This paper investigates the impact of Covid-19 pandemic and monetary policy measures adopted by the European Central … November-2020 using daily data. The impact of Covid-19 and monetary policy shocks on the credit default swap rates and bond … in the regressions. The results of the empirical analysis suggest that Covid-19 shock increased the sovereign risk in the …

, which can account for the asymmetric shifts in euro area yields during the Covid-19 pandemic. We derive an affine term …