Economic policy uncertainty, CDS spreads, and CDS liquidity provision
研究发现经济政策不确定性上升会推高信用违约互换利差并减少流动性提供者数量，对投资者购买信用保护的成本和难度有显著影响。
Abstract Using a news‐based index of economic policy uncertainty (EPU), we find that EPU is positively associated with credit default swap (CDS) spreads and negatively associated with the number of liquidity providers in the CDS market. A 10% increase in EPU leads to an 8.4% increase in CDS spreads and a 4.0% decrease in the number of liquidity providers. Furthermore, the effects of EPU are persistent and robust after controlling for macroeconomic variables. Our results are also robust to different econometric methodologies. Overall, our findings suggest that, when EPU is high, investors find credit protection more costly and difficult to purchase.