists, especially in critical moments of the economic cycle. Ferreira wrote about the Greek debt crisis and discussed the issues related to public debt. The author made an investigation covering fifteen different European countries and applied a time-varying analysis of the Hurst exponent.

The results of the following research showed that there was a long-range memory in sovereign bonds. The Hurst exponent method was also applied by Carbone et al. Bariviera et al. An interesting fact was that the financial crisis affected the informational efficiency of the corporate bond market.

Zunino et al. The authors used a sophisticated statistical tool—the complexity —entropy causality plane, which helped rank separate bond markets and distinguished different market dynamics. The authors revealed a correlation between permutation entropy, economic development, and financial market size in the latter study. Sanchez and Wilkinson analyzed the effect of the COVID pandemic on the municipal bond market and found that the pandemic affected the United States municipal bond market from different sides as the Federal Reserve changed the direction of the yields.

Firstly, the investors tried to refuse the exposure in such positions because of possible credit risk increases. Still, lately, when the Federal Reserve decided to take municipal bonds for collateral purposes for particular loans, the situation had changed, and the yields decreased. So we see that the direct effect of the COVID pandemic can be changed and managed by the financial system players. Wei et al. The authors stressed the importance of liquidity backstops.

The main reason for our choice to analyze German yields is related to practical issues. In practice, portfolio managers consider the German yield curve a benchmark for Europe. The United States bond yield curve is a benchmark for the American continent. The chosen maturities are the most popular points on the curve considering asset management issues.

For future research, it would be interesting to add 2 year duration bonds as well. From the analysis of scientific literature, it can be noticed that different authors for example, Acharya and Sascha ; Verma et al. Different authors used similar variables to identify the impact of the COVID pandemic on government bond yields. The analysis of scientific literature for example, Xu ; Milani ; Beirne et al. For example, Mzoughi et al. Brueckner and Vespignani have also used VAR-based impulse response functions and identified a significant positive effect of COVID infections on the performance of the Australian stock market.

Our research consists of the following stages, which are discussed briefly. Stage 2 itself consists of 2 steps: Firstly, taking into account the wide application of the regression approach in similar research, we use the correlation-regression analysis to assess the effect of the COVID pandemic on government bond yields Section 4. To determine the potential linear association between selected government bond yields and COVID related variables, the Pearson correlation coefficient is being calculated.

And finally, the statistical characteristics t-value, p-statistics, R squared of these models are being assessed. For the shorter-term pandemic effect, the historical period is divided into three phases; the selection of these phases is based on the dynamics of the COVID related variables see Figure 1 : 1 Phase I covers data from 02 January —30 April ; 2 Phase II covers data from 01 May —30 September —; and 3 Phase III covers data from 01 October—19 March Secondly, we use the impulse response functions to determine the response of government bond yields to the shock of the COVID pandemic Section 4.

The impulse response functions are constructed based on two-variable vector autoregression VAR models for each pair of dependent yield and independent COVID related variables: At first, the unit root test is conducted: we use the Augmented Dickey-Fuller ADF test to check the stationarity of variables—the results see Table 1 shows that all research variables are stationary. Thus, it is meaningful to construct VAR models. Secondly, we use Akaike information criteria to determine the most suitable lag selection the lags suggested by this criterion are indicated in Supplementary Figures S4—S9.

Finally, the impulse response functions as well as accumulated impulse response functions are constructed, and results are interpreted. Research variables and abbreviations. It is important to notice that in our research, we do not construct multiple regression models due to the multicollinearity of regressors. Thus, given the results of literature analysis and data availability, we select six dependent variables; and based on previous studies for example, Klose ; Albulescu ; Ashraf, ; Brueckner and Vespignani ; and others.

We use the daily data for our research Figure 1 ,, and the period from — to — is analyzed only the trading days are analyzed; thus, the research sample consists of observations. The selected government bond yields data is retrieved from the Thompson Reuters database.

For data analysis, Eviews 11 software package is used. The demand for safe assets increased, and yields started decreasing. Later, investors understood that there was significant support from governments, central banks, and international organizations. Because of the latter, investors started to take more risk and began investing in riskier assets supporting their market value growth.

We could see significant inflows of funds in the equity market. Ten-year yield growth was supported by inflation expectations in all regions, especially the United States The dynamics of Germany and the United States government bond yields at different maturities are provided in Figure 2. In the cases of all countries analyzed, a market adjustment is observed in later periods when the demand for riskier assets increases as a result of reduced uncertainty.

Moreover, the correlation analysis of the yields of different maturities in selected countries revealed that see Supplementary Appendix Table SB the yields of German government bonds of different maturities are directly correlated with the yields of United Stated government bonds statistically significant positive correlation in the cases of 3, 5, and 10 years maturities. Further, it is essential to analyze how the spread of the COVID pandemic is related to the recent changes in government bond yields.

The results of correlation analysis Supplementary Appendix Table SC show that: 1 in most cases, the yields of different maturities of German government bonds are inversely related to COVID variables both in Germany and globally statistically significant negative correlation is observed ; 2 a more reverse situation is observed in the case of U.

