@article{Apergis_N-2021_58848,
title = {CDS spreads and COVID-19 pandemic},
author = {Apergis, N. and Danuletiu, D. and Xu, B.},
month = {nov},
year = {2021},
abstract = {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 &amp; 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.},
volume = {76},
journal = {Journal of International Financial Markets, Institutions and Money},
publisher = {Elsevier},
url = {https://doi.org/10.1016/j.intfin.2021.101433},
}
