Synthetic or Real? The Equilibrium Effects of Credit Default Swaps on Bond Markets

Citations

Cited by:

1. Czech, Robert, 2021. "Credit default swaps and corporate bond trading," Journal of Financial Intermediation, Elsevier, vol. 48(C).
   • Czech, Robert, 2019. "Credit default swaps and corporate bond trading," Bank of England working papers 810, Bank of England.
2. Chaumont, Gaston & Gordon, Grey & Sultanum, Bruno & Tobin, Elliot, 2024. "Sovereign debt and credit default swaps," Journal of International Economics, Elsevier, vol. 150(C).
   • Gaston Chaumont & Grey Gordon & Bruno Sultanum & Elliot Tobin, 2023. "Sovereign Debt and Credit Default Swaps," Working Paper 23-05, Federal Reserve Bank of Richmond.
3. Feixue Gong & Gregory Phelan, 2023. "Collateral constraints, tranching, and price bases," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 75(2), pages 317-340, February.
   • Feixue Gong & Gregory Phelan, 2020. "Collateral Constraints, Tranching, and Price Bases," Department of Economics Working Papers 2020-03, Department of Economics, Williams College.
   • Feixue Gong & Gregory Phelan, 2021. "Collateral Constraints, Tranching, and Price Bases," Department of Economics Working Papers 2021-07, Department of Economics, Williams College.
4. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
5. D’Errico, Marco & Battiston, Stefano & Peltonen, Tuomas & Scheicher, Martin, 2018. "How does risk flow in the credit default swap market?," Journal of Financial Stability, Elsevier, vol. 35(C), pages 53-74.
   • D'Errico, Marco & Battiston, Stefano & Peltonen, Tuomas A. & Scheicher, Martin, 2016. "How does risk flow in the credit default swap market?," ESRB Working Paper Series 33, European Systemic Risk Board.
   • Scheicher, Martin & Peltonen, Tuomas A. & D'Errico, Marco & Battiston, Stefano, 2017. "How does risk flow in the credit default swap market?," Working Paper Series 2041, European Central Bank.
6. Gong, Yaxian, 2020. "Credit default swap and two-sided moral hazard," Finance Research Letters, Elsevier, vol. 34(C).
7. Gilchrist, Simon & Wei, Bin & Yue, Vivian Z. & Zakrajšek, Egon, 2022. "Sovereign risk and financial risk," Journal of International Economics, Elsevier, vol. 136(C).
   • Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2021. "Sovereign Risk and Financial Risk," NBER Chapters, in: NBER International Seminar on Macroeconomics 2021, National Bureau of Economic Research, Inc.
   • Vivian Yue, 2012. "Sovereign Risk and Financial Risk," 2012 Meeting Papers 318, Society for Economic Dynamics.
   • Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2021. "Sovereign Risk and Financial Risk," FRB Atlanta Working Paper 27, Federal Reserve Bank of Atlanta.
   • Zakrajsek, Egon & Gilchrist, Simon & Wei, Bin & Yue, Vivian, 2021. "Sovereign Risk and Financial Risk," CEPR Discussion Papers 16750, C.E.P.R. Discussion Papers.
   • Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2021. "Sovereign Risk and Financial Risk," NBER Working Papers 29501, National Bureau of Economic Research, Inc.
   • Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2021. "Sovereign Risk and Financial Risk," FRB Atlanta Working Paper 2021-27, Federal Reserve Bank of Atlanta.
   • Vivian Yue & Egon Zakrajsek & Simon Gilchrist, 2013. "Sovereign Risk and Financial Risk," 2013 Meeting Papers 289, Society for Economic Dynamics.
8. Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2019. "Effectiveness of policy and regulation in European sovereign credit risk markets: A network analysis," Working Paper Series in Economics 125, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
   • Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2019. "Effectiveness of policy and regulation in European sovereign credit risk markets: a network analysis," ESRB Working Paper Series 90, European Systemic Risk Board.
9. Oehmke, Martin & Zawadowski, Adam, 2016. "The anatomy of the CDS market," LSE Research Online Documents on Economics 118964, London School of Economics and Political Science, LSE Library.
   • Oehmke, Martin & Zawadowski, Adam, 2017. "The anatomy of the CDS market," LSE Research Online Documents on Economics 66279, London School of Economics and Political Science, LSE Library.
