Does the Tail Wag the Dog?: The Effect of Credit Default Swaps on Credit Risk
研究发现信用违约互换交易开始后，参考公司的信用风险显著上升，且陷入困境的公司更可能破产，债权人数量增加加剧了协调失败。
We use credit default swaps (CDS) trading data to demonstrate that the credit risk of reference firms, reflected in rating downgrades and bankruptcies, increases significantly upon the inception of CDS trading, a finding that is robust after controlling for the endogeneity of CDS trading. Additionally, distressed firms are more likely to file for bankruptcy if they are linked to CDS trading. Furthermore, firms with more “no restructuring” contracts than other types of CDS contracts (i.e., contracts that include restructuring) are more adversely affected by CDS trading, and the number of creditors increases after CDS trading begins, exacerbating creditor coordination failure in the resolution of financial distress.