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Contribution Details

Type Journal Article
Scope Discipline-based scholarship
Title The COVID-19 Pandemic and Sovereign Bond Risk
Organization Unit
Authors
  • Alin Marius Andries
  • Steven Ongena
  • Nicu Sprincean
Item Subtype Original Work
Refereed Yes
Status Published in final form
Language
  • English
Journal Title North American Journal of Economics and Finance
Geographical Reach international
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 Official URL
Official URL https://www.sciencedirect.com/science/article/pii/S1062940821001431
Digital Object Identifier 10.1016/j.najef.2021.101527
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