CDS spreads and COVID-19 pandemic

Nicholas Apergis, Dan Danuletiu, Bing Xu

Research output: Contribution to journalArticlepeer-review

3 Citations (Scopus)

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.
Original languageEnglish
Article number101433
JournalJournal of International Financial Markets, Institutions and Money
Volume76
Early online date18 Nov 2021
DOIs
Publication statusPublished - Jan 2022

Keywords

  • COVID-19 pandemic
  • Credit default swap (CDS)
  • Distressed firms
  • US

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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