The Impact of Covid-19 Dynamics on SCDS Spreads in Selected CEE Countries
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 Covid-19 cases, test, deaths, and Covid-19 vaccination, 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.