Not logged in.
Quick Search - Contribution
Contribution Details
Type | Journal Article |
Scope | Discipline-based scholarship |
Title | The COVID-19 Pandemic and Sovereign Bond Risk |
Organization Unit | |
Authors |
|
Item Subtype | Original Work |
Refereed | Yes |
Status | Published in final form |
Language |
|
Journal Title | North American Journal of Economics and Finance |
Publisher | Elsevier |
Geographical Reach | international |
ISSN | 1062-9408 |
Volume | 58 |
Page Range | 101527 |
Date | 2021 |
Abstract Text | Governments around the world are tackling the COVID-19 pandemic with a mix of public health, fiscal, macroprudential, monetary, and/or market-based policies. We assess the impact of the pandemic in Europe on sovereign CDS spreads using an event study methodology. We find that a higher number of cases and deaths and public health containment responses significantly increase the uncertainty among investors in European government bonds. Other governmental policies magnify the effect in the short run as supply chains are disrupted. Moreover, an increased debt-to GDP ratio significantly boosts the cumulative abnormal change of CDS spreads, which indicates that investors are concerned about countries that are too indebted and thus have a limited capacity to intervene and provide fiscal stimuli and emergency fiscal packages to businesses and households. |
Free access at | DOI |
Official URL | https://www.sciencedirect.com/science/article/pii/S1062940821001431 |
Digital Object Identifier | 10.1016/j.najef.2021.101527 |
Other Identification Number | merlin-id:21308 |
PDF File | Download from ZORA |
Export |
BibTeX
EP3 XML (ZORA) |