  In this work, we investigate the impact of the COVID-19 pandemic on sovereign
bond yields. We consider the temporal changes from financial correlations using
network filtering methods. These methods consider a subset of links within the
correlation matrix, which gives rise to a network structure. We use sovereign
bond yield data from 17 European countries between the 2010 and 2020 period. We
find the mean correlation to decrease across all filtering methods during the
COVID-19 period. We also observe a distinctive trend between filtering methods
under multiple network centrality measures. We then relate the significance of
economic and health variables towards filtered networks within the COVID-19
period. Under an exponential random graph model, we are able to identify key
relations between economic groups across different filtering methods.
