Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/312958 
Year of Publication: 
2024
Citation: 
[Journal:] Contemporary Economics [ISSN:] 2300-8814 [Volume:] 18 [Issue:] 3 [Year:] 2024 [Pages:] 352-364
Publisher: 
University of Finance and Management in Warsaw, Faculty of Management and Finance, Warsaw
Abstract: 
The paper quantifies the impact of the outbreak of the Russo-Ukrainian war on sovereign bond yields for 58 countries. Our findings based on event study methodology and multivariate cross-sectional regression analysis highlight the salient role of trade channel in shaping the markets' reaction to the hostilities. The uptick in yields was higher in countries with a greater share of agricultural raw materials imports from Ukraine. No other persistent cross-geography differences in market reactions were found. The strength of the reaction was contingent on the individual countries' macroeconomic conditions. The post-event cumulative abnormal returns exhibited a positive associative link with the baseline inflation in the studied countries pointing to the inflationary pressure portended by the outbreak of war. No statistically significant links between the ex ante situation on the labor market and the subsequent bond market reaction were observed. At the outset of hostilities, the dynamics of yields were driven by the perceived likelihood of escalation, while at later stages, the trade channel appears to have shaped the market response. The paper provides insights into the factors shaping the spillover effects of the war on fixed-income markets and quantifies the speed of market adjustment in response to an external shock.
Subjects: 
sovereign debt
international trade
fixed-income analysis
systemic risks
JEL: 
F10
F34
F40
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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