Efficiency of the Sovereign Credit Default Swap Market: The Case of European Countries

主權債務信用違約交換市場之效率性

張華平(Hwa-Ping Chang) ； 黃慶義(Anderson Huang) ； 李阿乙(Ahyee Lee)

《財務金融學刊》 23卷3期 (2015/09) Pp. 1-27

https://doi.org/10.6545/JFS.2015.23(3).1

摘要

本文以歐洲主權債務危機期間資料研究信用違約交換（credit default swap, CDS）市場與債券市場之相對效率性。本文發現，在長期，債券與CDS價格會回到無套利條件，但調整速度緩慢。在歐債危機中，相對平靜國家之CDS市場有價格發現能力；在風暴中心的國家，CDS市場之價格發現能力卻不高於債券市場。此結果不支持歐元區禁止空手部位CDS之政策。

關鍵字

信用違約交換 ； 價格發現機能 ； 向量誤差修正模型

並列摘要

We study the relative efficiency of the sovereign debt and its credit default swap (CDS) market during the European sovereign debt crisis in years 2010 to 2013. The empirical results indicate that the no-arbitrage condition between the two markets holds in the long run. However, the return to the no-arbitrage condition is extremely slow. The price discovery mechanism is in the CDS market for the relatively tranquil countries, but not always in the CDS market for the countries most severely influenced by the crisis. This finding does not support banning naked CDS considered by the Eurozone monetary authority.

並列關鍵字

Credit default swap ； price discovery mechanism ； vector error correction model

參考文獻

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