The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach
使用断点回归方法分析中央清算对信用违约互换市场广度、深度和弹性的影响，发现中央清算降低了绝对买卖价差和价差弹性，增加了总交易量，但仅对高基本面和高流动性风险的合约有正面效果。
Abstract In this study, I analyze the effect of central clearing on credit default swap (CDS) market breadth, depth, and resiliency using a regression discontinuity design. I find evidence for a decrease in absolute bid–ask spreads and bid–ask spread resiliency and an increase in gross trading volume with the beginning of central clearing. However, we observe positive effects of central clearing on CDS market liquidity only for CDS contracts of high fundamental and liquidity risk. Further results indicate that lower trading frictions, that is, counterparty risk and regulatory capital charges, may explain the positive effects of central clearing on CDS market liquidity.