Governments around the world are tackling the COVID-19 pandemic with a mix of public
health, fiscal, macroprudential, monetary, and/or market-based policies. We assess the …

Using a panel of credit default swap (CDS) spreads and supply chain links, we observe that
both favorable and unfavorable credit shocks propagate through supply chains in the CDS …

Prior research suggests that nonfundamental exchange-traded fund (ETF) price shocks are
transmitted to their portfolios through an arbitrage mechanism. We test this proposition by …

We investigate the mitigation effect of firms' ESG, a proxy of sustainability, on the CDS
issued by corporations listed on the S&P500. We aim to shed new light on the risk mitigation …

We investigate the effect of network centrality on idiosyncratic sovereign risk during oil price
bubbles by constructing a high-dimensional network based on the data of 60 sovereign …

Using comprehensive data on US corporate bond trades since 2002, we find evidence that
retail bond investors overrely on untimely credit ratings to their financial detriment …

Corporate bonds with large increases in implied volatility over the past month underperform
those with large decreases in implied volatility by 0.6% per month. In contrast to existing …

While global supply chains provide firms with a buffer against local shocks, they expose
firms to multiregional risks. The COVID‐19 pandemic and its differential impact on different …

This study investigates the effects of uncertainty measures on the dynamics of sustainability
indices across different regions of the globe in the post-crisis period. The analysis is …

Using daily credit default swap (CDS) data, we find a positive relation between corporate
credit risk and unexpected monetary policy shocks during FOMC announcement days …