CDS spreads and COVID-19 pandemic

Nicholas Apergis (), Dan Dănuleţiu and Bing Xu

Journal of International Financial Markets, Institutions and Money, 2022, vol. 76, issue C

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.

Keywords: Credit default swap (CDS); COVID-19 pandemic; Distressed firms; US (search for similar items in EconPapers)
JEL-codes: C30 E44 F30 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001463

DOI: 10.1016/j.intfin.2021.101433

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