CDS spreads and COVID-19 pandemic

The role of non-critical business and telework propensity in international stock markets during the COVID-19 pandemic

“… Jiang et al (2022) find that bonds with higher pre-crisis fragility experienced more negative returns and more significant reversals around March 2020. Apergis et al (2021) show that the COVID-19 pandemic drove up U.S. corporate credit default swap spreads, where both the magnitude and significance were heterogenous across sectors.…”

Stabilizing global foreign exchange markets in the time of COVID-19: The role of vaccinations

“…This study employs daily data, an approach consistent with most research on the impacts of the COVID-19 pandemic and vaccinations on global financial markets (Apergis et al, 2022;Rouatbi et al, 2021;Topcu & Gulal, 2020;Zaremba et al, 2021). However, using daily data may be subject to the time difference bias as the information about the severity of the pandemic and the deployment of vaccinations at day 𝑡 might not be publicly available promptly at day 𝑡 + 1. denote the weekly and monthly realized FX volatility of country 𝑖 in week 𝑘. 𝐶𝑜𝑣𝑖𝑑 𝑖,𝑘 and 𝑉𝑎𝑥 𝑖,𝑘 are defined the same as in Equation ( 8), except they are weekly.…”

Dynamic link between central bank reserves, credit default swap spreads, and foreign exchange rates: Evidence from Turkey by time series econometrics

“…In the literature, various studies scrutinize CBR [ 15 , [21] , [22] , [23] , [24] , [25] ], CDS spreads [ 10 , 11 , 16 , [26] , [27] , [28] ], and FX rates [ 12 , 26 , [29] , [30] , [31] ]. Even, some studies examine some of these indicators with other indicators in the same study.…”