Hasan Iftekhar, Marra Miriam, To Thomas Y, Wu Eliza, Zhang Gaiyan
Fordham University and Bank of Finland.
University of Reading.
J Bank Financ. 2023 Feb;147:106618. doi: 10.1016/j.jbankfin.2022.106618. Epub 2022 Jul 16.
We examine the impact of the COVID-19 pandemic on the credit risk of companies around the world. We find that increased infection rates affect firms more adversely as reflected by the wider increase in their credit default swap (CDS) spreads if they are larger, more leveraged, closer to default, have worse governance and more limited stakeholder engagement, and operate in more highly exposed industries. We observe that country-level determinants such as GDP, political stability, foreign direct investment, and commitment to crisis management (income support, health and lockdown policies) also affect the sensitivity of CDS spreads to COVID-19 infection rates. A negative amplification effect exists for firms with high default probability in countries with fiscal constraints. A direct comparison between global CDS and stock markets reveals that the CDS market prices in a distinct set of corporate traits and government policies in pandemic times.
我们研究了新冠疫情对全球企业信用风险的影响。我们发现，感染率上升对企业的负面影响更大，这体现在信用违约互换（CDS）利差的更大幅度上升上，前提是企业规模更大、杠杆率更高、更接近违约、治理更差、利益相关者参与度更有限，且运营于受影响更大的行业。我们观察到，诸如国内生产总值、政治稳定性、外国直接投资以及对危机管理的承诺（收入支持、卫生和封锁政策）等国家层面的决定因素，也会影响CDS利差对新冠感染率的敏感度。在财政受限的国家，违约概率高的企业存在负面放大效应。全球CDS市场与股票市场的直接比较表明，CDS市场反映了疫情期间一系列独特的企业特征和政府政策。
