Sovereign bonds play a crucial role in the financial system, representing a key reserve asset for central banks and a profitable investment asset for investors and portfolio managers (Papavassiliou, 20211). All markets for sovereign bonds worldwide experienced a period of impaired functioning from February to March 2020 resulting from the COVID-19 pandemic crisis, which quickly spilled over to other markets (for example, the S&P 500 [Standard and Poor’s 500] and the Euro Stoxx 50 indices lost more than one-third of their values) and adversely affected funding conditions and market liquidity (Schrimpf et al., 2020). […]