The Effects of the COVID-19 Pandemic Through the Lens of

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DC Field	Value
dc.identifier	ECF_chapter_4148
dc.contributor.author	Andrieș Alin Marius
dc.contributor.author	Ongena Steven
dc.contributor.author	Sprincean Nicu
dc.title	The Effects of the COVID-19 Pandemic Through the Lens of the CDS Spreads
dc.type	Chapter
dc.language.iso	en
dc.description.abstract	In this paper we are analysing the impact of the general lockdown measures imposed in Italy in the context of the COVID-19 pandemic on European banks’ CDS spreads. Compared to the impact of the COVID-19 pandemic on sovereign risk, we find little evidence of increased bank risk following the event. However, investors’ reaction was clearly negative in longer time frames. In addition, we quantify the feedback loop between sovereign and bank risk and document an increased interconnectedness between sovereigns and banks during the current health crisis, however with a smaller magnitude comparing to the sovereign debt crisis. Banks are now more resilient to shocks, being a direct consequence of the post-crisis regulatory framework.
dc.relation.ispartof	Innovation in Business, Economics & Finance
dc.publisher	Edizioni Ca’ Foscari - Digital Publishing, Fondazione Università Ca’ Foscari
dc.issued	2020-07-31
dc.dateAccepted	2020-06-30
dc.dateSubmitted	2020-06-03
dc.identifier.uri	http://edizionicafoscari.it/en/edizioni4/libri/978-88-6969-443-1/the-effects-of-the-covid-19-pandemic-through-the-l/
dc.identifier.doi	10.30687/978-88-6969-442-4/006
dc.identifier.eissn	2784-8574
dc.identifier.isbn
dc.identifier.eisbn	978-88-6969-442-4
dc.rights	Creative Commons Attribution 4.0 International Public License
dc.rights.uri	http://creativecommons.org/licenses/by/4.0/
item.fulltext	with fulltext
item.grantfulltext	open
dc.peer-review	yes
dc.subject	Bank risk
dc.subject	Bank risk
dc.subject	COVID-19 pandemic
dc.subject	COVID-19 pandemic
dc.subject	Country risk
dc.subject	Country risk
dc.subject	Spillover effects
dc.subject	Spillover effects

Chapter
open access peer reviewed

The Effects of the COVID-19 Pandemic Through the Lens of the CDS Spreads

Alin Marius Andrieș “Alexandru Ioan Cuza” University of Iași; Institute for Economic Forecasting; Romanian Academy, Romania

Steven Ongena University of Zurich, Switzerland; Swiss Finance Institute; KU Leuven and CEPR

Nicu Sprincean “Alexandru Ioan Cuza” University of Iași, Romania

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abstract

In this paper we are analysing the impact of the general lockdown measures imposed in Italy in the context of the COVID-19 pandemic on European banks’ CDS spreads. Compared to the impact of the COVID-19 pandemic on sovereign risk, we find little evidence of increased bank risk following the event. However, investors’ reaction was clearly negative in longer time frames. In addition, we quantify the feedback loop between sovereign and bank risk and document an increased interconnectedness between sovereigns and banks during the current health crisis, however with a smaller magnitude comparing to the sovereign debt crisis. Banks are now more resilient to shocks, being a direct consequence of the post-crisis regulatory framework.

Published

July 31, 2020

Accepted

June 30, 2020

Submitted

June 3, 2020

Language

ISBN (EBOOK)

978-88-6969-442-4

Keywords: Bank risk • COVID-19 pandemic • Country risk • Spillover effects

permalink: http://doi.org/10.30687/978-88-6969-442-4/006

Copyright: © 2020 Alin Marius Andrieș, Steven Ongena, Nicu Sprincean. This is an open-access work distributed under the terms of the Creative Commons Attribution License (CC BY). The use, distribution or reproduction is permitted, provided that the original author(s) and the copyright owner(s) are credited and that the original publication is cited, in accordance with accepted academic practice. The license allows for commercial use. No use, distribution or reproduction is permitted which does not comply with these terms.

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