We compare the importance of market factors against that of coronavirus disease-19 (COVID-19) dynamics and policy responses in explaining Eurozone sovereign spreads. First, we estimate a multifactor model for changes in credit default swap (CDS) spreads over 2014 to June 2019. Then, we apply a synthetic control-type procedure to extrapolate model-implied changes in CDS. The factor model does very well over the rest of 2019 but breaks down during the pandemic, especially during March 2020. We find that the March 2020 divergence is well accounted for by COVID-specific risks and associated policies, mortality outcomes, and policy announcements, rather than traditional determinants. Daily CDS widening ceased almost immediately after the European Central Bank announced the Pandemic Emergency Purchase Programme, but the divergence between actual and model-implied changes persisted. This points to COVID-19 Dominance—widening spreads during the pandemic has led to unconventional monetary policies that primarily aim to mitigate short-run fears, temporarily pushing away concerns over fiscal risk.

中文翻译：

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欧元区的大流行冲击和财政货币政策：2020 年 1 月至 6 月期间 COVID-19 的主导地位

在解释欧元区主权利差时，我们比较了市场因素与冠状病毒病 19 (COVID-19) 动态和政策反应的重要性。首先，我们估计 2014 年至 2019 年 6 月信用违约掉期 (CDS) 利差变化的多因素模型。然后，我们应用综合控制类型程序来推断模型隐含的 CDS 变化。该因子模型在 2019 年剩余时间里表现得非常好，但在大流行期间崩溃了，尤其是在 2020 年 3 月期间。我们发现，2020 年 3 月的差异很好地解释了 COVID 特定风险和相关政策、死亡率结果和政策公告，而不是传统的决定因素。在欧洲央行宣布大流行紧急购买计划后，每日 CDS 的扩大几乎立即停止，但实际变化和模型隐含变化之间的差异仍然存在。这表明 COVID-19 占主导地位——大流行期间扩大的利差导致非常规货币政策，主要旨在缓解短期担忧，暂时消除对财政风险的担忧。