We explore the impact of the COVID-19 pandemic on the term structure of interest rates. Using data from developed and emerging countries, we demonstrate that the expansion of the disease significantly affects sovereign bond markets. The growth of confirmed cases significantly widens the term spreads of government bonds. The effect is independent of government policy and monetary responses to COVID-19 and robust to many considerations.

中文翻译：

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期限利差和 COVID-19 大流行：来自国际主权债券市场的证据

我们探讨了 COVID-19 大流行对利率期限结构的影响。利用发达国家和新兴国家的数据，我们证明疾病的蔓延严重影响了主权债券市场。确诊病例的增长显着扩大了政府债券的期限利差。其影响独立于政府对 COVID-19 的政策和货币反应，并且从许多考虑因素来看都是稳健的。