An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps

By B. Maris. 2006

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Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market (2006, methodology): “Instead we choose to calculate yield spreads using the Euro-swap curve as our benchmark, which is a procedure common to other recent papers in the literature [e.g., McCauley (2002); Hull, Predescu, and White (2004); and Blanco, Brennan, and Marsh (2005)].”
Liquidity and Arbitrage in the Market for Credit Risk (2011, methodology): “Blanco et al. (2005) take another approach to the problem by studying cointegration between corporate bond spreads and CDS spreads.”
Good and bad credit contagion: Evidence from credit default swaps (2007, background): “Recent research by Blanco et al. (2005) and Zhu (2004) also provides empirical evidence that the CDS market leads the bond market in terms of price discovery.”
Regime dependent determinants of credit default swap spreads (2008, background): “…et al. (2001) find that the different tax treatments of corporate and government bonds have a greater effect on bond spreads than default risk; and Blanco et al. (2005) show that new information is incorporated into CDS spreads faster than into bonds and that CDS spreads are more sensitive to…”
The Impact of Earnings on the Pricing of Credit Default Swaps (2007, background): “See Blanco et al. (2005), Zhu (2004) and Daniels and Jensen (2005) for evidence that price discovery of credit risk first takes in the CDS market, and that the bond market lags by comparison.”