COVID-19 - Effects of Coronavirus on the European Sovereign CDS Market

Authors

  • Oumayma Nadir Faculty of Economics and Management of kenitra, Ibn tofail University kenitra, Morocco
  • Driss Daoui Faculty of Economics and Management of kenitra, Ibn tofail University kenitra, Morocco

Keywords:

CDS, Credit risk, Sovereign CDS market, COVID-19, Pandemic crisis

Abstract

As coronavirus disease (COVID-19) spreads around the world, fear and uncertainty increase, driving financial markets and pushing the global economy into recession. Governments are addressing this pandemic with a mix of health, macroprudential, fiscal, monetary and market policies. In this article we assess the impact of the pandemic in Europe on sovereign CDSs using an event-study methodology. We find that a higher number of cases and deaths and public health containment responses significantly increase investor uncertainty in European government bonds. Other government policies amplify the short-term effect as supply chains are disrupted.

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Published

2020-09-15

How to Cite

Nadir, O., & Daoui, D. (2020). COVID-19 - Effects of Coronavirus on the European Sovereign CDS Market. International Journal of Accounting, Finance, Auditing, Management and Economics, 1(2), 166–176. Retrieved from https://ijafame.org/index.php/ijafame/article/view/26

Issue

Vol. 1 No. 2 (2020)

Section

Articles

License

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CC-BY-NC-ND.

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