Savior or Sinner? Credit Default Swaps and the Market for Sovereign Debt
Savior or Sinner? Credit Default Swaps and the Market for Sovereign Debt
复制标题
DOI：
10.1016/j.jbankfin.2014.10.015
复制
发表时间：
2011
期刊：
影响因子：
--
通讯作者：
Iuliana Ismailescu;B. Phillips
中科院分区：
文献类型：
--
作者：
Iuliana Ismailescu;B. Phillips
本文分析了主权债券市场信用违约互换（CDS）交易启动的决定因素和影响。CDS交易启动与主权债券收益率下降30-150个基点有关，违约风险较高的经济体收益率下降幅度更大。对于违约风险高的国家，即标准普尔评级为B或更低的国家，CDS的启动也与基础市场的显著价格效率效益有关。CDS交易启动的可能性更大，因为当地股票指数波动性增加，区域和全球CDS市场的指数价差增加，或当地货币相对于美元贬值，以及一个国家偿还外债的能力下降。我们的研究结果是强大的选择偏差控制基于这些因素。
In this paper, we analyze the determinants and effects of credit default swap (CDS) trading initiation in the sovereign bond market. CDS trading initiation is associated with a 30–150 basis point reduction in sovereign bond yields, with greater yield reductions accruing to higher default risk economies. For countries with high default risk, rated B or lower by Standard and Poor’s, CDS initiation is also associated with significant price efficiency benefits in the underlying market. CDS trading initiation is more likely following increases in local equity index volatility, index spreads for regional and global CDS markets, or depreciation of the local currency relative to the US dollar, and decreases in a country’s ability to service foreign debt. Our results are robust to selection bias controls based on these factors.