Rato, João MoreiraSchmieg, Daniel2025-04-022025-04-022025-01-132024-12-17http://hdl.handle.net/10362/181816Sovereign debt is a special asset class that supposedly inherits peculiar market dynamics. Political considerations during default events add complexity for market participants and contagion effects are suspected by scientific literature and financial professionals. Predominantly cost of debt (yields), but also financial distress, can supposedly be driven by contagion effects. Following the Covid disruption, we examine 33 sovereigns from emerging and developing countries and derive that mere contagion effects exist but were less pronounced during the crisis. Conversely, yields seemed to be more sensitive in relation to the sovereigns’ individual fiscal fragility during the shock, compared to pre- and post-Covid.engCredit default swapsCredit spreadYield contagionSovereign debtDebt capital marketsSovereign asset liability managementSovereign defaultmaster thesis203926706