Credit Default Swaps in General Equilibrium: Endogenous Default and Credit‐Spread Spillovers
研究了信用违约互换如何影响企业债务类型选择，发现覆盖型CDS降低信用利差并增加风险债务发行，裸型CDS则相反，且CDS对非参考企业产生信用利差和投资溢出效应。
Abstract This paper shows that credit default swaps (CDS) can affect the type of debt firms issue. Firms face a trade‐off between investment scale and the cost of capital measured by the credit spread. Small‐scale investment is safe, fully collateralized, but earns modest profits in all states. Large‐scale investment is risky, requires a positive credit spread, but yields high profits only in good states and default in bad states. CDS only affect risky credit spreads, which in turn affects the opportunity cost of issuing collateralized, safe debt. Covered (Naked) CDS lower (raise) credit spreads and raise (lower) the likelihood of issuing risky debt. Finally, we show that CDS generate credit spread and investment spillovers for non‐CDS‐referenced firms.