| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27903 |
| 来源ID | Working Paper 27903 |
| Emerging Markets Sovereign CDS Spreads During COVID-19: Economics versus Epidemiology News | |
| Timo Daehler; Joshua Aizenman; Yothin Jinjarak | |
| 发表日期 | 2020-10-05 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | 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 risks and then extrapolate the model-implied spreads for the period July 2019–June 2020. Intriguingly, the model initially predicts the realized spreads well but loses predictive accuracy during the COVID-19 pandemic. Fiscal space and oil-revenue dependence primarily drive the differences between the realized and predicted sovereign spreads. Our augmented-factor model indicates that the cumulative COVID-19 mortality rate growth is positively associated with the CDS spreads. The evidence suggests that the epidemiological deterioration can lower confidence in the sovereign credit markets due to the prospects of prolonged lockdowns and a slower GDP growth recovery. Our results also hold for a single regression of daily spread changes during 2014-2020. |
| 主题 | International Economics ; International Finance ; International Macroeconomics ; Public Economics ; National Fiscal Issues ; COVID-19 |
| URL | https://www.nber.org/papers/w27903 |
| 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/585576 |
| 推荐引用方式 GB/T 7714 | Timo Daehler,Joshua Aizenman,Yothin Jinjarak. Emerging Markets Sovereign CDS Spreads During COVID-19: Economics versus Epidemiology News. 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 | ||
| w27903.pdf（1292KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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