Synthetic or Real? The Equilibrium Effects of Credit Default Swaps on Bond Markets
基于CDS交易成本低于债券的观察，构建模型分析CDS引入如何通过挤出债券需求与允许杠杆套利影响债券价格，预测负基差及交易模式，并指出裸CDS禁令可能提高借贷成本。
We provide a model of nonredundant credit default swaps (CDSs), building on the observation that CDSs have lower trading costs than bonds. CDS introduction involves a trade-off: it crowds out existing demand for the bond, but improves the bond allocation by allowing long-term investors to become levered basis traders and absorb more of the bond supply. We characterize conditions under which CDS introduction raises bond prices. The model predicts a negative CDS-bond basis, as well as turnover and price impact patterns that are consistent with empirical evidence. We also show that a ban on naked CDSs can raise borrowing costs.