The COVID-19 vaccine race, government bond yields, and index futures

: analysis of 34 OECD member countries

Abstract

This dissertation aims to investigate how government bond yields of 34 OECD member countries, along with five index futures, reacted to COVID-19 vaccine announcements from Moderna Inc. and Pfizer Inc./BioNTech during 2020. Event study and (cumulative) abnormal return methodology are used as the essential tools to investigate impacts. I find that especially Pfizer’s Phase 3 announcement in November 2020 is the event that provides the most significant results on government bond yields and index futures combined in terms of cumulative abnormal returns and event regression estimates. However, Moderna’s Phase 1 vaccine announcement in May 2020 would have significant impacts on economic optimism, which is reflected in the cumulative abnormal returns of index futures and the related event regression estimates. Furthermore, I investigate underlying economic and COVID-19 variables to understand the drivers of abnormal bond yields. I find that in particular net lending/borrowing as % of GDP, inflation, and unemployment rates are the variables exhibiting the greatest significance overall.

Date of Award	28 Jun 2021
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Geraldo Cerqueiro (Supervisor)