2015 Fiscal Year Final Research Report
What Determines CDS Prices?
| Project/Area Number |
25380408
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Money/ Finance
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| Research Institution | Nihon University |
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Principal Investigator |
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| Co-Investigator(Kenkyū-buntansha) |
SAWADA Michiru 日本大学, 経済学部, 教授 (10410672)
MIYAKAWA Daisuke 一橋大学, 大学院国際企業戦略研究科, 准教授 (00734667)
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| Project Period (FY) |
2013-04-01 – 2016-03-31
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| Keywords | CDS(credit default swap) / 同時方程式 / トービットモデル / プレミアム |
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| Outline of Final Research Achievements |
We examines the determinants of credit default swap (CDS) premiums by applying a limited dependent variable simultaneous equation system to a unique set of time series data for the Japanese credit market. The estimation results indicate that CDS premiums decrease as a result of an increase in the supply of protection due, for example, to fewer opportunities for investment in other assets (e.g., loans). We also find that premiums increase when the demand for protection increases due, for example, to larger short-cover needs. Further, the quantitative impact of factors accounting for the supply and demand of protection is likely to be misestimated unless the simultaneous determination of supply and demand is taken into account. This indicates that it is necessary to include demand and supply factors to understand fluctuations in CDS premiums.
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| Free Research Field |
ファイナンス
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