An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps
实证检验了信用违约互换价格与信用利差的理论等价关系，发现两者在长期均衡中成立，但存在两种偏离：部分公司因合约缺陷和测量误差导致长期偏离，其他公司则因价格发现过程中CDS领先而出现短期偏离。
ABSTRACT We test the theoretical equivalence of credit default swap (CDS) prices and credit spreads derived by Duffie (1999) , finding support for the parity relation as an equilibrium condition. We also find two forms of deviation from parity. First, for three firms, CDS prices are substantially higher than credit spreads for long periods of time, arising from combinations of imperfections in the contract specification of CDSs and measurement errors in computing the credit spread. Second, we find short‐lived deviations from parity for all other companies due to a lead for CDS prices over credit spreads in the price discovery process.