A Markov Switching Cointegration Analysis of the CDS‐Bond Basis Puzzle
A Markov Switching Cointegration Analysis of the CDS‐Bond Basis Puzzle
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CDS-债券基础难题的马尔可夫转换协整分析
DOI：
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发表时间：
2019
期刊：
影响因子：
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通讯作者：
Manuela Pedio
中科院分区：
文献类型：
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作者：
Massimo Guidolin;Francesco Melloni;Manuela Pedio
我们调查了 2011 年 4 月至 2018 年 2 月期间 65 个美国企业实体和 6 家主要银行的信用违约掉期 (CDS) 溢价与债券利差之间的长期均衡关系。标准回归方法显示，在 71 个实体中的 40 个实体中，这两个序列未能协整，这令人费解，因为它违反了有效市场假说。与之前的文献不同，我们估计了马尔可夫切换向量误差校正模型，以捕获以下事实：制度可以表征调整机制和价差序列之间的短期动态。我们使用这个框架来研究两个市场如何促进信用风险的价格发现。我们发现，有许多实体在不进行长期协整关系调整的制度和 CDS 或债券市场主导价格发现的制度之间切换。最后，我们调查行业或其他公司特征（例如评级、杠杆和资本结构）是否可能与确定两个市场中哪一个在价格发现过程中处于领先地位相关。
We investigate the long-run equilibrium relationship between credit default swap (CDS) premia and bond spreads for 65 U.S. corporate entities and 6 major banks over the period April 2011 – February 2018. Standard regression methods reveal that in 40 out of 71 entities, the two series fail to be cointegrated, which is puzzling because it represents a violation of the efficient market hypothesis. Differently from the previous literature, we estimate a Markov switching vector error correction model to capture the fact that regimes may be characterize the adjustment mechanism and the short-term dynamics between the spread series. We use this framework to investigate how the two markets contribute to the price discovery of credit risk. We find that there are many entities that switch between a regime where the adjustment to the long-run cointegrating relationship does not take place and a regime where one between the CDS or the bond markets leads the price discovery. Finally, we investigate whether the industry or other firm characteristics, such as the rating, the leverage, and the capital structure, may be relevant to determine which of the two markets is leads in the price discovery process.
影响因子：
2.2
作者：
Norden, Lars;Weber, Martin
通讯作者：
Weber, Martin