The Impact of the 2020 Global Crisis on the EU Credit Default Swaps Market

This paper examines the impact of the 2020 crisis on credit default swaps of companies registered in the European Union. The sample consists of CDS companies from 6 sectors: banking, energy, manufacturing, consumer goods, services and other financial organizations. The methodology of this study involved the Chow test for structural breaks, the Wald test for the similarity of the coefficients of the models, and the Granger test for identifying relationships between sectors. An ARDL (p, q) model was also built to identify differences in the predictive accuracy of the normal and coronavirus periods. Upon completion of the work, it was revealed that the 2020 crisis had the most impact on credit default swaps of companies from the banking sector. Other industries were also affected by the crisis, but not so significantly.