Macroeconomic Conditions and Credit Default Swap Spread Changes
研究了商业周期在解释信用违约互换利差变化中的重要性，发现结构性变量（包括商业周期）能解释约65%的利差差异，且商业周期变量在危机前后比危机期间解释力更强，对投资级企业的影响大于非投资级企业。
This study investigates the importance of the business cycle in explaining credit default swap spread changes by utilizing ex ante proxies. It uses portfolio regression and finds the structural variables, including the business cycle, explain approximately 65% of the spread differences. Furthermore, the business cycle variable enhances explanatory power more during the pre‐ and post‐crisis periods than during the crisis period and shows greater improvement for investment‐grade than for non‐investment‐grade firms. These results suggest that macroeconomic conditions play a critical role when the underlying asset value is likely to have greater distance from the default barrier. © 2017 Wiley Periodicals, Inc. Jrl Fut Mark 37:766–802, 2017