CDS spreads and COVID-19 pandemic
| Autor: | Dan Constantin Danuletiu, Nicholas Apergis, Bing Xu |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
Economics and Econometrics
Transmission channel 2019-20 coronavirus outbreak Credit default swap US Coronavirus disease 2019 (COVID-19) Severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) distressed firms Credit default swap (CDS) COVID-19 pandemic Monetary economics Article Pandemic Economics Finance |
| Zdroj: | Journal of International Financial Markets, Institutions and Money |
| ISSN: | 1042-4431 |
| Popis: | US corporate credit default swap (CDS) spreads have significantly increased since the beginning of the COVID-19 global pandemic. This paper shows that the magnitude of the pandemic measured by the number of COVID-19 cases and deaths both in the US and globally are positively linked to the CDS spreads, an effect both economically and statistically significant. However, there is a significant heterogenous effects across sectors, in which banking, travel & leisure, transportation, airlines, and restaurants are the hardest hit sectors. The analysis also documents that the COVID-19 pandemic increases corporate CDS spreads via increased firms’ distress levels transmission channels. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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