| 题名 | The COVID-19 pandemic and sovereign credit risk |
| 作者 | |
| 通讯作者 | Xinjie,Wang |
| 发表日期 | 2021-05-20
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| DOI | |
| 发表期刊 | |
| ISSN | 2044-1398
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| 摘要 | PurposeThe purpose of this study is to examine the effects of the coronavirus disease 2019 (COVID-19) pandemic on sovereign credit default swap (CDS) spreads using a large sample of countries. Design/methodology/approachIn this paper, the authors use a wide set of the sovereign CDS data of 78 countries. To measure the magnitude of the COVID-19 pandemic, the authors use the daily change of confirmed cases collected from Our World in Data. They use panel regressions to estimate the impact of the COVID-19 pandemic on sovereign credit risk. FindingsThe authors show how sovereign CDS spreads have widened significantly in response to the COVID-19 pandemic. Based on the most conservative estimate, a 1% increase in COVID-19 infections leads to a 0.17% increase in sovereign CDS spreads. Furthermore, this effect is stronger for developing countries and countries with worse healthcare systems. Government policies partially offset the impact of the COVID-19 pandemic, although these same policies also lead to widening sovereign CDS spreads. Sovereign CDS spreads narrow dramatically several months after the outbreak of the COVID-19 pandemic. Overall, the results suggest that the ongoing COVID-19 pandemic has been a massive shock to the global financial stability. Originality/valueThis paper provides new evidence that COVID-19 widens sovereign CDS spreads. The authors further show that this widening effect is felt most strongly in developing economies. |
| 关键词 | |
| 相关链接 | [来源记录] |
| 收录类别 | |
| 语种 | 英语
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| 学校署名 | 通讯
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| 出版者 | |
| 来源库 | 人工提交
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| 引用统计 |
被引频次[WOS]：27
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| 成果类型 | 期刊论文 |
| 条目标识符 | http://sustech.caswiz.com/handle/2SGJ60CL/229211 |
| 专题 | 商学院_金融系 |
| 作者单位 | 1.Department of Economics, University of Reading 2.Department of Finance, Southern University of Science and Technology 3.University of Richmond 4.Clemson University |
| 通讯作者单位 | 金融系 |
| 推荐引用方式 GB/T 7714 |
Wei-Fong,Pan,Xinjie,Wang,Ge,Wu,et al. The COVID-19 pandemic and sovereign credit risk[J]. China Finance Review International,2021.
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| APA |
Wei-Fong,Pan,Xinjie,Wang,Ge,Wu,&Weike,Xu.(2021).The COVID-19 pandemic and sovereign credit risk.China Finance Review International.
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| MLA |
Wei-Fong,Pan,et al."The COVID-19 pandemic and sovereign credit risk".China Finance Review International (2021).
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| 条目包含的文件 | ||||||
| 文件名称/大小 | 文献类型 | 版本类型 | 开放类型 | 使用许可 | 操作 | |
| 2021_covid_CFRI.pdf（1385KB） | -- | -- | 限制开放 | -- | ||
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