Daehler, Timo; Aizenman, Joshua; Jinjarak, Yothin - 2021
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 … the sovereign credit markets due to the prospects of prolonged lockdowns and a slower GDP growth recovery. Our results …