The Impact of the 2020 Crisis on the US Credit Default Swap Market

This paper investigates the impact of the 2020 pandemic on the US credit default swap market. Predicting spreads gives significant information about changes in credit ratings. The crisis led to changes in many areas of the economy, as a result forecasting spreads in the usual way may be incorrect. The paper provides a comparative analysis of the period of the pandemic with the years preceding it. The use of Wald and Chow tests helped to reveal the absence of a structural gap on the official date of the pandemic announcement, as well as the similarity of the spread formation processes in the coronavirus year with the previous ones. Short-term ties between the seven sectors of the US economy remained stable during the crisis. Accordingly, the result revealed that the 2020 crisis did not have a significant impact on the US credit default swap market.