An Empirical Study on the Decoupling Movements between Corporate Bond and CDS Spreads
An Empirical Study on the Decoupling Movements between Corporate Bond and CDS Spreads
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公司债券与CDS利差脱钩运动的实证研究
DOI：
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发表时间：
2009
期刊：
影响因子：
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通讯作者：
Oana Georgescu
中科院分区：
文献类型：
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作者：
Ioana Alexopoulou;M. Andersson;Oana Georgescu
应用于欧洲市场，本文通过比较每个市场的信用利差对系统性、特殊风险因素和流动性的敏感性，分析了信用违约掉期（CDS）和公司债券市场的信用风险价格。我们的分析证实了两个市场之间存在长期关系，以及 CDS 市场在价格发现方面领先公司债券市场的趋势。我们发现，2007年夏季金融风暴的爆发引发了风险厌恶情绪的大幅上升和信用风险定价的转变，CDS市场对系统性风险变得更加敏感，而现金债券市场则更多地定价了有关流动性和异质风险的信息。此外，金融动荡还导致两个市场之间的系统性脱节，超前滞后关系发生显着变化，CDS市场始终领先于现金债券市场。 JEL分类：G12、G14、G15
Applied to the European markets, this paper analyzes the price of credit risk on the Credit Default Swap (CDS) and corporate bond markets by comparing the sensitivity of the credit spreads on each market to systematic, idiosyncratic risk factors and liquidity. Our analysis confirms the existence of a long-run relationship between the two markets, and the tendency for CDS markets to lead corporate bond markets in terms of price discovery. We find that the outbreak of the financial turmoil in the summer of 2007 induced a substantial increase in risk aversion and a shift in the pricing of credit risk, with CDS markets becoming more sensitive to systematic risk while cash bond markets priced in more information about liquidity and idiosyncratic risk. Moreover, the financial turbulence also brought about a systematic disconnection between the two markets caused by the significant change in the lead-lag relationship, with CDS markets always leading the cash bond markets. JEL Classification: G12, G14, G15
影响因子：
2.2
作者：
Norden, Lars;Weber, Martin
通讯作者：
Weber, Martin