This study investigates the implications of the COVID-19 pandemic for sovereign debt in the G-7 and E-7 economies and explores the notion of sovereign bonds as a safe haven. Using a set of panel regression and dynamic connectedness TVP-VAR approaches, our results reveal that the impact of COVID-19 global case numbers on sovereign bonds has been contingent on the level of the country's financial and economic development. More precisely, our findings suggest that G-7 countries, where economic development is typically higher, have seen a negative effect of the COVID-19 pandemic on sovereign bond yield: sovereign 10-year bond yields declined as the number of COVID-19 global confirmed cases increased in G-7 countries. However, in E-7 countries, where economic growth and development are typically lower, sovereign bond yields responded positively to the initial increase in COVID-19 global confirmed case numbers, but this positive effect is not statistically significant. We also find that the G-7 and E-7 economies have a strong time-varying connectedness in relation to their bond markets and this effect is more pronounced in G-7 economies. Daily Infectious Disease Equity Market Volatility is likely to be the strongest predictor of total connectedness. Concomitantly, we shed new light on the predictive power of the number of COVID-19 confirmed cases and deaths, and the Daily Infectious Disease Equity Market Volatility Tracker on the interdependence of these sovereign bond markets. Overall, this paper highlights the heterogeneous effect of the COVID-19 pandemic on sovereign bond yields in G-7 and E-7 countries and the notion that the developed economies, with their developed sovereign bond markets, are still seen as a safe haven during times of crisis.

本研究调查了 COVID-19 大流行对 G-7 和 E-7 经济体主权债务的影响，并探讨了主权债券作为避风港的概念。使用一组面板回归和动态连通性 TVP-VAR 方法，我们的结果表明，COVID-19 全球案例数量对主权债券的影响取决于该国的金融和经济发展水平。更准确地说，我们的研究结果表明，经济发展通常较高的 G-7 国家已经看到 COVID-19 大流行对主权债券收益率的负面影响：主权 10 年期债券收益率随着 COVID-19 全球数量的下降而下降G-7国家确诊病例增加。然而，在经济增长和发展通常较低的 E-7 国家，主权债券收益率对 COVID-19 全球确诊病例数的最初增加做出了积极反应，但这种积极影响在统计上并不显着。我们还发现，G-7 和 E-7 经济体与其债券市场具有很强的时变联系，这种影响在 G-7 经济体中更为明显。每日传染病股票市场波动可能是总体连通性的最强预测指标。与此同时，我们对 COVID-19 确诊病例和死亡人数的预测能力以及每日传染病股票市场波动追踪器对这些主权债券市场相互依存关系的预测能力有了新的认识。总体，