Has the CDS market lowered the cost of corporate debt?

• 成果类型: Article
• 署名作者: Ashcraft, Adam B.; Santos, Joao A. C.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2009.03.008
• 发表日期: 2009
• 页码: 514-523
• 关键词: Credit default swaps; Loan spreads; credit spreads

摘要

Many have claimed that credit default swaps (CDSs) have lowered the cost of debt financing to firms by creating new hedging opportunities and information for investors. This paper evaluates the impact that the onset of CDs trading has on the spreads that underlying firms pay to raise funding in the corporate bond and syndicated loan markets. Employing a range of methodologies, we fail to find evidence that the onset of CDS trading lowers the cost of debt financing for the average borrower. Further, we uncover economically significant adverse effects on risky and informationally opaque firms. (C) 2009 Elsevier B.V. All rights reserved.