- Published
- 18 November 2021
- Journal article
CDS spreads and COVID-19 pandemic
- Authors
- Source
- Journal of International Financial Markets, Institutions and Money
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 & 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.
Rights
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Cite as
Apergis, N., Danuletiu, D. & Xu, B. 2021, 'CDS spreads and COVID-19 pandemic', Journal of International Financial Markets, Institutions and Money, 76, article no: 101433. https://doi.org/10.1016/j.intfin.2021.101433