| The financial crisis in 2008 made the credit default swap(CDS)gradually gaining public attention.On September 23,2016,China's CLN(Credit Link Bonds)and CDS(Credit Default Swap)trading rules were officially released,which means that China's CDS will be launched soon.The study of the determinants of sovereign CDS swap premiums will help improve the operation of China's sovereign CDS in the future and provide practical tools for investors in China to avoid risks.The European debt crisis started in 2010 has made more and more people realize the value of sovereign CDS.Compared with the use of the credit rating index,the swap premium of sovereign CDS has become a common indicator of national default risk assessment.Studying the determinants of sovereign CDS swap premiums can provide reliable reference for investors and enable multinational corporations to better use this tool to hedge the market against risks.China's sovereign CDS has also been released in the European market.Studying the determinants of the swap premium of sovereign CDS is beneficial to China's use of this important reference.The sample countries of this article selected Austrian,French,British,Belgian,German,Irish,Italian,Dutch,Portuguese,Spanish,Finnish and other European sovereign countries.Since the market has China's sovereign CDS trading contract,this article has added research on China.This article is divided into two chapters to study the related factors of the European sovereign national CDS swap premium and the Chinese sovereign CDS swap premium,and through comparative analysis to observe the relationship between the two markets,through the analysis of relevant factors to understand the market's impact.In terms of influencing factors,there are mainly national and international factors.Domestic factors are mainly reflected in five aspects: national debt yield,risk-free yield,stock market performance,corporate CDS market influence,and national governance capabilities.International factors are mainly influenced by regional factors and global factors.To test the long-term consistency between the CDS premium and the bond yield spread,we proceed in two steps.Cointegration tests are performed first,and then the relationship between the CDS swap premium and the national debt yield spread is analyzed by the vector error correction model(VECM).Through the vector error correction model(VECM)to analyze the respective contributions of the national sovereign CDS market and the corresponding national bond market in the price process,to determine the contribution of the two markets in the price discovery process.And through the Gonzalo-Granger value to further determine that both markets occupy the leading position in the price discovery process.By analyzing the samples from January 2010 to December 2017,the Sovereign CDS swap premium factors are studied in two parts.The first part uses panel data to study the impact of domestic and international factors on sovereign CDS through basic models and extended models.The second part analyzes the cointegration relationship between Treasury yield and sovereign CDS swap premium through the VECM model to analyze the price discovery function of the national debt market and sovereign CDS market.Through empirical analysis,this paper draws the following conclusions:(1)Whether it is a European country or China,the national debt yield is significantly positively correlated with the corresponding sovereign CDS swap premium,and the risk-free yield is significantly negatively correlated with the sovereign CDS swap premium,The difference between the two forms the basis of the sovereign CDS swap premium.(2)Among the domestic factors that affect the premium of sovereign CDS swaps,the stock index,long-term governance capacity,and CDS swap premium of each country will significantly affect the sovereign CDS swap premium.(3)In terms of international factors,the panic index VIX will have a direct impact on both the European countries and China's sovereign CDS,and the VIX index has a significant positive impact on countries with better economic performance.But,countries with poorer economic performance will have a negative impact on them.The regional credit index iTraxx has a significant positive correlation with European countries and China.(4)In the price discovery function of the sovereign CDS market and the national debt market,the sovereign CDS market in each country has a price discovery function for the national debt market.However,compared with the European countries with active derivatives markets,China and some countries with inactive derivatives trading,the sovereign CDS market does not play a leading role in the price discovery process.Based on the final empirical results of this paper,we give some research suggestions.For multinational commercial organizations,the sovereign CDS should be used to enhance overseas investment risk management capabilities.By circumventing these macro-level shocks,you can guarantee the safety and value of assets in foreign countries,thus effectively avoiding all kinds of potential losses.For the supervisory level,China will soon launch a Chinese version of CDS,and coordination among various financial regulatory agencies should be strengthened.In addition to clarifying that the People's Bank is primarily responsible for the oversight functions of the over-the-counter trading market such as the China CDS market,it is necessary to establish a special coordination mechanism for each department as soon as possible.For market participants,they should first familiarize themselves with the relationships among the markets so that they can use sovereign CDS to trade for profits. |
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