•We study the effect of policy responses to the COVID-19 pandemic on bond market volatility.•We examine data from 31 developed and emerging markets during the coronavirus outbreak.•Government interventions substantially reduce local sovereign bond volatility.•The effect is driven by economic support policies.•The containment and closure or health regulations play no major role. Effective government policies may reduce uncertainty in sovereign bond markets. Can policy responses help to curb bond market volatility during the COVID-19 pandemic? To answer this, we examine data from 31 developed and emerging markets during the coronavirus outbreak in 2020. We demonstrate that government interventions substantially reduce local sovereign bond volatility. The effect is mainly driven by economic support policies; the containment and closure regulations and health system interventions play no major role.