Credit Default Swaps, Fire-Sale Risk, and the Liquidity Provision in the Bond Market
研究了信用违约互换（CDS）对美国公司债券市场流动性的影响，发现CDS能提升投资级债券的流动性并降低收益率利差，但2009年CDS大爆炸后这一作用减弱。
Abstract We study the effect of credit default swaps (CDSs) on the bond market. Using a comprehensive sample of U.S. corporate bonds, we document that the presence of CDSs significantly increases bond liquidity and reduces yield spreads for investment grade bonds. We show that CDSs influence the bond market by lowering the impact of fire sales of institutional bondholders and facilitating inventory management for bond dealers who absorb fire sale shocks. However, the liquidity provision role of CDSs gets weakened after the CDS Big Bang in 2009, potentially because of the requirement of large upfront payments.