What Determines CDS Prices? Evidence from the Estimation of Protection Demand and Supply
What Determines CDS Prices? Evidence from the Estimation of Protection Demand and Supply
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CDS 价格由什么决定？
DOI：
10.1111/irfi.12022
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发表时间：
2014
影响因子：
1.7
通讯作者：
Daisuke Miyakawa and Shuji Watanabe
中科院分区：
文献类型：
--
作者：
Taisei Kaizoji;Matthias Leiss;Alexander Saichev;Didier Sornette;仁科 一彦;Daisuke Miyakawa and Shuji Watanabe
本文通过对日本信贷市场的一组时间序列数据应用有限因变量联立方程系统，研究了信用违约互换（CDS）溢价的决定因素。估计结果表明，CDS保费下降是由于保护供应的增加，例如，投资于其他资产的机会减少（例如，贷款）。我们还发现，当保护需求增加时，保费会增加，例如，由于更大的空头需求。此外，除非考虑到同时确定供应和需求，否则很可能会错误估计影响保护供应和需求的因素的数量影响。这表明，有必要将需求和供给因素包括在内，以了解CDS溢价的波动。
This paper examines the determinants of credit default swap (CDS) premiums by applying a limited dependent variable simultaneous equation system to a unique set of time series data for the Japanese credit market. The estimation results indicate that CDS premiums decrease as a result of an increase in the supply of protection due, for example, to fewer opportunities for investment in other assets (e.g., loans). We also find that premiums increase when the demand for protection increases due, for example, to larger short‐cover needs. Further, the quantitative impact of factors accounting for the supply and demand of protection is likely to be misestimated unless the simultaneous determination of supply and demand is taken into account. This indicates that it is necessary to include demand and supply factors to understand fluctuations in CDS premiums.