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CDS spreads and COVID-19 pandemic
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 spread...
Autores principales: | , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Published by Elsevier B.V.
2022
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8600803/ http://dx.doi.org/10.1016/j.intfin.2021.101433 |
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author | Apergis, Nicholas Danuletiu, Dan Xu, Bing |
author_facet | Apergis, Nicholas Danuletiu, Dan Xu, Bing |
author_sort | Apergis, Nicholas |
collection | PubMed |
description | 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. |
format | Online Article Text |
id | pubmed-8600803 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2022 |
publisher | Published by Elsevier B.V. |
record_format | MEDLINE/PubMed |
spelling | pubmed-86008032021-11-18 CDS spreads and COVID-19 pandemic Apergis, Nicholas Danuletiu, Dan Xu, Bing Journal of International Financial Markets, Institutions and Money Article 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. Published by Elsevier B.V. 2022-01 2021-11-18 /pmc/articles/PMC8600803/ http://dx.doi.org/10.1016/j.intfin.2021.101433 Text en © 2021 Published by Elsevier B.V. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active. |
spellingShingle | Article Apergis, Nicholas Danuletiu, Dan Xu, Bing CDS spreads and COVID-19 pandemic |
title | CDS spreads and COVID-19 pandemic |
title_full | CDS spreads and COVID-19 pandemic |
title_fullStr | CDS spreads and COVID-19 pandemic |
title_full_unstemmed | CDS spreads and COVID-19 pandemic |
title_short | CDS spreads and COVID-19 pandemic |
title_sort | cds spreads and covid-19 pandemic |
topic | Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8600803/ http://dx.doi.org/10.1016/j.intfin.2021.101433 |
work_keys_str_mv | AT apergisnicholas cdsspreadsandcovid19pandemic AT danuletiudan cdsspreadsandcovid19pandemic AT xubing cdsspreadsandcovid19pandemic |