CDS和债券在时变波动动力学中的共同整合：信用风险掉期降低了债券风险吗？

IF 0.7 4区经济学 Q3 ECONOMICS

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2021-05-03 DOI:10.1515/snde-2019-0141

Leon Li, F. Scrimgeour

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引用次数: 2

摘要

摘要本研究分析了主权债券和信用违约掉期（CDS）之间的协整关系，然后使用马尔可夫切换方法考察了CDS债券偏离这种关系对市场波动的影响。我们的经验样本包括2008年至2014年期间使用DataStream数据库获得的每日CDS溢价和债券收益率差。我们的实证结果表明，CDS债券偏差的绝对值与高波动率制度的概率呈正相关，与低波动率制度概率负相关。这一结果意味着CDS债券偏离与CDS债券市场波动之间存在正相关。我们的研究结果在成熟市场国家和新兴市场国家都是一致的。此外，我们发现的证据表明，通过使用CDS管理债券违约风险的做法可能会增加债券的利率风险，这意味着引入CDS既有好处也有坏处，尤其是对成熟市场国家来说。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The co-integration of CDS and bonds in time-varying volatility dynamics: do credit risk swaps lower bond risks?

Abstract This study analyzes the co-integration relationship between sovereign bonds and credit default swaps (CDS) and then examines the impact of CDS-bond deviation from the relationship on market volatility using the Markov-switching approach. Our empirical sample consists of the daily CDS premium and bond yield spread obtained with the DataStream database for the period from 2008 to 2014. Our empirical results show that the absolute value of the CDS-bond deviation is positively related to the probability of a high volatility regime and negatively related to the probability of a low volatility regime. This result implies a positive association between the CDS-bond deviation and the volatility in the CDS-bond market. Our findings are consistent across mature-market and emerging-market countries. Moreover, the evidence we uncover suggests that the practice of managing default risk of bonds via the use of CDS may increase the interest rate risk of the bond, which implies both wins and woes from the introduction of CDS, particularly for mature-market countries.

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来源期刊

Studies in Nonlinear Dynamics and Econometrics Multiple-

CiteScore

1.40

自引率

12.50%

发文量

期刊介绍： Studies in Nonlinear Dynamics & Econometrics (SNDE) recognizes that advances in statistics and dynamical systems theory may increase our understanding of economic and financial markets. The journal seeks both theoretical and applied papers that characterize and motivate nonlinear phenomena. Researchers are required to assist replication of empirical results by providing copies of data and programs online. Algorithms and rapid communications are also published.