Time-Varying Contributions by the Corporate Bond and CDS Markets to Credit Risk Price Discovery
Time-Varying Contributions by the Corporate Bond and CDS Markets to Credit Risk Price Discovery
复制标题
公司债券和 CDS 市场对信用风险价格发现的时变贡献
DOI：
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发表时间：
2007
期刊：
影响因子：
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通讯作者：
Niko Dötz
中科院分区：
文献类型：
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作者：
Niko Dötz
本文研究了公司债券市场利差与信用违约互换（CDS）之间的动态价格关系。它从布兰科等人（2005）的观点出发，但重点是欧洲信贷市场。该研究基于iTraxx CDS指数中上市的公司，因此基于流动性更高的CDS市场的新数据。与以往的研究，在时间不变的背景下，价格形成的，这两个市场的价格发现的贡献进行了分析，在一个随时间变化的背景下。我们特别关注这样的信息输入是否是稳定的危机时期的问题，并发现，虽然CDS市场稍微主导的价格发现过程中，其贡献明显下降，有利于债券市场在2005年初的信贷市场的动荡。
This paper looks at the dynamic price relationship between spreads in the corporate bond market and credit default swaps (CDS). It picks up where Blanco et al (2005) leave off but is focused on European credit markets. The study is based on companies listed in the iTraxx CDS index and thus on new data on a more liquid CDS market. Unlike previous studies, which look at price formation in a time-invariant context, the contributions of both markets to price discovery are analysed in a timevariant context. We devote particular attention to the question of whether such information input is stable in times of crisis and find that, although the CDS market slightly dominates the price discovery process, its contribution fell visibly during the turbulence on the credit markets in early 2005 in favour of that of the bond market.
影响因子：
2.2
作者：
Norden, Lars;Weber, Martin
通讯作者：
Weber, Martin