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Tail event-based sovereign credit risk transmission network during COVID-19 pandemic
Naifar, Nader; Shahzad, Syed Jawad Hussain - In: Finance research letters 45 (2022), pp. 1-9
Persistent link: https://www.econbiz.de/10014578150
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Contagion of fear : is the impact of COVID-19 on sovereign risk really indiscriminate?
Cevik, Serhan; Öztürkkal, Belma - 2020
This paper investigates the impact of infectious diseases on the evolution of sovereign credit default swap (CDS) spreads for a panel of 77 advanced and developing countries. Using annual data over the 2004-2020 period, we find that infectious-disease outbreaks have no discernible effect on CDS...
Persistent link: https://www.econbiz.de/10012392655
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Assessment of the credit risk of Poland based on sovereign credit default swap spreads during the Covid-19 pandemic
Czech, Maria - In: Ekonomia i prawo 20 (2021) 3, pp. 497-511
Persistent link: https://www.econbiz.de/10012876160
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The COVID-19 pandemic and sovereign bond risk
Andrieş, Alin Marius; Ongena, Steven; Sprincean, Nicu - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10013187640
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The COVID-19 Pandemic and Sovereign Credit Risk
Pan, Wei-Fong; Wang, Xinjie; Wu, Ge; Xu, Weike - 2021
This study examines the effects of the COVID-19 pandemic on sovereign CDS spreads using a large sample of countries. We show how sovereign CDS spreads have widened significantly in response to the COVID-19 pandemic. Based on the most conservative estimate, a 1% increase in COVID-19 infections...
Persistent link: https://www.econbiz.de/10013250329
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The impact of COVID-19 on supply chain credit risk
Ağca, Şenay; Birge, John R.; Wang, Ziang; Wu, Jing - In: Production and operations management : the flagship … 32 (2023) 12, pp. 4088-4113
Persistent link: https://www.econbiz.de/10014441488
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The Changing behavior of the European credit default swap spreads during the Covid‑19 pandemic : a Bayesian network analysis
Cinicioglu, Esma Nur; Kışla, Gül Huyugüzel; Özlem … - In: Computational economics 63 (2024) 3, pp. 1213-1254
Persistent link: https://www.econbiz.de/10014548274
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CDS spreads and COVID-19 pandemic
Apergēs, Nikolaos; Danuletiu, Dan; Xu, Bing - In: Journal of international financial markets, … 76 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013412804
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Emerging Markets Sovereign CDS Spreads During Covid-19 : Economics Versus Epidemiology News
Daehler, Timo; Aizenman, Joshua; Jinjarak, Yothin - 2021
Can bad news about COVID-19 induce negative expectations on sovereign credit risks? We investigate the factors driving credit default swap (CDS) spreads of emerging market sovereigns around the outbreak of COVID-19. Using 2014-2019 data, we estimate a two-factor model of global and regional...
Persistent link: https://www.econbiz.de/10013236709
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Emerging markets sovereign CDS spreads during COVID-19 : economics versus epidemiology news
Daehler, Timo B.; Aizenman, Joshua; Jinjarak, Yothin - In: Economic modelling 100 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10012795845