A Theory of Liquidity Spillover between Bond and CDS Markets
构建了一个债券和信用违约互换市场的搜索模型，发现通过CDS做空债券能提升债券流动性和价格，并指出裸CDS禁令可能加剧欧洲债务危机。
Abstract I build a search model of bond and credit default swap (CDS) markets with endogenous investor participation and show that shorting bonds through CDS increases the liquidity and price of bonds. By allowing investors to trade the credit risk of bonds without trading the bonds, CDS introduction expands the set of feasible trades and attracts investors into the credit market. Because search is nondirected within the credit market, new investors also trade bonds and consequently increase their price and liquidity. My results suggest that naked CDS bans increased sovereigns’ borrowing costs and thereby exacerbated the 2010–2012 European debt crisis.