CDS trading and bond interest rates

Frank Caliendo

Economics Letters, 2019, vol. 174, issue C, 52-54

Abstract: What is the effect of CDS trading on the bond market? I develop a simple asset pricing model of efficient bond and CDS markets that rationalizes the empirical findings in Ashcraft and Santos (2009) and Subrahmanyam et al. (2014).

Keywords: CDS; Interest rates; Asset pricing (search for similar items in EconPapers)
JEL-codes: G12 G22 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:174:y:2019:i:c:p:52-54

DOI: 10.1016/j.econlet.2018.10.029

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