10. Sudheer Chava & Rohan Ganduri & Chayawat Ornthanalai, 2019. "Do Credit Default Swaps Mitigate the Impact of Credit Rating Downgrades?," Review of Finance, European Finance Association, vol. 23(3), pages 471-511.
11. Rajesh Narayanan & Cihan Uzmanoglu, 2018. "Credit Insurance, Distress Resolution Costs, and Bond Spreads," Financial Management, Financial Management Association International, vol. 47(4), pages 931-951, December.
12. Wei Jiang & Jitao Ou & Zhongyan Zhu, 2021. "Mutual Fund Holdings of Credit Default Swaps: Liquidity, Yield, and Risk," Journal of Finance, American Finance Association, vol. 76(2), pages 537-586, April.
13. Alexander W. Butler & Xiang Gao & Cihan Uzmanoglu, 2021. "Financial Innovation and Financial Intermediation: Evidence from Credit Default Swaps," Management Science, INFORMS, vol. 67(5), pages 3150-3173, May.
14. Jaewon Choi & Or Shachar & Sean Seunghun Shin, 2019. "Dealer Liquidity Provision and the Breakdown of the Law of One Price: Evidence from the CDS–Bond Basis," Management Science, INFORMS, vol. 65(9), pages 4100-4122, September.
15. Osano, Hiroshi, 2020. "Credit default swaps and market information," Journal of Financial Markets, Elsevier, vol. 48(C).
16. Wang, Xinjie & Wu, Yangru & Yan, Hongjun & Zhong, Zhaodong (Ken), 2021. "Funding liquidity shocks in a quasi-experiment: Evidence from the CDS Big Bang," Journal of Financial Economics, Elsevier, vol. 139(2), pages 545-560.
17. Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2022. "Assessing the impact of policy and regulation interventions in European sovereign credit risk networks: What worked best?," Journal of International Economics, Elsevier, vol. 139(C).
18. Feixue Gong & Gregory Phelan, 2016. "Debt Collateralization, Structured Finance, and the CDS Basis," Department of Economics Working Papers 2016-06, Department of Economics, Williams College, revised Aug 2017.
    • Feixue Gong & Gregory Phelan, 2019. "Debt Collateralization, Structured Finance, and the CDS Basis," Department of Economics Working Papers 2019-18, Department of Economics, Williams College.
19. Augustin, Patrick & Sokolovski, Valeri & Subrahmanyam, Marti G., 2016. "Why do investors buy sovereign default insurance?," CFS Working Paper Series 540, Center for Financial Studies (CFS).
20. R. Matthew Darst & Ehraz Refayet, 2018. "Credit Default Swaps in General Equilibrium: Endogenous Default and Credit‐Spread Spillovers," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(8), pages 1901-1933, December.
21. Tak-Yuen Wong & Jin Yu, 2022. "Credit Default Swaps and Debt Overhang," Management Science, INFORMS, vol. 68(3), pages 2069-2097, March.
22. Hugues Dastarac, 2021. "Strategic Trading, Welfare and Prices with Futures Contracts," Working papers 841, Banque de France.
23. Kim, Gi H., 2016. "Credit derivatives as a commitment device: Evidence from the cost of corporate debt," Journal of Banking & Finance, Elsevier, vol. 73(C), pages 67-83.
24. Salomao, Juliana, 2017. "Sovereign debt renegotiation and credit default swaps," Journal of Monetary Economics, Elsevier, vol. 90(C), pages 50-63.
25. Anouk Levels & René de Sousa van Stralen & Sînziana Kroon Petrescu & Iman van Lelyveld, 2018. "CDS market structure and risk flows: the Dutch case," DNB Working Papers 592, Netherlands Central Bank, Research Department.
26. Aragon, George O. & Li, Lei & Qian, Jun ‘QJ’, 2019. "The use of credit default swaps by bond mutual funds: Liquidity provision and counterparty risk," Journal of Financial Economics, Elsevier, vol. 131(1), pages 168-185.
27. Gong Feixue & Gregory Phelan, 2017. "Debt Collateralization, Structured Finance, and the CDS Basis," Department of Economics Working Papers 2017-06, Department of Economics, Williams College.
28. Augustin, Patrick & Sokolovski, Valeri & Subrahmanyam, Marti G. & Tomio, Davide, 2022. "How sovereign is sovereign credit risk? Global prices, local quantities," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 92-111.
29. Christina E. Bannier & Thomas Heidorn & Heinz-Dieter Vogel, 2014. "Characteristics and development of corporate and sovereign CDS," Journal of Risk Finance, Emerald Group Publishing, vol. 15(5), pages 482-509, November.
30. Wu, Dexiang & Dash Wu, Desheng, 2019. "An enhanced decision support approach for learning and tracking derivative index," Omega, Elsevier, vol. 88(C), pages 63-76.