Does the Tail Wag the Dog? The Effect of Credit Default Swaps on Credit Risk
Does the Tail Wag the Dog? The Effect of Credit Default Swaps on Credit Risk
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DOI：
10.2139/ssrn.1976084
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发表时间：
2012-01
期刊：
影响因子：
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通讯作者：
M. Subrahmanyam;Dragon Yongjun Tang;Sarah Qian Wang
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文献类型：
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作者：
M. Subrahmanyam;Dragon Yongjun Tang;Sarah Qian Wang
信用违约掉期（CDS）交易是否会增加参考实体的信用风险，这一点在全球金融危机以来尤其受到关注。为了解决这个问题，我们使用了一个独特的、全面的样本，涵盖了1997年6月至2009年4月期间北美公司发行人的901份CDS介绍。我们提出的证据表明，信用评级下调的概率和破产的概率在CDS交易开始后都增加了。对于控制CDS引入的内生性，即信用即将恶化的公司更有可能被选择进行CDS交易的可能性，该效应是稳健的。我们表明，受cds保护的贷款机构不愿重组是信贷风险增加的最可能原因。我们提供的证据表明，拥有相对较大数量未偿CDS合约的公司，以及那些拥有更多“无重组”合约的公司，更有可能受到CDS交易的不利影响。我们还证明，CDS交易提高了银行出借人对公司的参与程度。我们的研究结果与博尔顿和厄姆克（2011）的“空债权人”模型的预测基本一致。
Concerns have been raised, especially since the global financial crisis, about whether trading in credit default swaps (CDS) increases the credit risk of the reference entities. We use a unique, comprehensive sample covering 901 CDS introductions on North American corporate issuers between June 1997 and April 2009 to address this question. We present evidence that the probability of credit rating downgrade and the probability of bankruptcy both increase after the inception of CDS trading. The effect is robust to controlling for the endogeneity of CDS introduction, i.e., the possibility that firms with upcoming deterioration in creditworthiness are more likely to be selected for CDS trading. We show that the CDS-protected lenders' reluctance to restructure is the most likely cause of the increase in credit risk. We present evidence that firms with relatively larger amounts of CDS contracts outstanding, and those with more "No Restructuring" contracts, are more likely to be adversely affected by CDS trading. We also document that CDS trading increases the level of participation of bank lenders to the firm. Our findings are broadly consistent with the predictions of the "empty creditor" model of Bolton and Oehmke (2011).