The Long and Short of It: The Post-Crisis Corporate CDS Market

Nina Boyarchenko, Anna Costello and Or Shachar

Economic Policy Review, 2020, vol. 26, issue 3, 49

Abstract: The authors establish key stylized facts about the post-crisis evolution of trading and pricing of credit default swaps. Using supervisory contract-level data, they show that dealers became net buyers of credit protection starting in the second half of 2014, both through reducing the amount of protection they sell in the single-name market and switching to buying protection in the index market. More generally, they argue that considering simultaneous positions in different types of credit derivatives is crucial for understanding institutions’ decisions to participate in these markets and how these decisions affect prices.

Keywords: credit derivatives; CDS transactions; CDS positions; dealer market power; credit default swaps (search for similar items in EconPapers)
JEL-codes: G10 G12 G19 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://www.newyorkfed.org/medialibrary/media/rese ... pr_2020_vol26no3.pdf Full text (application/pdf)

Related works:
Working Paper: The Long and Short of It: The Post-Crisis Corporate CDS Market (2019)
Working Paper: The Long and Short of It: The Post-Crisis Corporate CDS Market (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fednep:88216

Ordering information: This journal article can be ordered from

Access Statistics for this article

More articles in Economic Policy Review from Federal Reserve Bank of New York Contact information at EDIRC.
Bibliographic data for series maintained by Gabriella Bucciarelli ().