Pandemic Bonds Issued by the Government Supported Post-Disaster Recovery from Pandemic
Vedio
The presentation of this article can be accessed on Bilibili at https://space.bilibili.com/123527/channel/collectiondetail?sid=295940
Abstract
During the SARS-CoV-2 outbreak,repeatedly stressed that the response to the pandemic required action at all levels of government, including the issuance of Pandemic Bonds to help the country return to work and production. However, studies on the effectiveness of Pandemic Bonds during that period are rare. Starting with national financial bond market data after SARS-CoV-2 in 2020, this paper focuses on the correlation between the Credit Spreads of the relevant bonds and the corresponding bond market rate of return, based on the Copula model. The empirical analysis is also carried out for multiple dimensional groupings such as enterprises, industries, provinces, and bond maturities. The results show that there is a significant positive correlation between the Credit Spreads of Pandemic Bonds and market returns. In addition, the market correlation is higher for Pandemic Bonds issued in Hubei Province, which is at the center of the 2020 pandemic, and the shorter the maturity of the Pandemic Bond issued, the stronger the relationship with market returns. Finally, this paper provides recommendations for financial regulators and policy makers to consider in their decisions on how to build a more resilient financial system under heavy economic, fiscal, and social pressures.
大流行爆发期间，反复强调应对大流行病需要各级政府采取行动，包括发行大流行债券以帮助国家恢复工作和生产。然而，关于大流行病债券在这一时期的效果的研究却很少。本文从2020年大流行之后的国家金融债券市场数据出发，基于Copula模型，重点研究了相关债券的信用利差与相应的债券市场收益率之间的相关性。同时对企业、行业、省份、债券期限等多个维度分组进行了实证分析。结果显示，大流行债券的信用利差与市场收益率之间存在着明显的正相关关系。此外，处于2020年大流行中心的湖北省发行的大流行债券的市场相关性更高，而且发行的大流行债券的期限越短，与市场回报的关系越强。最后，本文提供了一些建议，供金融监管机构和政策制定者在决策时考虑如何在沉重的经济、财政和社会压力下建立一个更具弹性的金融体系。