Infectious disease-related uncertainty and the safe-haven characteristic of US treasury securities

This paper analyses the impact of a newspaper-based uncertainty associated with infectious diseases (EMVID) on level, slope and curvature factors derived from term structure interest rates US covering maturities 1 year to 30 years. Results nonlinearity structural break tests indicate misspecification linear causality model point suitability applying time-varying model. A DCC-MGARCH framework is thus applied results significant predictability three latent EMVID index at each entire sample, also provide evidence instantaneous spillover. Finally, measuring safe-haven characteristic Treasury market show that treasuries long-term as captured by level factor are consistently negatively correlated index, i.e., they act safe-haven, (medium-term maturities) following this trend since 2007, (short-term showing signs May 2020. Overall, findings reasonable securities can hedge risks financial in wake current COVID-19 pandemic.