Arbeitspapier
CDS market structure and bond spreads
We study the response of bond spreads to a liquidity supply shock in the credit default swap (CDS) market. Our identification strategy exploits the exogenous exit of a large dealer from the single-name CDS market as well as granular data on CDS transactions and bond portfolio holdings of German investors. Following the shock, CDS market liquidity declines and bond spreads increase, especially for the reference firms intermediated by the dealer. Individual portfolio data indicate hedging motives as a mechanism: as CDS insurance on their bond holdings becomes costlier, investors offload the bonds. Our results therefore show that frictions in derivative markets affect the underlying securities, which can raise firms' cost of capital.
- ISBN
-
978-3-95729-895-9
- Sprache
-
Englisch
- Erschienen in
-
Series: Deutsche Bundesbank Discussion Paper ; No. 24/2022
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
General Financial Markets: Government Policy and Regulation
Financial Institutions and Services: General
Financial Institutions and Services: Government Policy and Regulation
- Thema
-
credit default swaps
dealer markets
bonds markets
creditrisk
Depository Trust and Clearing Corporation (DTCC)
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bilan, Andrada
Gündüz, Yalın
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2022
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bilan, Andrada
- Gündüz, Yalın
- Deutsche Bundesbank
Entstanden
- 2022
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