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Credit default swap spreads: market conditions, firm performance, and the impact of the 2007-2009 financial crisis

机译：信用违约交换差价：市场条件，公司性能，2007-2009金融危机的影响和影响

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摘要

We employ a multi-factor analysis from both a firm-specific (microeconomic) and market-specific (macroeconomic) perspective to examine the determinants of credit default swap (CDS) spreads in the USA, the UK and Japan between 2005 and 2012. We investigate both aggregate (cross-country) and individual market data so that a comparative analysis can be performed. Our results reveal that (i) in general, Tobin's Q, stock market returns, and the risk-free interest rate possess significant explanatory power for CDS spreads; (ii) the relationship identified is found to exist in all three markets with varying strength; (iii) despite the added information flow, the 2007-2009 financial crisis did not shorten the persistence (adjustment speed) of CDS spreads to variations in our explanatory variables; and (iv) degree of firm leverage appears to have a significant influence on CDS spreads. These results are robust to various model specifications. Synthesizing our overall results, we maintain that to reap the benefits of using CDSs as a risk management tool, greater attention should be devoted to supporting a stable market (economic and financial) environment. This paper contributes to elucidate how firm performance and macroeconomic conditions play a significant role in explaining CDS spreads.
机译：我们从公司特定（微观经济学）和市场特定（宏观经济）视角下采用多因素分析，以检查2005年至2012年期间的美国，英国和日本的信贷违约交换（CDS）传播的决定因素。调查聚合（越野）和个人市场数据，以便进行比较分析。我们的结果揭示（i）一般来说，托宾的Q，股票市场回报，无风险利率对CDS蔓延具有显着的解释力; （ii）发现所识别的关系存在于具有不同强度的所有三个市场中; （iii）尽管有更多信息流，但2007 - 2009年金融危机并未缩短CDS对我们解释性变量的变化的持久性（调整速度）; （iv）坚定的杠杆程度似乎对CDS蔓延产生了重大影响。这些结果对各种型号规范具有稳健性。综合我们的整体结果，我们认为，从使用CDS作为风险管理工具的利益，应更加重视支持稳定的市场（经济和财务）环境。本文有助于阐明企业性能和宏观经济条件如何在解释CDS蔓延方面发挥重要作用。

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