TY - JOUR
AU - Apergis, Nicholas
AU - Danuletiu, Dan
AU - Xu, Bing
PY - 2021
DA - November
TI - CDS spreads and COVID-19 pandemic
JO - Journal of International Financial Markets, Institutions and Money
VL - 76
DO - https://doi.org/10.1016/j.intfin.2021.101433
AB - 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.
PB - Elsevier
UR - https://researchportal.hw.ac.uk/en/publications/025d5a7c-29e9-4adc-8173-452b847ebc4b
KW - Coronavirus (COVID-19)
ER