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CDS trading and bond interest rates

Author

Listed:
  • Caliendo, Frank N.

Abstract

What is the effect of CDS trading on the bond market? I develop a simple asset pricing model of efficient bond and CDS markets that rationalizes the empirical findings in Ashcraft and Santos (2009) and Subrahmanyam et al. (2014).

Suggested Citation

  • Caliendo, Frank N., 2019. "CDS trading and bond interest rates," Economics Letters, Elsevier, vol. 174(C), pages 52-54.
    • Handle: RePEc:eee:ecolet:v:174:y:2019:i:c:p:52-54
    DOI: 10.1016/j.econlet.2018.10.029
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    References listed on IDEAS

    as
    1. Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2005. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market," Journal of Finance, American Finance Association, vol. 60(5), pages 2213-2253, October.
    2. Marti G. Subrahmanyam & Dragon Yongjun Tang & Sarah Qian Wang, 2014. "Does the Tail Wag the Dog?: The Effect of Credit Default Swaps on Credit Risk," Review of Financial Studies, Society for Financial Studies, vol. 27(10), pages 2927-2960.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    CDS; Interest rates; Asset pricing;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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