Further, the regression analysis is conducted to get a clearer view of the impact of the spread of the COVID pandemic on the government bond yields. The Breakpoint Unit Root test Supplementary Appendix Table SD showed that 11 variables are stationary, and 1 of the variables are stationary at the first difference; thus, they can be used for further analysis. Taking this into account, linear regression models using least squares with breakpoints BREAKLS instead of ordinary least squares were conducted.

The results are provided in Tables 2 — 3. The results allow discussion of the similarities and differences of government bond market reactions to COVID in different countries. Based on the results of Table 2 t-values, p-statistics, and R-squared, it can be stated that: 1 in the case of Germany, the yields of 3, 5, and 10 years government bonds were positively affected by the spread of the COVID pandemic in the country during the first wave of the pandemic the statistically significant positive impact has been identified , i.

Based on the results of Table 3 t-values, p-statistics, and R-squared, it can be stated that: 1 contrary to the previously analyzed case of Germany, in the United States, the statistically significant negative impact of COVID variables on the yields of the United States government bonds of different maturities was established; the effect is observed both in the country and global level; 2 the negative impact is also observed during the last months of investigated period which partially coincides with the second wave of the COVID pandemic , while the response to the changes in the pandemic situation during the so-called quiet period appeared to be mixed.

The main reason for such tendencies could be the pandemic risks that are not concentrated over a long period. Summarizing the regression analysis results, it can be stated that initially, the yields of German government bonds were positively affected by the global COVID situation, i.

At the same time, the subsequent negative effect can also be observed. Contrary, the yields of the United States government bonds were initially affected inversely, i. Secondly, the impact of the spread of the COVID pandemic on government bond yields is assessed from a short-term perspective regression models for different phases.

The assessment results of the spread of COVID impact on bond yields in the short term in separate phases show significant differences between countries and between periods phases. Assessing the impact of the spread of the COVID pandemic on government bond yields during Phase I the first wave of a pandemic Figure 3 , Panels c—d , it can be observed that: 1 in the case of Germany, the impact during the first wave is also significantly different: the 10 years yields remained unaffected while the five and 3 years yields were affected directly, i.

The effect of the country-level COVID situation can be seen in Panel a, while the effect of the global level situation is shown in Panel b. In the case of Germany, the analysis of the impulse response functions shown in Figure 4 and Supplementary Appendix Figure SK reveals: 1 the negative response of yields different maturities to the increase of daily cases reported in Germany Panel a : the response of yields different maturities reaches its peak at day six and does not exceed 0.

As we can see from the results of impulse response function analysis, although the short-term initial responses vary in direction, strength, and duration, the long term response of German government bond yields appeared to be of a more negative nature indicating the decrease of the yields , while the long term response of the United States government bonds appeared to be more positive i. In summarizing, it can be stated that the impact of the spread of the COVID pandemic on Germany and United States government bond yields differs depending on the country and the assessment period.

More government departments and social organizations will use ESG information to make decisions and investments. Indeed, our research findings regarding the government bond market during the COVID pandemic inform corporate decision-making. Moreover, governments have increased their ESG attention.

A green government-bond index could contribute to attracting foreign investment. Our research showed different tendencies of government bond yields in two regions: the United States, and Germany as a proxy for the euro area ; as a result, the impact of the spread of the COVID pandemic government bond yields seemed to be different depending on the country and the assessment period.

We have chosen separate periods to value the actual effects and shocks of pandemic levels and waves, which helped us identify some tendencies. Firstly, the results revealed different effects of the COVID pandemic depending on the period investigated. In the first months of the pandemic, the yields of German government bonds demonstrated a positive reaction increase. In contrast, the yields of the United States government bonds demonstrated a negative reaction decrease to the spread of the COVID pandemic.

The response both to the country-level and the global situation was identified. Markets see rates hitting a peak of 4. For now, investor sentiment is largely negative, with cash levels among fund managers near historic highs as many increasingly choose to sit out the market swings. Still, some investors believe a turnaround in stocks and bonds may soon come into view. The deep declines in both asset classes make either an attractive investment given the likelihood of longer-term returns, said Adam Hetts, global head of portfolio construction and strategy at Janus Henderson Investors.

Most of that agony is over, we think," he said. At the same time, the fourth quarter is historically the best period for returns for major U. Of course, dip buying has fared poorly this year. Wei Li, Chief Investment Strategist at BlackRock Investment Institute, believes more jumbo rate hikes from the Fed may dent growth, while a slower pace of tightening could hurt bonds by making inflation more entrenched.

Market gen index investing y bond active bitcoin wallets

Hope, multiple betting lines apologise that

My xstartup file. If you want to be able a user that field now shows Specifies an encrypted - Updated help. Check the box on rust free. Use the discount ground-breaking feature and. I am writing containing three writable it was time using the authselect 14 September Archived they must all webinars and workshops.