Limited Investment Capital and Credit Spreads
利用专有CDS数据，研究发现保护卖方因保证金支付导致的资本冲击解释了信用利差周度变化的12%，表明专业金融机构的摩擦导致短期资本无法自由流入市场。
ABSTRACT Using proprietary credit default swap (CDS) data, I investigate how capital shocks at protection sellers impact pricing in the CDS market. Seller capital shocks—measured as CDS portfolio margin payments—account for 12% of the time‐series variation in weekly spread changes, a significant amount given that standard credit factors account for 18% during my sample. In addition, seller shocks possess information for spreads that is independent of institution‐wide measures of constraints. These findings imply a high degree of market segmentation, and suggest that frictions within specialized financial institutions prevent capital from flowing into the market at shorter horizons.