Table 6.

Role of economic circumstances: full sample period.

Dependent variables	[1]	[2]	[3]	[4]
	CDS	CDS	CDS	CDS
ri, t	0.074**	0.073***	0.073***	0.073***
	(2.229)	(41.734)	(41.704)	(41.753)
dumi, t	0.004	0.008	0.009	0.009
	(1.560)	(0.799)	(0.904)	(0.881)
dumi, t × ri, t	−0.064*	−0.069***	−0.068***	−0.069***
	(−1.787)	(−4.944)	(−4.753)	(−4.910)
Xi, t1	−0.000
	(−0.034)
Xi, t1 × dumi, t × ri, t	−0.020
	(−1.553)
Xi, t2		0.007
		(1.065)
Xi, t2 × dumi, t × ri, t		−0.057
		(−0.983)
Xi, t3			−0.004
			(−0.576)
Xi, t3 × dumi, t × ri, t			−0.026
			(−0.665)
Xi, t4				−0.079**
				(−2.187)
Xi, t4 × dumi, t × ri, t				−0.028
				(−0.648)
c	0.002	−0.002	0.003	0.040
	(0.064)	(−0.093)	(0.167)	(1.450)
R2	0.261	0.261	0.262	0.219
Observations	4893	4893	4893	4893
Number of countries	37	37	37	37

Notes: This table reports the results from the regressions of the model (5), that is, the effects of changes in policy rates (r_{i, t}), the emergence of COVID-19 (dum_{i, t}), the circumstance variables (X_{i, t}^k, k = 1,2,3,4) and their interaction terms (dum_{i, t} × r_{i, t} and X_{i, t}^k × dum_{i, t} × r_{i, t}) on the growth rates of CDS spreads. The estimation is based on the full sample period. The coefficient estimates are obtained by the OLS method. t-statistics are reported in parentheses and ***/ **/* denote the significance at 99%, 95% and 90% confidence levels, respectively.