Linking Covid-19 epidemic and emerging market OAS: Evidence using dynamic copulas and Pareto distributions

Imdade Chitou, Gilles Dufrénot () and Julien Esposito
Additional contact information
Imdade Chitou: AMSE - Aix-Marseille Sciences Economiques - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique
Julien Esposito: AMSE - Aix-Marseille Sciences Economiques - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique

Working Papers from HAL

Abstract: This paper investigates the dependence of the Option-Adjusted Spread (OAS) for several ICE BofA Emerging Markets Corporate Plus Indexes to the outbreaks of the Covid-19 viral pandemics between March 1, 2020, and April 30, 2021. We investigate whether the number of new cases, the reproduction rate, death rate and stringency policies have resulted in an increase/decrease in the spreads. We study the bivariate distributions of epidemiological indicators and spreads to investigate their concordance using dynamic copula analysis and estimate the Kendall rankcorrelation coefficient. We also investigate the effect of the epidemiological variables on the extreme values of the spreads by fitting a tail index derived from a Pareto type I distribution. We highlight the existence of correlations, robust to the type of copulas used (Clayton or Gumbel). Moreover, we show that the epidemiological variables explain well the extreme values of the spreads.

Keywords: Covid-19; corporate spreads; pandemics; emerging economies (search for similar items in EconPapers)
Date: 2021-07
New Economics Papers: this item is included in nep-hea and nep-isf
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-03297198
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://shs.hal.science/halshs-03297198/document (application/pdf)

Related works:
Working Paper: Linking Covid-19 epidemic and emerging market OAS: Evidence using dynamic copulas and Pareto distributions (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:halshs-03297198

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().