Interacción del mercado de bonos en diferentes plazos durante el COVID-19: un enfoque de vectores autorregresivos

Abstract

This paper aims to study the interaction in the American bond market in different timeframes (3 months, 5 years, 10 years, and 30 years) during the COVID-19 with Autoregressive Vectors (VAR). It is assumed the hypothesis that the short-term vector bonds trigger the structure changes of long-term bonds. The upward reaction of the 5, 10, and 30-year bonds stands out from variations in the 3-month bond; likewise, the causality effects between the rates of the Treasury bonds.