| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27451 |
| 来源ID | Working Paper 27451 |
| Pandemic Shocks and Fiscal-Monetary Policies in the Eurozone: COVID-19 Dominance During January - June 2020 | |
| Yothin Jinjarak; Rashad Ahmed; Sameer Nair-Desai; Weining Xin; Joshua Aizenman | |
| 发表日期 | 2020-06-29 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We compare the importance of market factors against that of COVID-19 dynamics and policy responses in explaining Eurozone sovereign spreads. First, we estimate a multifactor model for changes in credit default swap (CDS) spreads over January 2014 - June 2019. Then, we apply a synthetic control-type procedure to extrapolate model-implied changes in the CDS. The factor model does very well over the rest of 2019 but breaks down during the pandemic, especially during March 2020 when there is a large divergence between the actual and model-implied CDS changes. We find that the March 2020 divergence is well accounted for by COVID-specific risks and associated policies, mortality outcomes, and policy announcements, rather than traditional determinants. Daily CDS widening ceased almost immediately after the ECB announced the PEPP, but the divergence between actual and model-implied changes persisted. This points to COVID-19 Dominance: widening spreads during the pandemic has led to unconventional monetary policies that primarily aim to mitigate short-run fears, temporarily pushing away concerns over fiscal risk. |
| 主题 | International Economics ; International Finance ; International Macroeconomics ; Public Economics ; National Fiscal Issues ; COVID-19 |
| URL | https://www.nber.org/papers/w27451 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/585124 |
| 推荐引用方式 GB/T 7714 | Yothin Jinjarak,Rashad Ahmed,Sameer Nair-Desai,et al. Pandemic Shocks and Fiscal-Monetary Policies in the Eurozone: COVID-19 Dominance During January - June 2020. 2020. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w27451.pdf（1682KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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