The COVID-19 pandemic and sovereign credit risk

Pan, Wei-Fong; Wang, Xinjie; Ge, Wentong; Xu, Weike

doi:10.1108/cfri-01-2021-0010

Cited by 27 publications

(15 citation statements)

References 37 publications

(46 reference statements)

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“…The hypothesis assumed that the Covid-19 dynamics in Hungary, Poland, Russia and Slovakia moderately contribute to a country's credit risk assessment, measured by SCDS spreads. These results match those observed in previous studies, which showed that the impact of the Covid-19 pandemic on SCDS spreads is characterized by greater strength in countries with poorer healthcare infrastructure (Pan et al, 2021).…”

Section: Discussionsupporting

confidence: 91%

“…Based on the literature analysis, it has been shown that SCDS are used to measure a country's credit risk. It has been demonstrated that SCDS spreads are influenced not only by macroeconomic factors, such as public debt (Pyka and Czech, 2018;Pongsiri, 2015), inflation (Aizenman et al, 2013) or a risk-free interest rate (Ericsson et al, 2016), but also factors related to the development of the Covid-19 pandemic (Jinjarak et al, 2021;Daehler et al, 2021;Pan et al, 2021).…”

Section: Discussionmentioning

confidence: 99%

“…A study into the impact of Covid-19 on SCDS spreads was also carried out by Pan et al (2021). They analysed SCDS and Covid-19 cases and the influence of policies adopted in response to Covid-19 by governments from 78 developed and developing countries.…”

Section: Literature Reviewmentioning

confidence: 99%

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The Impact of Covid-19 Dynamics on SCDS Spreads in Selected CEE Countries

Czech¹

2022

ERSJ

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Purpose:The paper fits into the current of research of the use of SCDS spreads as a country credit risk assessment tool. The main objective of the study is to investigate the impact of the Covid-19 pandemic on the level of credit risk, measured by SCDS spreads in selected CEE countries. The study hypothesized that Covid-19 dynamics in Hungary, Poland, Russia and Slovakia moderately contributed to the assessment of country credit risk, measured by SCDS spreads. Design/Methodology/Approach: The study uses source literature analysis and quantitative research: time series analysis and multiple linear regression analysis. The time series analysis made it possible to study the dynamics and directions of changes in SCDS spreads and Covid-19. Linear regression analysis was used to investigate the correlation between SCDS spreads and the Covid-19 pandemic. Findings: The results of the research confirmed the hypothesis. Studies have shown that the strength of the correlation between SCDS spreads and Covid-19 factors (such as cases, deaths, tests or Covid-19 vaccinations) is weak.Practical Implications: The article will define the determinants of the impact of the pandemic on the credit risk assessment of selected CEE countries. These determinants include the number of test, deaths, as well as the rate of Covid-19 spread and the level of restrictions. This study will contribute to a better understanding of the credit risk assessments of selected CEE countries in health crisis context Originality/Value: Based on the analysis of the literature, a research gap was identified in terms of the impact of Covid-19 pandemic on the assessment of credit risk of selected CEE countries. This study will contribute to the knowledge on the correlation between SCDS spreads of these countries and pandemic indicator. The study also contributes to the discussion on the use of SCDS spreads to assessment credit risk during crises.

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Section: Discussionsupporting

confidence: 91%

Section: Discussionmentioning

confidence: 99%

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The Impact of Covid-19 Dynamics on SCDS Spreads in Selected CEE Countries

Czech¹

2022

ERSJ

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“…To measure the greatness of this pandemic, we use the annual confirmed cases and annual deaths by country which collected from the Our World in Data. Our World in Data gathers coronavirus associated data from Johns Hopkins University Coronavirus Resource Center, and it adopted before by Pan et al [ 86 ].…”

Section: Methodsmentioning

confidence: 99%

“…Saif-Alyousfi [ 92 ] based on 45 CBs and 25 IBs indicate that Yemen War has a negative impact on deposits and loans of GCC banks. Pan et al [ 86 ] across 78 countries show how CR has broadened significantly in response to COVID-19. One-percent increase in COVID-19 infections leads to 0.17% increase in CR spreads.…”

Section: Literature Review and Hypothesis Developmentmentioning

confidence: 99%

The consequence of the credit risk on the financial performance in light of COVID-19: Evidence from Islamic versus conventional banks across MEA region

El-Halaby

Soliman

2022

Futur Bus J

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Purpose The increased number of nonperforming loans (NPLs) during COVID-19 pandemic has interrogated the robustness of banks and stability of the whole banking segment. We examine the impact of credit risk (CR) on financial performance (FP) by comparing Islamic banks (IBs) to conventional banks (CBs). We also investigate the influence of COVID-19 on this association. Design/methodology/approach Our sample includes the largest 200 banks across 15 countries from the Middle East and the Africa (MEA) region over a four-year period (2018–2021). Panel ordinary least squares (OLS) with fixed and random effects were used. Findings We find a negative association between NPLs and FP for IBs and CBs. We reveal that COVID-19 is partially mediated the association between NPLs and FP in case of the whole sample and separated sample of CBs while not in case of IBs. Originality The evidence of CR and FP on samples of financial sector across MEA region has not been studied in the era of COVID-19 as far as we know. Research limitations/implications This study contributes to the knowledge of the risk and financial performance during the crisis nexus and provides information that is valued to bankers, academics, managers and regulators for policy formulation.

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COVID‐19 and credit risk variation across banks: International insights

Acheampong,

Ibeji,

Danso

2024

Manage Decis Econ

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This paper focuses on utilizing non‐performing loans (NPLs) as the primary indicator of credit risk to analyze how various bank and country‐level characteristics influence changes in credit risk within and between banks across China, Europe, and the U.S. during the COVID‐19 period. Over 4,959 bank‐quarter observations (from Q4 2019 to Q4 2021), it becomes evident that COVID‐19 significantly contributes to the variation in NPLs, underscoring its adverse impact on credit risk. This pattern is consistent across all countries; however, Chinese banks exhibit more robust capabilities in managing credit risk exposure compared to their European and U.S. counterparts. These findings offer significant implications for policymakers, investors, and regulators who are concerned about the repercussions of global pandemics on financial institutions.

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The COVID-19 pandemic and sovereign credit risk

Cited by 27 publications

References 37 publications

The Impact of Covid-19 Dynamics on SCDS Spreads in Selected CEE Countries

The Impact of Covid-19 Dynamics on SCDS Spreads in Selected CEE Countries

The consequence of the credit risk on the financial performance in light of COVID-19: Evidence from Islamic versus conventional banks across MEA region

COVID‐19 and credit risk variation across banks: International insights

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