TY  - UNPD
A1  - Jappelli, Ruggero
A1  - Pelizzon, Loriana
A1  - Plazzi, Alberto
T1  - The core, the periphery, and the disaster: corporate-sovereign nexus in COVID-19 times
T2  - SAFE working paper ; No. 331
N2  - We show that the COVID-19 pandemic triggered a surge in the elasticity of non-financial corporate to sovereign credit default swaps in core EU countries, characterized by strong fiscal capacity. For peripheral countries with lower budgetary slackness, the pandemic had essentially no impact on such elasticity. This evidence is consistent with the disaster-induced repricing of government support, which we model through a rare-disaster asset pricing framework with bailout guarantees and defaultable public debt. The model implies that risk-adjusted guarantees in the core were 2.6 times those in the periphery, suggesting that fiscal capacity buffers provide relief to firms’ financing costs.
T3  - SAFE working paper - 331 
KW  - COVID-19
KW  - Credit Risk
KW  - Sovereign Risk
KW  - Fiscal Capacity
KW  - Bailout
Y1  - 2021
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/61996
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-619961
UR  - https://ssrn.com/abstract=3984103
N1  - This preprint research paper has not been peer reviewed.
IS  - October 20, 2021
PB  - SAFE
CY  - Frankfurt am Main
ER  -