Paper Title
Does Covid-19 drive the Corporate-Government Bonds Yield Correlations? Local and Global Statistics

Abstract
This paper examines whether the COVID-19 cases and deaths reported dataimpact the corporate-government bond yields dynamic correlation. To do so, we use the daily corporate bond data with different ratings of bonds along with the COVID-19 data at both the US and global levels. Using the quantile regression approach produces the following results. First, the impact of daily cases differs than that of death both locally or globally. Second, the impact of local cases and deaths on the Government-AAA yields correlation at a given quantile tends to reverse when the BBB bond is used in the analysis. Lastly, global death cases significantly affect both of the correlation series the most at the higher quantiles. We argue that localCoronavirus data provides a better implication for the construction of bonds portfolio than the global data. That is, their economic impact depends on the rating of the bond and tend to vary more across orrelationsquantiles. Keywords - COVID-19;Corporate Bonds;GovernmentBonds; Correlations; Quantiles. JEL Classification - C21;G11;I10