The objective of this paper is twofold. First, it aims to investigate the nexus between sovereign CDS spreads and its drivers, including behavioral drivers, during the different states of the CDS market activity (bullish, bearish and normal). Second, it purposes to explore the heterogeneity in the response of CDS spreads through episodes of calm and turmoil. To this end, we utilize a rich data set on a sample of 12 European countries split into core and peripheral countries over the period ranging from 2007 January to 2022 January, that we split into three main periods, namely the debt period, the COVID-19 period and tranquil period, and employ the Quantile Panel Regression methodology. We find that while both country-specific and global risk factors play a significant role in shaping the dynamics of CDS spreads, their effects are spatially heterogenous and asymmetric depending on the CDS market state (bullish, bearish and normal). Additionally, the local investor sentiment is found to be an important factor shaping CDS spreads during crisis episodes. Our findings are robust and have many interesting policy implications.

本文的目的是双重的。首先，它的目的是调查在 CDS 市场活动的不同状态（看涨、看跌和正常）期间，主权 CDS 利差与其驱动因素（包括行为驱动因素）之间的关系。其次，其目的是探讨 CDS 在平静和动荡时期传播反应的异质性。为此，我们利用了 12 个欧洲国家样本的丰富数据集，这些国家在 2007 年 1 月至 2022 年 1 月期间分为核心国家和外围国家，分为三个主要时期，即债务时期、新冠时期19 期和平静期，并采用分位数面板回归方法。我们发现，虽然特定国家和全球风险因素在影响 CDS 利差动态方面发挥着重要作用，但它们的影响在空间上是异质且不对称的，具体取决于 CDS 市场状态（看涨、看跌和正常）。此外，当地投资者情绪被发现是危机期间影响 CDS 利差的重要因素。我们的研究结果非常有力，并且具有许多有趣的政策含义。