Credit Default Swaps and Lender Incentives in Bank Debt Renegotiations
利用断点回归设计，研究发现信用违约互换交易引入后，违反契约的企业投资不会下降，违约概率也更低，表明CDS在私人债务市场中约束了借款人，同时空头债权人问题因贷款人声誉和协调摩擦降低而缓解。
Abstract Using a regression-discontinuity design and within lender–borrower variation, we analyze how credit default swaps (CDSs) affect bank incentives and borrower outcomes in renegotiations after covenant violations. While existing studies document an investment decline after covenant violations, we find that covenant-violating firms maintain their investment subsequent to the introduction of CDS trading. Moreover, after CDS introduction, covenant-violating firms are less likely to default. Our results suggest that in the private debt markets, CDSs discipline borrowers, while the empty creditor problem due to CDS is mitigated because of lenders’ reputation concerns and lower coordination frictions.