for the endogenous response of containment measures to the spread of the virus. To further account for expectations about the country-specific evolution of the pandemic, we also control for country-specific linear, quadratic, and cubic time trends. Another important empirical challenge is that containment measures have been introduced as parts of broader non-pharmaceutical interventions (NPIs) including enhanced testing, contact tracing and public information campaign aimed at increasing social awareness. To address this issue and disentangle the effect of
effectively control for this endogenous response which would otherwise bias estimates of the effect of containment measures. The use of daily data allows us to address this issue by controlling for the change in the number of infected cases and deaths occurring a day before the implementation of containment measures, as well as for lagged changes in daily economic indicators. Indeed, given lags in the implementation of interventions at daily frequency, this approach effectively controls for the endogenous response of containment measures to the spread of the virus. To
estimation methods). Here, we briefly complement the main analysis by checking to what extent similar results extend also to risk measures in advanced economies as well as long-term interest rates in local currency. A. Advanced economies Table 10 investigates the role of government debt and assets for the credit default spread of advanced economies (a comparable measure to the spread of emerging markets): no effect is visible. For advanced economies, the more relevant price could be the one imbedded in long term local currency rates, so it would be more interesting