What Drives the Commonality between Credit Default Swap Spread Changes?
发现2007-2009年危机期间信用违约互换利差变化的共同性增加，并探究其来源。基本面变化仅解释23%的协方差增加，其余归因于流动性和违约风险市场价格的变化，而对手方风险作用不显著。
This paper documents an increase in the comovement between credit default swap (CDS) spread changes during the 2007–2009 crisis and investigates the source of that increase. One possible explanation is that comovement increased because fundamental values became more correlated. However, I find that changes in fundamentals account for only 23% of the increase in covariance. The remaining increase is attributed to changes in liquidity and the market price of default risk. In contrast, counterparty risk played an insignificant role. Although both contributed, the increase in covariance was driven more by variation in exposures than factor variance–covariance.