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<p>We study the market quality of Italian sovereign bonds during the COVID-19 pandemic, revealing its direct impact (represented by COVID-19 hospitalizations) and its indirect impact (channeled by the ECB monetary policy) on heightened volatility and deteriorated liquidity conditions during the first COVID-19 wave. We also uncover an additional channel by which the pandemic was costly for taxpayers: the surge of the auction premium. Our analysis shows that subsequent monetary policy measures effectively reduced volatility and the size of the premium during the second wave of the pandemic.</p>

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The Impact of COVID-19 on Italian Sovereign Bond Market Quality

  • 期刊论文

  • 发表日期：

    2025年1月25日

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  • Gerardo Ferrara,
  • Maria Flora,
  • Roberto Renò

摘要

We study the market quality of Italian sovereign bonds during the COVID-19 pandemic, revealing its direct impact (represented by COVID-19 hospitalizations) and its indirect impact (channeled by the ECB monetary policy) on heightened volatility and deteriorated liquidity conditions during the first COVID-19 wave. We also uncover an additional channel by which the pandemic was costly for taxpayers: the surge of the auction premium. Our analysis shows that subsequent monetary policy measures effectively reduced volatility and the size of the premium during the second wave of the pandemic.