In sickness and in debt: The COVID-19 impact on sovereign credit risk

• 成果类型: Article
• 署名作者: Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, Marti G.; Tomio, Davide
• 署名单位: McGill University; Universite de Montreal; HEC Montreal; New York University; New York University; University of Virginia
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.05.009
• 发表日期: 2022
• 页码: 1251-1274
• 关键词: covid-19; CORONAVIRUS; Sovereign credit risk; debt; Fiscal Capacity

摘要

A B S T R A C T The COVID-19 pandemic provides a unique setting in which to evaluate the importance of a country's fiscal capacity in explaining the relation between economic growth shocks and sovereign default risk. For a sample of 30 developed countries, we find a positive and significant sensitivity of sovereign default risk to the intensity of the virus's spread for fiscally constrained governments. Supporting the fiscal channel, we confirm the results for Eurozone countries and U.S. states, for which monetary policy can be held constant. Our analysis suggests that financial markets penalize sovereigns with low fiscal space, impairing their resilience to external shocks. (c) 2021 Elsevier B.V. All rights reserved.