Sovereign CDS Spreads and Covid-19 Pandemic

Shaken by the global economic impact of COVID-19, sovereign CDS spread change across countries. The article explores the drivers affecting U.S. sovereign CDS spreads before and during the pandemic by analyzing data from two periods, January 2, 2017, to December 31, 2019, and January 1, 2020, to April 27, 2021, to forecast U.S. sovereign CDS spreads using a support vector regression machine and the forecast results of U.S. sovereign CDS spreads are partially analyzed by the average impact value algorithm. It is found that U.S. sovereign CDS spreads mainly showed a downward trend before the COVID-19 pandemic, a significant increase in U.S. sovereign CDS spreads during the initial period of the epidemic, and an overall downward trend despite a transient increase in the subsequent period. Before the COVID-19 pandemic, domestic factors are more essential for U.S. sovereign CDS spreads, but during the pandemic, domestic factors become less important, and global factors become more important for U.S. sovereign CDS spreads. This paper concludes that global drivers are more important for U.S. sovereign CDS spreads than domestic drivers during a widespread global epidemic.