新冠疫情与主权信用风险
The COVID-19 pandemic and sovereign credit risk
新冠疫情与主权信用风险
Author
Wei-Fong Pan
University of Reading, Reading, UK,and,
Xinjie Wang
Southern University of Science and Technology, Shenzhen, China,and,
Ge Wu
University of Richmond, Richmond, Virginia, USA,and,
Weike Xu
Clemson University, Clemson, South Carolina, USA
Citation
Pan, W.-F., Wang, X., Wu, G. and Xu, W. (2021), "The COVID-19 pandemic and sovereign credit risk", China Finance Review International, Vol. 11 No. 3, pp. 287-301. https://doi.org/10.1108/CFRI-01-2021-0010
摘要
Abstract
Purpose
The purpose of this study is to examine the effects of the coronavirus disease 2019 (COVID-19) pandemic on sovereign credit default swap (CDS) spreads using a large sample of countries.
Design/methodology/approach
In this paper, the authors use a wide set of the sovereign CDS data of 78 countries. To measure the magnitude of the COVID-19 pandemic, the authors use the daily change of confirmed cases collected from Our World in Data. They use panel regressions to estimate the impact of the COVID-19 pandemic on sovereign credit risk.
Findings
The authors 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 leads to a 0.17% increase in sovereign CDS spreads. Furthermore, this effect is stronger for developing countries and countries with worse healthcare systems. Government policies partially offset the impact of the COVID-19 pandemic, although these same policies also lead to widening sovereign CDS spreads. Sovereign CDS spreads narrow dramatically several months after the outbreak of the COVID-19 pandemic. Overall, the results suggest that the ongoing COVID-19 pandemic has been a massive shock to the global financial stability.
Originality/value
This paper provides new evidence that COVID-19 widens sovereign CDS spreads. The authors further show that this widening effect is felt most strongly in developing economies.
Keywords
Crisis, Economic uncertainty, COVID-19, Pandemic, Sovereign CDS spread
文章结构
Introduction
Data and methodology
2.1 Data and summary statistics
2.2 Methodology
Empirical results
3.1 Effects of COVID on sovereign CDS spreads
3.2 Subsample analyses
3.3 Role of government policies
3.4 Robustness checks
Conclusion
研究成果
Summary statistics.
Sovereign CDS spreads and new COVID-19 cases across geographical areas.
Baseline results.
Subsample analysis: developed and developing countries.
Subsample analysis: the role of the healthcare system.
The role of government policy.
Robustness checks.
主要结论
In this paper, we study whether and how the COVID-19 pandemic affects sovereign credit risk using an extensive cross-section of CDS contract data on the external debt of 78 developed and developing countries. We find that the level of sovereign CDS spreads increases during periods when the COVID-19 pandemic becomes more severe. Our results are robust after controlling for important risk factors as well as country-fixed effects. Furthermore, the effects of COVID-19 on CDS spreads are stronger in developing countries and countries with worse healthcare infrastructures. The policies adopted by governments in response to COVID-19 do not significantly reduce the effect on CDS spreads. In summary, our results suggest that COVID-19 is an important source of variation in sovereign CDS spreads.
作者简介
王新杰助理教授2016年毕业于美国罗格斯大学(Rutgers University), 获金融学博士。此前分别在北京大学和罗格斯大学获得物理学学士和博士学位，在摩根大通银行(纽约)担任过资深量化分析师。他的主要研究方向为场外交易市场，市场微观结构，金融市场有效性，交易策略，信用风险，公司金融，新闻媒体和金融监管等。他的主要研究成果发表在Journal of Financial Economics, Journal of Financial Markets, Journal of Banking and Finance, Financial Management, Journal of Financial Research, Journal of Futures Markets, Journal of Fixed Income等国际期刊上。课题组成员就职于海内外知名学术机构和金融机构。
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