This paper examines the effects of the COVID-19 pandemic on CDS, stock returns, and economic activity in the US and the five European countries that have been most affected: the UK, Germany, France, Italy, and Spain. The sample period covers the period from 11 March 2020 to 19 February 2021. In the empirical analysis, first, we estimate benchmark linear VAR models and then, given the evidence of parameter instability, TVP-VAR models with stochastic volatility, which are ideally suited to capturing the changing dynamics in both financial markets and the real economy. The linear VAR responses of CDS to the number of COVID-19 cases are positive and statistically significant, whilst those of electricity consumption are insignificant and those of stock returns vary across countries in terms of their sign and significance. The results from the TVP-VAR analysis indicate that the effects of shocks on the system variables was more pronounced during the initial stages of the pandemic and then decreased in the following months. Specifically, there was a positive impact of the number of COVID-19 cases on CDS and a negative one on stock returns and economic activity, the latter two being interlinked.

本文探讨了 COVID-19 大流行对美国和受影响最严重的五个欧洲国家（英国、德国、法国、意大利和西班牙）的 CDS、股票回报和经济活动的影响。样本期涵盖2020年3月11日至2021年2月19日。在实证分析中，我们首先估计基准线性VAR模型，然后，考虑到参数不稳定的证据，具有随机波动性的TVP-VAR模型非常适合捕捉金融市场和实体经济不断变化的动态。 CDS 对 COVID-19 病例数的线性 VAR 响应为正且具有统计显着性，而电力消耗的线性 VAR 响应则微不足道，而股票收益的线性 VAR 响应因国家/地区的符号和显着性而异。 TVP-VAR 分析的结果表明，冲击对系统变量的影响在大流行的初始阶段更为明显，然后在接下来的几个月中减弱。具体而言，COVID-19 病例数量对 CDS 产生积极影响，而对股票回报和经济活动产生负面影响，后两者是相互关联的。