Credit Default Swaps and Firm Cyclicality
研究发现信用违约互换交易启动后，企业周期性下降40%，源于企业在好时期资产增长更温和，且对空头债权人问题严重的企业影响更大，表明金融创新有积极的实际效应。
Abstract We find firm cyclicality decreases by 40% after the inception of credit default swap (CDS) trading. The effect stems from CDS firms’ less aggressive asset growth in good times and is stronger for firms facing a more severe empty creditor problem. Important identification issues are addressed. The result cannot be explained with debt overhang, bank lending cyclicality, or the cyclicality of firms’ business fundamentals. It holds for the cyclicality of various corporate outcomes (inventories, cash, and employment). Importantly, CDS trading impedes unhealthy growth and enhances profitability and firm value. Our finding indicates an important positive real effect of financial innovation.