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首页> 外文期刊>Journal of financial economics >The impact of central clearing on counterparty risk, liquidity,and trading: Evidence from the credit default swap market
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The impact of central clearing on counterparty risk, liquidity,and trading: Evidence from the credit default swap market

机译：中央清算对交易对手风险，流动性和交易的影响：来自信用违约掉期市场的证据

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摘要

This paper examines the impact of central clearing on the credit default swap (CDS) market using a sample of voluntarily cleared single-name contracts. Consistent with central clearing reducing counterparty risk, CDS spreads increase around the commencement of central clearing and are lower than settlement spreads published by the central clearinghouse. Furthermore, the relation between CDS spreads and dealer credit risk weakens after central clearing begins, suggesting a lowering of systemic risk. These findings are robust to controls for frictions in both CDS and bond markets. Finally, matched sample analysis reveals that the increased post-trade transparency following central clearing is associated with an improvement in liquidity and trading activity.
机译：本文使用自愿清算的单一名称合同样本研究了中央清算对信用违约掉期（CDS）市场的影响。与降低中央交易对手风险的中央清算一致，CDS利差在中央清算开始时会增加，并且低于中央清算所发布的结算利差。此外，中央清算开始后，信用违约掉期利差与交易商信用风险之间的关系减弱，这表明系统风险有所降低。这些发现对于控制CDS和债券市场的摩擦具有鲁棒性。最后，匹配的样本分析显示，中央清算后交易后透明度的提高与流动性和交易活动的改善有关。

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