Contagion of Fear: Is the Impact of Covid-19 on Sovereign Risk Really Indiscriminate?

dc.authorid Ozturkkal, Belma/0000-0003-1918-7293
dc.authorid Cevik, Serhan/0000-0002-2373-2023
dc.authorwosid Ozturkkal, Belma/C-6660-2013
dc.contributor.author Cevik, Serhan
dc.contributor.author Öztürkkal, Ayşe Belma
dc.contributor.author Ozturkkal, Belma
dc.contributor.other International Trade and Finance
dc.date.accessioned 2023-10-19T15:13:07Z
dc.date.available 2023-10-19T15:13:07Z
dc.date.issued 2021
dc.department-temp [Cevik, Serhan] Int Monetary Fund, Western Hemisphere Dept, 700 19th St NW, Washington, DC 20431 USA; [Ozturkkal, Belma] Kadir Has Univ, Dept Int Trade & Finance, Istanbul, Turkey en_US
dc.description.abstract This paper investigates the impact of infectious diseases on the evolution of sovereign credit default swap (CDS) spreads for a panel of 77 countries. Using annual data over 2004-2020, we find that infectious-disease outbreaks have no discernible effect on CDS spreads, after controlling for macroeconomic and institutional factors. However, a granular analysis using high-frequency data indicates that the COVID-19 pandemic has had a significant impact on CDS spreads. This adverse effect appears to be more pronounced in advanced economies, which may reflect the greater severity of the pandemic and depth of the economic crisis in these countries, at least during the initial stage of the outbreak, as well as underreporting in developing countries due to differences in testing availability and institutional capacity. While more stringent containment measures help lower sovereign CDS spreads, the fiscal burden of these efforts could undermine credit worthiness and eventually push the cost of borrowing higher. en_US
dc.identifier.citationcount 13
dc.identifier.doi 10.1111/infi.12397 en_US
dc.identifier.endpage 154 en_US
dc.identifier.issn 1367-0271
dc.identifier.issn 1468-2362
dc.identifier.issue 2 en_US
dc.identifier.scopus 2-s2.0-85110935840 en_US
dc.identifier.scopusquality Q2
dc.identifier.startpage 134 en_US
dc.identifier.uri https://doi.org/10.1111/infi.12397
dc.identifier.uri https://hdl.handle.net/20.500.12469/5612
dc.identifier.volume 24 en_US
dc.identifier.wos WOS:000675256900001 en_US
dc.identifier.wosquality Q4
dc.khas 20231019-WoS en_US
dc.language.iso en en_US
dc.publisher Wiley en_US
dc.relation.ispartof International Finance en_US
dc.relation.publicationcategory Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı en_US
dc.rights info:eu-repo/semantics/openAccess en_US
dc.scopus.citedbyCount 18
dc.subject Economic Forecasts En_Us
dc.subject Credit Risk En_Us
dc.subject Bond Yields En_Us
dc.subject Debt En_Us
dc.subject Fundamentals En_Us
dc.subject Determinants En_Us
dc.subject Markets En_Us
dc.subject Spreads En_Us
dc.subject Cds En_Us
dc.subject Economic Forecasts
dc.subject Credit Risk
dc.subject Bond Yields
dc.subject Debt
dc.subject Fundamentals
dc.subject Determinants
dc.subject CDS spreads en_US
dc.subject Markets
dc.subject COVID-19 en_US
dc.subject Spreads
dc.subject infectious diseases en_US
dc.subject Cds
dc.subject sovereign credit risk en_US
dc.title Contagion of Fear: Is the Impact of Covid-19 on Sovereign Risk Really Indiscriminate? en_US
dc.type Article en_US
dc.wos.citedbyCount 16
dspace.entity.type Publication
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relation.isAuthorOfPublication.latestForDiscovery 4305087b-4178-478d-8846-9b1a77e8bfbe
relation.isOrgUnitOfPublication 16202dfd-a149-4884-98fb-ada5f8c12918
relation.isOrgUnitOfPublication.latestForDiscovery 16202dfd-a149-4884-98fb-ada5f8c12918

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