The COVID-19 Pandemic and Sovereign Bond Risk

Alin Marius Andries, Steven Ongena and Nicu Sprincean
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Alin Marius Andries: Alexandru Ioan Cuza University - Faculty of Economics and Business Administration
Authors registered in the RePEc Author Service: Alin Marius Andrieș

No 20-42, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: Governments around the world are tackling the COVID-19 pandemic with a mix of public health, fiscal, macroprudential, monetary, 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.

Pages: 21 pages
Date: 2020-05
New Economics Papers: this item is included in nep-eec and nep-fmk
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Citations: View citations in EconPapers (8)

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Related works:
Journal Article: The COVID-19 Pandemic and Sovereign Bond Risk (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp2042

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