Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/297950 
Year of Publication: 
2022
Citation: 
[Journal:] Central Bank Review (CBR) [ISSN:] 1303-0701 [Volume:] 22 [Issue:] 3 [Year:] 2022 [Pages:] 99-107
Publisher: 
Elsevier, Amsterdam
Abstract: 
This paper investigates the impact of Covid-19 pandemic and monetary policy measures adopted by the European Central Bank (ECB) on the sovereign risk for the European Monetary Union (EMU) countries for the period between March-2020 and November-2020 using daily data. The impact of Covid-19 and monetary policy shocks on the credit default swap rates and bond yields are investigated relying on a fixed effects panel regression model for five core (Germany, France, Austria, Netherlands, Belgium) and three periphery (Italy, Portugal and Spain) countries. To investigate the cross-country differences in responses, the interactions of the independent variables with periphery dummy and other country-specific variables are included in the regressions. The results of the empirical analysis suggest that Covid-19 shock increased the sovereign risk in the periphery EMU countries significantly and monetary policy measures have been effective in easing financial conditions in these countries. The results are insignificant for the core countries. The results also show that financial stability alleviates the negative impact of Covid-19 on the sovereign risk.
Subjects: 
Bond yields
CDS rates
Covid-19
Financial distress
Monetary policy
Sovereign risk
JEL: 
E43
E44
E52
E58
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.