This study investigates how the credit risk of more sustainability-oriented firms changes when national governments intervene in their economies to counterbalance the COVID-19 pandemic. For this reason, we examine how the credit default swap spread changes on a database of all listed firms—for which a credit default swaps (CDS) contract is available—in Europe and the United Kingdom during the whole year of 2020. We find that when national governments intervene in the local economies, the CDS spreads for these firms decrease more than for other firms. Furthermore, the CDS spread changes are more sensitive to those policies aimed at supporting household and business income during the pandemic rather than those policies related to stay-at-home measures and investments in healthcare. Our results corroborate previous theories linking firm sustainability, equity and credit risk.

本研究调查了当各国政府干预其经济以抵消 COVID-19 大流行时，更多以可持续发展为导向的公司的信用风险如何变化。出于这个原因，我们研究了 2020 年全年在欧洲和英国的所有上市公司的数据库中信用违约掉期利差如何变化——这些公司都有信用违约掉期 (CDS) 合同。我们发现当国家政府干预当地经济时，这些公司的 CDS 利差比其他公司减少得更多。此外，CDS 价差变化对那些旨在在大流行期间支持家庭和企业收入的政策更为敏感，而不是那些与居家措施和医疗保健投资相关的政策。