Akademik Veri Yönetim Sistemi
FINANCE RESEARCH LETTERS, cilt.86, 2025 (SSCI, Scopus)
In this study, the dynamic panel data method is used to analyse the impact of fiscal space on credit default swap (CDS) premiums in thirty-two emerging and developing countries between 2015 and 2022, with a particular focus on the effects of the COVID-19 pandemic and the expansionary fiscal policies implemented during this period. Unlike the existing literature, which predominantly focuses on developed countries, this study explores the relationship between fiscal space and credit default swaps (CDSs) in developing economies during the COVID-19 pandemic, offering a novel perspective on sovereign risk in emerging markets. The System-GMM method was used in the study. The analysis reveals a negative relationship between fiscal space and CDS premiums, with a 1 % increase in fiscal space yielding a modest 0.005 % decline, indicating a limited economic impact. In addition, it was found that increases in the unemployment rate, inflation rate, and trade deficit, which were included in the analysis as control variables, exerted upward pressure on CDS premiums. In contrast, improvements in government efficiency and increases in central bank reserves contributed to a decrease in these premiums. The analysis also reveals that the COVID-19 pandemic heightened investors' risk perceptions, thereby increasing CDSs. However, the expansionary fiscal policies adopted during this period did not produce any statistically significant additional upward effect on CDS premiums.