Measuring Sovereign Risk: Are CDS Spreads Better than Sovereign Credit Ratings?
基于54个国家12年数据，研究发现平均主权评级变化可由前三年平均CDS利差解释，且CDS利差变化能预测主权事件，而评级变化不能，尤其在穆迪和标普评级分歧时预测力更强。
Abstract Using data for 54 countries over a 12‐year period, we find that the variation in average sovereign ratings in a given year can be explained by average credit default swap (CDS) spreads over the previous three years. In a horse race between CDS spreads and sovereign ratings, we find that CDS spread changes can predict sovereign events, while rating changes cannot. The predictability of CDS spreads is greater when there is disagreement between Moody's and the S&P for a country's rating.