Abstract
| Original language | English |
|---|---|
| Pages (from-to) | 279-298 |
| Number of pages | 21 |
| Journal | Journal Of Financial Research |
| Volume | 36 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 17 Jun 2013 |
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Regime Dependent Liquidity Determinant of Credit Default Swap Spread Changes. / Guo, Biao; Newton, David.
In: Journal Of Financial Research, Vol. 36, No. 2, 17.06.2013, p. 279-298.Research output: Contribution to journal › Article
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TY - JOUR
T1 - Regime Dependent Liquidity Determinant of Credit Default Swap Spread Changes
AU - Guo, Biao
AU - Newton, David
PY - 2013/6/17
Y1 - 2013/6/17
N2 - In this article we construct a liquidity measure for credit default swaps (CDS) and investigate the relation between the changes in CDS spreads and the determinants implied by structural models of default, including firm leverage, volatility, risk-free interest rate, and liquidity. Using a dummy-variable pooling regression and a Markov regime-switching model, we show strong evidence that these determinants, especially the liquidity determinant, are significant and time varying.
AB - In this article we construct a liquidity measure for credit default swaps (CDS) and investigate the relation between the changes in CDS spreads and the determinants implied by structural models of default, including firm leverage, volatility, risk-free interest rate, and liquidity. Using a dummy-variable pooling regression and a Markov regime-switching model, we show strong evidence that these determinants, especially the liquidity determinant, are significant and time varying.
U2 - 10.1111/j.1475-6803.2013.12011.x
DO - 10.1111/j.1475-6803.2013.12011.x
M3 - Article
VL - 36
SP - 279
EP - 298
JO - Journal Of Financial Research
JF - Journal Of Financial Research
SN - 0270-2592
IS - 2
ER -