Rodrigues, Paulo Manuel MarquesSales, Francisco de Oliveira Trovão2023-07-282023-07-282023-01-122022-12-15http://hdl.handle.net/10362/155951In the first months of the COVID-19 pandemic CDS spreads over the world ramped up. I study how market perception for sovereign debt default (represented by 5- year CDS spreads) evolved depending on the intensity of the economic shock caused by the spread of COVID-19, in developed and developing economies. Using a threshold model, I find a statistically significant relation between the increase in COVID-19 and the increase in CDS spreads for developed economies, with that impact being more than doubled when the country is fiscally constrained. For developing economies, I conclude that the shock in CDS spreads is mostly driven by global-risk factors.engSovereign defaultCovid-19Fiscal spaceThreshold estimationmaster thesis203312660